{"created":"2021-03-01T07:02:49.391650+00:00","id":42876,"links":{},"metadata":{"_buckets":{"deposit":"a121f5dc-49a9-4f92-8b12-a87a6b688775"},"_deposit":{"id":"42876","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42876"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042876","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-746","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":"An efficient Bayesian estimation using a Markov chain Monte Carlo methodis proposed in the case of a multivariate stochastic volatility model as anatural extension of the univariate stochastic volatility model with leverageand heavy-tailed errors. Note that we further incorporate cross-leverageeffects among stock returns. Our method is based on a multi-move samplerthat samples a block of latent volatility vectors. The method is presentedas a multivariate stochastic volatility model with cross leverage and heavytailederrors. Its high sampling efficiency is shown using numerical examplesin comparison with a single-move sampler that samples one latent volatilityvector at a time, given other latent vectors and parameters. To illustrate themethod, empirical analyses are provided based on five-dimensional S&P500sector indices returns.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Revised version of CIRJE-F-690 (2009) and CIRJE-F-700 (2009), forthcoming in Computational Statistics and Data Analysis.","subitem_description_type":"Other"},{"subitem_description":"本文ファイ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":"98582","nameIdentifierScheme":"WEKO"}],"names":[{"name":"石原, 庸博"}]},{"nameIdentifiers":[{"nameIdentifier":"98583","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/2010/2010cf746ab.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.2010.07.015","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":"Graduate School of Economics, University of Tokyo"},{"subitem_text_value":"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":"Ishihara, Tsunehiro"}],"nameIdentifiers":[{"nameIdentifier":"98580","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Omori, Yasuhiro"}],"nameIdentifiers":[{"nameIdentifier":"98581","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Asymmetry","subitem_subject_scheme":"Other"},{"subitem_subject":"Heavy-tailed error","subitem_subject_scheme":"Other"},{"subitem_subject":"Leverage effect","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":"Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors"}]},"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":"42876","relation_version_is_last":true,"title":["Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors"],"weko_creator_id":"1","weko_shared_id":2},"updated":"2022-12-19T04:57:18.873312+00:00"}