{"created":"2021-03-01T07:02:46.942597+00:00","id":42840,"links":{},"metadata":{"_buckets":{"deposit":"e643469f-198b-4183-a121-cb40ab57d1b8"},"_deposit":{"id":"42840","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42840"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042840","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2013-09","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-904","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":"A multivariate stochastic volatility model with the dynamic correlation and the cross leverage effect is described and its efficient estimation method using Markov chain Monte Carlo is proposed. The time-varying covariance matrices are guaranteed to be positive definite by using a matrix exponential transformation. Of particular interest is our approach for sampling a set of latent matrix logarithm variables from their conditional posterior distribution, where we construct the proposal density based on an approximating linear Gaussian state space model. The proposed model and its extended models with fat-tailed error distribution are applied to trivariate returns data (daily stocks, bonds, and exchange rates) of Japan. Further, a model comparison is conducted including constant correlation multivariate stochastic volatility models with leverage.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"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/2013/2013cf904ab.html","subitem_relation_type_select":"URI"}}]},"item_8_relation_28":{"attribute_name":"置換する","attribute_value_mlt":[{"subitem_relation_type":"replaces","subitem_relation_type_id":{"subitem_relation_type_id_text":"http://hdl.handle.net/2261/50197","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_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":"Department of Economics, Hitotsubashi University"},{"subitem_text_value":"Faculty of Economics, University of Tokyo"},{"subitem_text_value":"Faculty of Economics, Soka University"}]},"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":"Ishihara, Tsunehiro"}],"nameIdentifiers":[{"nameIdentifier":"98486","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Omori, Yasuhiro"}],"nameIdentifiers":[{"nameIdentifier":"98487","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Asai, Manabu"}],"nameIdentifiers":[{"nameIdentifier":"98488","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Dynamic correlation","subitem_subject_scheme":"Other"},{"subitem_subject":"Leverage effect","subitem_subject_scheme":"Other"},{"subitem_subject":"Matrix exponential","subitem_subject_scheme":"Other"},{"subitem_subject":"Markov chain Monte Carlo","subitem_subject_scheme":"Other"},{"subitem_subject":"Multi-move sampler","subitem_subject_scheme":"Other"},{"subitem_subject":"Multivariate stochastic volatility","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":"Matrix Exponential Stochastic Volatility with Cross Leverage","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Matrix Exponential Stochastic Volatility with Cross Leverage"}]},"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":"42840","relation_version_is_last":true,"title":["Matrix Exponential Stochastic Volatility with Cross Leverage"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:00.305964+00:00"}