{"created":"2023-05-15T13:17:11.290324+00:00","id":2282,"links":{},"metadata":{"_buckets":{"deposit":"20eb2fbd-daeb-4fec-ab58-76f35f53b929"},"_deposit":{"created_by":36,"id":"2282","owners":[36],"pid":{"revision_id":0,"type":"depid","value":"2282"},"status":"published"},"_oai":{"id":"oai:ncu.repo.nii.ac.jp:00002282","sets":["13:7:674:675"]},"author_link":["2309"],"item_10_biblio_info_10":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2017-07-31","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"1","bibliographicPageEnd":"74","bibliographicPageStart":"63","bibliographicVolumeNumber":"54","bibliographic_titles":[{"bibliographic_title":"オイコノミカ"}]}]},"item_10_description_22":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_10_description_7":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"Engle et al.（2013）が提案したGARCH-MIDAS モデルを用い，日本の株式市場の分析を行なった研究は，私の知る限りHoang（2015）のみであり，日本語の文献は皆無である．そこで本稿では，GARCH-MIDAS モデルの本邦株式市場への適用可能性について考察する．\n本稿で用いられるデータは，株価指数として日経平均株価いわゆる日経225 および個別銘柄として日本たばこ産業の対数収益率を用いる．標本期間，1994年10月28日から2016年4月28日までであり，標本数は5285である．実証研究において，純粋に経済的なショックであった2008年9月のリーマン・ショックの影響がボラティリティの長期的成分にも影響を与えている一方，自然災害である2011年3月の東日本大震災はボラティリティの長期的成分にあまり影響を与えないことを見い出した．","subitem_description_type":"Abstract"}]},"item_10_relation_15":{"attribute_name":"論文ID（NAID）","attribute_value_mlt":[{"subitem_relation_type":"isVersionOf","subitem_relation_type_id":{"subitem_relation_type_id_text":"40021358790","subitem_relation_type_select":"NAID"}}]},"item_10_source_id_12":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"03891364","subitem_source_identifier_type":"ISSN"}]},"item_10_source_id_14":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN00025971","subitem_source_identifier_type":"NCID"}]},"item_10_version_type_23":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_ab4af688f83e57aa","subitem_version_type":"AM"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"森本, 孝之"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2018-11-30"}],"displaytype":"detail","filename":"B41-20170731-63.pdf","filesize":[{"value":"2.7 MB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"B41-20170731-63","url":"https://ncu.repo.nii.ac.jp/record/2282/files/B41-20170731-63.pdf"},"version_id":"c1bf34d3-6e14-4947-be0a-00d3078d3273"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"日経平均株価","subitem_subject_scheme":"Other"},{"subitem_subject":"対数収益率","subitem_subject_scheme":"Other"},{"subitem_subject":"実現ボラティリティ","subitem_subject_scheme":"Other"},{"subitem_subject":"GARCH-MIDAS","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":"GARCH-MIDASモデルの本邦株式市場への適用可能性について","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"GARCH-MIDASモデルの本邦株式市場への適用可能性について"},{"subitem_title":"On Applicability of the GARCH-MIDAS Model to the Japanese Stock Market","subitem_title_language":"en"}]},"item_type_id":"10","owner":"36","path":["675"],"pubdate":{"attribute_name":"公開日","attribute_value":"2018-11-30"},"publish_date":"2018-11-30","publish_status":"0","recid":"2282","relation_version_is_last":true,"title":["GARCH-MIDASモデルの本邦株式市場への適用可能性について"],"weko_creator_id":"36","weko_shared_id":-1},"updated":"2023-05-15T14:32:25.183322+00:00"}