{"created":"2021-03-01T07:02:43.417927+00:00","id":42788,"links":{},"metadata":{"_buckets":{"deposit":"ee61e0a2-526b-4273-bcd5-b71a1470e91f"},"_deposit":{"id":"42788","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42788"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042788","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2004-08","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"2004-CF-297","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":"This paper is concerned with the Bayesian analysis of stochastic volatility (SV) models with leverage. Specifically, the paper shows how the often used Kim et al. (1998) method that was developed for SV models without leverage can be extended to models with leverage. The approach relies on the novel idea of approximating the joint distribution of the outcome and volatility innovations by a suitably constructed ten-component mixture of bivariate normal distributions. The resulting posterior distribution is summarized by MCMC methods and the small approximation error in working with the mixture approximation is corrected by a reweighting procedure. The overall procedure is fast and highly efficient. We illustrate the ideas on daily returns of the Tokyo Stock Price Index. Finally, extensions of the method are described for superposition models (where the log-volatility is made up of a linear combination of heterogenous and independent autoregressions) and heavy-tailed error distributions (student and log-normal).","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Revised in April 2006","subitem_description_type":"Other"},{"subitem_description":"Journal of Econometrics. 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/2004/2004cf297ab.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":"University of Tokyo"},{"subitem_text_value":"Washington University"},{"subitem_text_value":"Nuffield College"}]},"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":"Omori, Yasuhiro"}],"nameIdentifiers":[{"nameIdentifier":"98385","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Siddhartha, Chib"}],"nameIdentifiers":[{"nameIdentifier":"98386","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Neil, Shephard"}],"nameIdentifiers":[{"nameIdentifier":"98387","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Nakajima, Jouchi"}],"nameIdentifiers":[{"nameIdentifier":"98388","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Leverage effect","subitem_subject_scheme":"Other"},{"subitem_subject":"Markov chain Monte Carlo","subitem_subject_scheme":"Other"},{"subitem_subject":"Mixture sampler","subitem_subject_scheme":"Other"},{"subitem_subject":"Stochastic volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"Stock returns","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":"Stochastic volatility with leverage : fast and efficient likelihood inference","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Stochastic volatility with leverage : fast and efficient likelihood inference"}]},"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":"42788","relation_version_is_last":true,"title":["Stochastic volatility with leverage : fast and efficient likelihood inference"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:43.438670+00:00"}