{"created":"2023-07-25T10:29:36.820938+00:00","id":869,"links":{},"metadata":{"_buckets":{"deposit":"fede8966-4dd3-4b23-a2b3-8f2c1301b7e1"},"_deposit":{"created_by":1,"id":"869","owners":[1],"pid":{"revision_id":0,"type":"depid","value":"869"},"status":"published"},"_oai":{"id":"oai:hue.repo.nii.ac.jp:00000869","sets":["46:120:226:227"]},"author_link":["2152","2153"],"item_10002_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2009-03-31","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"4","bibliographicPageEnd":"69","bibliographicPageStart":"41","bibliographicVolumeNumber":"31","bibliographic_titles":[{"bibliographic_title":"広島経済大学経済研究論集"},{"bibliographic_title":"HUE Journal of Economics and Business","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":"In this paper, we analyze volatility in high frequency data on returns on the\nexchange rate for the Japanese Yen against the US dollar during the following\neconomic crises: the Russian financial crisis of 1998； the Asian financial crisis of\n1997-98； and the current global financial crisis, which began in 2008. We in\nparticular analyze the effects of these economic crises on long memory processes in\nvolatility by using the autoregressive fractionally integrated moving average model\nwith an explanatory exogenous variable,which can represent asymmetry in volatility.\nFrom this model, we find that there are statistical evidences of long memory and\nasymmetry in volatility in the returns on the Yen/US$ exchange rate.We compare the\neffect of the Russian and Asian financial crises on long memory and find that the\nformer effect on volatility is larger than the latter.Concernig with the current global\nfinancial crisis,it is ongoing and hence firmer conclusions on this period await the end\nof this crisis.However as long as the data up to November,2008is concerned we can\nsee that the current global financial crisis has extremely strong effects on the long\nmemory property.Roughly speaking,the size of the shock seems to be associated with\nthe magnitude of the long memory parameter.We may suggest that d could be used\nas an indicator to evaluate the level of the shocks in economic crises.","subitem_description_type":"Abstract"}]},"item_10002_publisher_8":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"広島経済大学経済学会"}]},"item_10002_source_id_11":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN00212083","subitem_source_identifier_type":"NCID"}]},"item_10002_source_id_9":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"0387-1436","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":"Maekawa, Koichi"},{"creatorName":"マエカワ, コウイチ","creatorNameLang":"ja-Kana"}],"nameIdentifiers":[{"nameIdentifier":"2152","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Lu, Xinhong"}],"nameIdentifiers":[{"nameIdentifier":"2153","nameIdentifierScheme":"WEKO"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2023-02-28"}],"displaytype":"detail","filename":"keizai1978310403.pdf","filesize":[{"value":"1.5 MB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"keizai1978310403.pdf","url":"https://hue.repo.nii.ac.jp/record/869/files/keizai1978310403.pdf"},"version_id":"baf9a6d9-b910-49c7-b850-2f0c073445bc"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"ARFIMAX model","subitem_subject_scheme":"Other"},{"subitem_subject":"Financial crisis","subitem_subject_scheme":"Other"},{"subitem_subject":"Exchange rate","subitem_subject_scheme":"Other"},{"subitem_subject":"High frequency time","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":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"Long Memory in the Realized Volatility of Returns on the Yen/US$ Exchange Rate during the Three Financial Crises","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Long Memory in the Realized Volatility of Returns on the Yen/US$ Exchange Rate during the Three Financial Crises","subitem_title_language":"en"}]},"item_type_id":"10002","owner":"1","path":["227"],"pubdate":{"attribute_name":"公開日","attribute_value":"2023-02-28"},"publish_date":"2023-02-28","publish_status":"0","recid":"869","relation_version_is_last":true,"title":["Long Memory in the Realized Volatility of Returns on the Yen/US$ Exchange Rate during the Three Financial Crises"],"weko_creator_id":"1","weko_shared_id":-1},"updated":"2023-07-25T11:03:18.924811+00:00"}