{"created":"2021-03-01T07:02:48.577268+00:00","id":42864,"links":{},"metadata":{"_buckets":{"deposit":"a80851eb-28a3-4c27-aee5-e86641abb07d"},"_deposit":{"id":"42864","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42864"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042864","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2010-04","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-738","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":"Bayesian analysis of a stochastic volatility model with a generalized hyperbolic (GH) skew Student’s t-error distribution is described where we first consider an asymmetric heavy-tailed error and leverage effects. An efficient Markov chain Monte Carlo estimation method is described that exploits a normal variance-mean mixture representation of the error distribution with an inverse gamma distribution as the mixing distribution. The proposed method is illustrated using simulated data, daily S&P500 and TOPIX stock returns. The models for stock returns are compared based on the marginal likelihood in the empirical study. There is strong evidence in the stock returns high leverage and an asymmetric heavy-tailed distribution. Furthermore, a prior sensitivity analysis is conducted whether the results obtained are robust with respect to the choice of the priors. Keywords: generalized hyperbolic skew Student’s t-distribution, Markov chain Monte Carlo, Mixing distribution, State space model, Stochastic volatility, Stock returns.","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_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"98547","nameIdentifierScheme":"WEKO"}],"names":[{"name":"大森, 裕浩"}]}]},"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/2010/2010cf738ab.html","subitem_relation_type_select":"URI"}}]},"item_8_relation_29":{"attribute_name":"異版あり","attribute_value_mlt":[{"subitem_relation_type":"hasVersion","subitem_relation_type_id":{"subitem_relation_type_id_text":"http://doi.org/10.1016/j.csda.2010.07.012","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 Statistical Science, Duke University, Durham"},{"subitem_text_value":"Faculty of Economics, University of Tokyo"}]},"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":"Nakajima, Jouchi"}],"nameIdentifiers":[{"nameIdentifier":"98545","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Omori, Yasuhiro"}],"nameIdentifiers":[{"nameIdentifier":"98546","nameIdentifierScheme":"WEKO"}]}]},"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 Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution"}]},"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":"42864","relation_version_is_last":true,"title":["Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:01.078049+00:00"}