{"created":"2024-04-23T08:38:48.685532+00:00","id":2000096,"links":{},"metadata":{"_buckets":{"deposit":"0a72aa45-14d7-4f9c-b1bf-dd21064a84db"},"_deposit":{"created_by":16,"id":"2000096","owners":[16],"pid":{"revision_id":0,"type":"depid","value":"2000096"},"status":"published"},"_oai":{"id":"oai:grips.repo.nii.ac.jp:02000096","sets":["1:1712910681242"]},"author_link":[],"control_number":"2000096","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: August, 2023 [23-7] https://grips.repo.nii.ac.jp/records/2000003","subitem_description_type":"Other"}]},"item_12_description_6":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"We obtain a novel analytic expression of the likelihood for a stationary inverse gamma Stochastic Volatility (SV) model. This allows us to obtain the Maximum Likelihood Estimator for this non linear non Gaussian state space model. Further, we obtain both the filtering and smoothing distributions for the inverse volatilities as mixtures of gammas and therefore we can provide the smoothed estimates of the volatility. We show that by integrating out the volatilities the model that we obtain has the resemblance of a GARCH in the sense that the formulas are similar, which simplifies computations significantly. The model allows for fat tails in the observed data. We provide empirical applications using exchange rates data for 7 currencies and quarterly inflation data for four countries. We find that the empirical fit of our proposed model is overall better than alternative models for 4 countries currency data and for 2 countries inflation data.","subitem_description_type":"Abstract"}]},"item_12_description_7":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"JEL: C32, C59","subitem_description_type":"Other"},{"subitem_description":"MSC: 62M10, 62F99, 62J99, 60J06","subitem_description_type":"Other"},{"subitem_description":"The authors acknowledge financial support from the Japan Society for the Promotion of Science (JSPS) under grant 19K01588.","subitem_description_type":"Other"}]},"item_12_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.24545/0002000096","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_text_10":{"attribute_name":"発行年","attribute_value_mlt":[{"subitem_text_value":"2024-04"}]},"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, The Rimini Centre for Economic Analysis (RCEA)"},{"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":"2024-04-24","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"24-3","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"}]},{"creatorNames":[{"creatorName":"MAJONI, Blessings","creatorNameLang":"en"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_access","filename":"DP24-3.pdf","format":"application/pdf","mimetype":"application/pdf","url":{"label":"DP24-3.pdf","url":"https://grips.repo.nii.ac.jp/record/2000096/files/DP24-3.pdf"},"version_id":"70e10c02-1c6e-4882-958b-b5a5f116bf2b"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Hypergeometric Function","subitem_subject_scheme":"Other"},{"subitem_subject":"Particle Filter","subitem_subject_scheme":"Other"},{"subitem_subject":"Parallel Computing","subitem_subject_scheme":"Other"},{"subitem_subject":"Euler Acceleration","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":"Exact Likelihood for Inverse Gamma Stochastic Volatility Models","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Exact Likelihood for Inverse Gamma Stochastic Volatility Models","subitem_title_language":"en"}]},"item_type_id":"12","owner":"16","path":["1712910681242"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2024-04-24"},"publish_date":"2024-04-24","publish_status":"0","recid":"2000096","relation_version_is_last":true,"title":["Exact Likelihood for Inverse Gamma Stochastic Volatility Models"],"weko_creator_id":"16","weko_shared_id":-1},"updated":"2024-04-24T05:18:09.166476+00:00"}