{"created":"2023-05-15T14:43:00.622096+00:00","id":1760,"links":{},"metadata":{"_buckets":{"deposit":"62c6ccbb-8465-4d55-8b70-db989718fffb"},"_deposit":{"created_by":20,"id":"1760","owners":[20],"pid":{"revision_id":0,"type":"depid","value":"1760"},"status":"published"},"_oai":{"id":"oai:konan-u.repo.nii.ac.jp:00001760","sets":["10:197:241:250"]},"author_link":["3221"],"item_10002_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2016-03-30","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"3・4","bibliographicPageEnd":"86","bibliographicPageStart":"79","bibliographicVolumeNumber":"56","bibliographic_titles":[{"bibliographic_title":"甲南経済学論集"},{"bibliographic_title":"Konan economic papers","bibliographic_titleLang":"en"}]}]},"item_10002_description_19":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf ","subitem_description_type":"Other"}]},"item_10002_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"本稿は, 実現測度モーメント・ベースのGMM 推定により日経平均株価が従う確率仮定のモデルを推定した結果について報告するものである｡具体的には, ボラティリティ変動モデルとしてHeston モデルを用い, その３つのパラメータと株価ショックとボラティリティ・ショックの負の相関を捉えるレバレッジ・パラメータの推定を行った｡結果として, ミーン・リバーティングなボラティリティ変動モデルが得られ, レバレッジ・パラメータも事前の予想通り負の値となったが, 特定化検定はHeston モデルを棄却するものであった｡","subitem_description_type":"Abstract"}]},"item_10002_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.14990/00001745","subitem_identifier_reg_type":"JaLC"}]},"item_10002_publisher_8":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"甲南大学経済学会"}]},"item_10002_source_id_11":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN00084529 ","subitem_source_identifier_type":"NCID"}]},"item_10002_source_id_9":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"04524187","subitem_source_identifier_type":"ISSN"}]},"item_10002_version_type_20":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_970fb48d4fbd8a85","subitem_version_type":"VoR"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"石田, 功 "},{"creatorName":"イシダ, イサオ","creatorNameLang":"ja-Kana"},{"creatorName":"ISHIDA, Isao","creatorNameLang":"en"}],"nameIdentifiers":[{"nameIdentifier":"3221","nameIdentifierScheme":"WEKO"},{"nameIdentifier":"20361579","nameIdentifierScheme":"e-Rad","nameIdentifierURI":"https://kaken.nii.ac.jp/ja/search/?qm=20361579"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2016-05-23"}],"displaytype":"detail","filename":"K01654.pdf","filesize":[{"value":"215.5 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"K01654","url":"https://konan-u.repo.nii.ac.jp/record/1760/files/K01654.pdf"},"version_id":"002b5f7a-4f92-433b-9682-5c6ea59e2638"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"確率ボラティリティ","subitem_subject_scheme":"Other"},{"subitem_subject":"実現測度","subitem_subject_scheme":"Other"},{"subitem_subject":"高頻度データ","subitem_subject_scheme":"Other"},{"subitem_subject":"GMM推定","subitem_subject_scheme":"Other"},{"subitem_subject":"日経平均株価","subitem_subject_scheme":"Other"},{"subitem_subject":"C22","subitem_subject_scheme":"Other"},{"subitem_subject":"C58","subitem_subject_scheme":"Other"},{"subitem_subject":"G17","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"実現測度モーメントGMMによる日経平均株価の連続時間確率ボラティリティ・モデルの推定","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"実現測度モーメントGMMによる日経平均株価の連続時間確率ボラティリティ・モデルの推定"},{"subitem_title":"Estimation of a Continuous-Time Stochastic Volatility Model for the Nikkei 225 Index via GMM-RM","subitem_title_language":"en"}]},"item_type_id":"10002","owner":"20","path":["250"],"pubdate":{"attribute_name":"公開日","attribute_value":"2016-05-23"},"publish_date":"2016-05-23","publish_status":"0","recid":"1760","relation_version_is_last":true,"title":["実現測度モーメントGMMによる日経平均株価の連続時間確率ボラティリティ・モデルの推定"],"weko_creator_id":"20","weko_shared_id":20},"updated":"2023-05-15T16:30:31.565371+00:00"}