{"created":"2021-03-01T07:02:48.439429+00:00","id":42862,"links":{},"metadata":{"_buckets":{"deposit":"8e464fa4-2065-4d8c-b1ab-03055f716887"},"_deposit":{"id":"42862","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42862"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042862","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2010-05","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-740","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":"DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. Analytical expressions for the news impact surface implied by the new model are also presented. DAMGARCH models the shocks affecting the conditional variances on the basis of an underlying multivariate distribution. It is possible to model explicitly asset-specific shocks and common innovations by partitioning the multivariate density support. This paper presents the model structure, describes the implementation issues, and provides the conditions for the existence of a unique stationary solution, and for consistency and asymptotic normality of the quasimaximum likelihood estimators. The paper also presents an empirical example to highlight the usefulness of the new model.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Forthcoming in Statistica Neerlandica.","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/2010/2010cf740ab.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":"335","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":"Department of Economic Sciences, University of Padova"},{"subitem_text_value":"Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands"},{"subitem_text_value":"Tinbergen Institute, The Netherlands"}]},"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":"Caporin, Massimiliano"}],"nameIdentifiers":[{"nameIdentifier":"98539","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"McAleer, Michael"}],"nameIdentifiers":[{"nameIdentifier":"98540","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"multivariate asymmetry","subitem_subject_scheme":"Other"},{"subitem_subject":"conditional variance","subitem_subject_scheme":"Other"},{"subitem_subject":"stationarity conditions","subitem_subject_scheme":"Other"},{"subitem_subject":"asymptotic theory","subitem_subject_scheme":"Other"},{"subitem_subject":"multivariate news impact curve","subitem_subject_scheme":"Other"},{"subitem_subject":"JEL codes: C32, C51, C52","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":"Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH"}]},"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":"42862","relation_version_is_last":true,"title":["Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:01.136520+00:00"}