{"created":"2023-06-20T16:44:42.463292+00:00","id":63,"links":{},"metadata":{"_buckets":{"deposit":"c8e85b01-c44d-4793-beb6-2c06433b40ce"},"_deposit":{"created_by":5,"id":"63","owners":[5],"pid":{"revision_id":0,"type":"depid","value":"63"},"status":"published"},"_oai":{"id":"oai:meiji.repo.nii.ac.jp:00000063","sets":["6:9"]},"author_link":["1275","1276","1277"],"item_3_biblio_info_6":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2018-08-10","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"2","bibliographicPageEnd":"332","bibliographicPageStart":"297","bibliographicVolumeNumber":"1","bibliographic_titles":[{"bibliographic_title":"Japanese Journal of Statistics and Data Science"}]}]},"item_3_description_4":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"In economic and financial time series we sometimes observe sudden and large price jumps. Although these events are relatively rare, they have significant impacts on not only a given financial market but also several different markets and wider macro economies. Using simultaneous Hawkes-type multivariate point process（SHPP）models, it is possible to analyze the causal effects of large events in the sense of the Granger-non-causality（GNC）from one market to other markets as well as the instantaneous Granger-non-causality（IGNC）. We investigate the financial market of Tokyo and other major markets, and apply GNC tests to investigate the interde pendence of large events among markets. Several important empirical findings emerge among financial markets and wider macro economies.","subitem_description_type":"Abstract"}]},"item_3_publisher_32":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"Springer","subitem_publisher_language":"ja"}]},"item_3_relation_11":{"attribute_name":"DOI","attribute_value_mlt":[{"subitem_relation_type":"isIdenticalTo","subitem_relation_type_id":{"subitem_relation_type_id_text":"info:doi/10.1007/s42081-018-0017-3","subitem_relation_type_select":"DOI"}}]},"item_3_rights_12":{"attribute_name":"権利","attribute_value_mlt":[{"subitem_rights":"ⒸThe Author(s) 2018，Open Access This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made."}]},"item_3_source_id_7":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"2520-8764","subitem_source_identifier_type":"ISSN"}]},"item_3_version_type_15":{"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":"Naoto, Kunitomo","creatorNameLang":"en"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"Daisuke, Kurisu","creatorNameLang":"en"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"Naoki, Awaya","creatorNameLang":"en"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2022-10-10"}],"displaytype":"detail","filename":"jjsds_1_2_297.pdf","filesize":[{"value":"1.8 MB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"jjsds_1_2_297.pdf","url":"https://meiji.repo.nii.ac.jp/record/63/files/jjsds_1_2_297.pdf"},"version_id":"cd232934-b250-4d22-986a-13348b6d9757"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Simultaneous Hawkes-type marked point process（SHPP）","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Granger-non-causality","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Instantaneous non-causality","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Non-causality tests","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"International financial markets","subitem_subject_language":"en","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":"journal article","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"Simultaneous multivariate Hawkes-type point processes and their application to financial markets","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Simultaneous multivariate Hawkes-type point processes and their application to financial markets","subitem_title_language":"en"}]},"item_type_id":"3","owner":"5","path":["9"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2020-03-30"},"publish_date":"2020-03-30","publish_status":"0","recid":"63","relation_version_is_last":true,"title":["Simultaneous multivariate Hawkes-type point processes and their application to financial markets"],"weko_creator_id":"5","weko_shared_id":-1},"updated":"2023-09-20T03:15:08.427523+00:00"}