{"created":"2023-06-20T13:43:34.103600+00:00","id":1344,"links":{},"metadata":{"_buckets":{"deposit":"94d613dc-f726-4c54-983a-f83c03fe7b27"},"_deposit":{"created_by":2,"id":"1344","owners":[2],"pid":{"revision_id":0,"type":"depid","value":"1344"},"status":"published"},"_oai":{"id":"oai:fut.repo.nii.ac.jp:00001344","sets":["1"]},"author_link":["13877","13876"],"item_10002_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2014-06-27","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"44","bibliographicPageEnd":"424","bibliographicPageStart":"413","bibliographic_titles":[{"bibliographic_title":"福井工業大学研究紀要"}]}]},"item_10002_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"This paper proposes a method to estimate the parameters of price adjustment model based on the Kalman filter and smoother. From the estimated parameters, we decompose the observed stock return volatility to the value return volatility and the market microstructure noise volatility. We argue that this method may be considered an attractive alternative to the method of observed return's moments. We use data on the eighty stocks of the TOPIX 100 to illustrate the method. The results indicate that the method seems to work well. An empirical analysis provides evidence that the adjustment coefficient represents partial price adjustment to new intrinsic value. We also find that the value return volatility is higher than the market microstructure noise volatility.","subitem_description_type":"Abstract"}]},"item_10002_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.57375/00001338","subitem_identifier_reg_type":"JaLC"}]},"item_10002_publisher_8":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"福井工業大学"}]},"item_10002_relation_11":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"TF00009797","subitem_relation_type_select":"NCID"}}]},"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":"千葉, 賢"}],"nameIdentifiers":[{"nameIdentifier":"13876","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Chiba, Masaru","creatorNameLang":"en"}],"nameIdentifiers":[{"nameIdentifier":"13877","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":"2023-04-12"}],"displaytype":"detail","filename":"413-424.pdf","filesize":[{"value":"9.0 MB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"413-424.pdf","url":"https://fut.repo.nii.ac.jp/record/1344/files/413-424.pdf"},"version_id":"1ce5f0f4-deb3-478d-9145-252e6fbc55e3"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Market Microstructure Theory","subitem_subject_scheme":"Other"},{"subitem_subject":"Price Adjustment Model","subitem_subject_scheme":"Other"},{"subitem_subject":"State Space Model","subitem_subject_scheme":"Other"},{"subitem_subject":"Kalman Filter and Smoother","subitem_subject_scheme":"Other"},{"subitem_subject":"Volatility Decomposition","subitem_subject_scheme":"Other"},{"subitem_subject":"Idetification Problem","subitem_subject_scheme":"Other"}]},"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":"状態空間形式による価格調整モデルの推定手法の提案","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"状態空間形式による価格調整モデルの推定手法の提案"},{"subitem_title":"A State Space Approach to the Estimation of Price Adjustment Model","subitem_title_language":"en"}]},"item_type_id":"10002","owner":"2","path":["1"],"pubdate":{"attribute_name":"公開日","attribute_value":"2014-06-27"},"publish_date":"2014-06-27","publish_status":"0","recid":"1344","relation_version_is_last":true,"title":["状態空間形式による価格調整モデルの推定手法の提案"],"weko_creator_id":"2","weko_shared_id":-1},"updated":"2023-06-20T14:15:07.418545+00:00"}