{"created":"2023-06-20T15:03:14.401278+00:00","id":1289,"links":{},"metadata":{"_buckets":{"deposit":"8530cdde-d696-48f5-a0f5-b8e76b7dafd4"},"_deposit":{"created_by":16,"id":"1289","owners":[16],"pid":{"revision_id":0,"type":"depid","value":"1289"},"status":"published"},"_oai":{"id":"oai:grips.repo.nii.ac.jp:00001289","sets":["1:56"]},"author_link":["7248"],"item_12_description_22":{"attribute_name":"著者情報","attribute_value_mlt":[{"subitem_description":"https://www.grips.ac.jp/list/jp/facultyinfo/leon_gonzalez_roberto/","subitem_description_type":"Other"}]},"item_12_description_25":{"attribute_name":"内容注記","attribute_value_mlt":[{"subitem_description":"First version: September, 2014 [14-12] http://id.nii.ac.jp/1295/00001148/","subitem_description_type":"Other"},{"subitem_description":"Revised to: March, 2018 [17-16] http://doi.org/10.24545/00001609","subitem_description_type":"Other"}]},"item_12_description_6":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"This paper develops a novel and efficient algorithm for Bayesian inference in inverse Gamma Stochastic Volatility models. It is shown that by conditioning on auxiliary variables, it is possible to sample all the volatilities jointly directly from their posterior conditional density, using simple and easy to draw from distributions. Furthermore, this paper develops a generalized inverse Gamma process with more flexible tails in the distribution of volatilities, which still allows for simple and efficient calculations. Using several macroeconomic and financial datasets, it is shown that the inverse Gamma and Generalized inverse Gamma processes can greatly outperform the commonly used log normal volatility processes with student-t errors.","subitem_description_type":"Abstract"}]},"item_12_description_7":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"JEL Classification Codes: C11, C15","subitem_description_type":"Other"}]},"item_12_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.24545/00001286","subitem_identifier_reg_type":"JaLC"}]},"item_12_publisher_12":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"GRIPS Policy Research Center ","subitem_publisher_language":"en"}]},"item_12_relation_16":{"attribute_name":"関連サイト","attribute_value_mlt":[{"subitem_relation_name":[{"subitem_relation_name_text":"https://ideas.repec.org/p/ngi/dpaper/15-17.html"}],"subitem_relation_type":"isIdenticalTo","subitem_relation_type_id":{"subitem_relation_type_id_text":"https://ideas.repec.org/p/ngi/dpaper/15-17.html","subitem_relation_type_select":"URI"}}]},"item_12_text_10":{"attribute_name":"発行年","attribute_value_mlt":[{"subitem_text_value":"2015-10"}]},"item_12_text_5":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"政策研究大学院大学 / National Graduate Institute for Policy Studies"}]},"item_12_version_type_19":{"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_1693541285410":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2015-10-02","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"DP15-17","bibliographic_titles":[{"bibliographic_title":"GRIPS Discussion Papers","bibliographic_titleLang":"en"}]}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"LEON-GONZALEZ, Roberto","creatorNameLang":"en"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_access","filename":"DP15-17.pdf","filesize":[{"value":"536.6 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DP15-17.pdf","url":"https://grips.repo.nii.ac.jp/record/1289/files/DP15-17.pdf"},"version_id":"0bfe07cd-f251-4f92-9076-36ba62ea4387"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Markov Chain Monte Carlo","subitem_subject_scheme":"Other"},{"subitem_subject":"Gibbs Sampling","subitem_subject_scheme":"Other"},{"subitem_subject":"Flexible Parametric Models","subitem_subject_scheme":"Other"},{"subitem_subject":"Particle Filters","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"}]},"item_title":"Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility","subitem_title_language":"en"}]},"item_type_id":"12","owner":"16","path":["56"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2015-10-02"},"publish_date":"2015-10-02","publish_status":"0","recid":"1289","relation_version_is_last":true,"title":["Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility"],"weko_creator_id":"16","weko_shared_id":-1},"updated":"2023-12-13T05:18:51.122698+00:00"}