{"created":"2023-05-15T14:44:08.910908+00:00","id":3296,"links":{},"metadata":{"_buckets":{"deposit":"b06a292a-285d-48b7-aa35-e10d5adc5d23"},"_deposit":{"created_by":20,"id":"3296","owners":[20],"pid":{"revision_id":0,"type":"depid","value":"3296"},"status":"published"},"_oai":{"id":"oai:konan-u.repo.nii.ac.jp:00003296","sets":["10:197:430:445"]},"author_link":["3221"],"item_10002_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2019-03-30","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"3・4","bibliographicPageEnd":"78","bibliographicPageStart":"69","bibliographicVolumeNumber":"59","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, 日経平均株価の日中スポット・ボラティリティ経路の予測における関数ARCH モデルの有用性を検証するものである。実証分析の結果は,少なくとも, 用いたイン・サンプルおよびアウト・オブ・サンプルの標本期間において, 関数ARCH(1) モデルのうち共分散作用素の少数の固有値・固有関数を用いるバージョンによる予測が, HAR モデルによる実現分散時系列の日次ボラティリティ予測値を日中季節性で調整し得られるベーシックな経路予測を, RMSE 基準でアウトパフォームするというものであった。","subitem_description_type":"Abstract"}]},"item_10002_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.14990/00003269","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":"2019-04-11"}],"displaytype":"detail","filename":"K03089.pdf","filesize":[{"value":"277.7 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"K03089","url":"https://konan-u.repo.nii.ac.jp/record/3296/files/K03089.pdf"},"version_id":"ef4d6f62-c026-4c7e-8565-e20e45418d0f"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"スポット・ボラティリティ経路","subitem_subject_scheme":"Other"},{"subitem_subject":"日中季節性","subitem_subject_scheme":"Other"},{"subitem_subject":"関数データ解析","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":"日経平均スポット・ ボラティリティ日次経路の関数 ARCHモデルによる予測","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"日経平均スポット・ ボラティリティ日次経路の関数 ARCHモデルによる予測"},{"subitem_title":"Forecasting Daily Spot Volatility Paths of the Nikkei 225 Spot Volatility via the Functional ARCH Model","subitem_title_language":"en"}]},"item_type_id":"10002","owner":"20","path":["445"],"pubdate":{"attribute_name":"公開日","attribute_value":"2019-04-11"},"publish_date":"2019-04-11","publish_status":"0","recid":"3296","relation_version_is_last":true,"title":["日経平均スポット・ ボラティリティ日次経路の関数 ARCHモデルによる予測"],"weko_creator_id":"20","weko_shared_id":20},"updated":"2023-05-15T16:30:32.169783+00:00"}