{"created":"2021-03-01T07:02:40.142170+00:00","id":42740,"links":{},"metadata":{"_buckets":{"deposit":"6e56a4af-b15e-4fb7-8c71-ecd4e18fab0b"},"_deposit":{"id":"42740","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42740"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042740","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2003-03","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"2003-CF-211","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"Although the GARCH model has been quite successful in capturing important empirical aspects of financial data, particularly for the symmetric effects of volatility, it has had far less success in capturing the effects of extreme observations, outliers and skewness in returns. This paper examines the GARCH model under various non-normal error distributions in order to evaluate skewness and leptokurtosis. The empirical results show that GARCH models estimated using asymmetric leptokurtic distributions are superior to their counterparts estimated under normality, in terms of: (i) capturing skewness and leptokurtosis; (ii) the maximized log-likelihood values; and (iii) isolating the ARCH and GARCH parameter estimates from the adverse effects of outliers. Overall, the flexible asymmetric Student-t distribution performs best in terms of capturing the non-normal aspects of the data.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Mathematics and Computers in Simulation. 掲載予定.","subitem_description_type":"Other"},{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf211ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"330","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Curtin University of Technology"},{"subitem_text_value":"University of Western Australia"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Verhoeven, Peter"}],"nameIdentifiers":[{"nameIdentifier":"98297","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Michael, McAleer"}],"nameIdentifiers":[{"nameIdentifier":"98298","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Asymmetric volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"Conditional non-normality","subitem_subject_scheme":"Other"},{"subitem_subject":"Skewness","subitem_subject_scheme":"Other"},{"subitem_subject":"Leptokurtosis","subitem_subject_scheme":"Other"},{"subitem_subject":"Outliers","subitem_subject_scheme":"Other"},{"subitem_subject":"Location parameter","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Fat Tails and Asymmetry in Financial Volatility Models","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Fat Tails and Asymmetry in Financial Volatility Models"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-01-17"},"publish_date":"2017-01-17","publish_status":"0","recid":"42740","relation_version_is_last":true,"title":["Fat Tails and Asymmetry in Financial Volatility Models"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:57.781908+00:00"}