{"created":"2023-05-15T16:32:02.292561+00:00","id":3701,"links":{},"metadata":{"_buckets":{"deposit":"d816bf82-81aa-4c09-90a5-3ad66f7cdce5"},"_deposit":{"created_by":2,"id":"3701","owners":[2],"pid":{"revision_id":0,"type":"depid","value":"3701"},"status":"published"},"_oai":{"id":"oai:nagasaki-u.repo.nii.ac.jp:00003701","sets":["82:87:88:254"]},"author_link":["15100","15101"],"item_3_alternative_title_19":{"attribute_name":"その他のタイトル","attribute_value_mlt":[{"subitem_alternative_title":"An Empirical Model of Short-Term Interest Rate Futures"}]},"item_3_biblio_info_6":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2016-09-25","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"1-2","bibliographicPageEnd":"14","bibliographicPageStart":"1","bibliographicVolumeNumber":"96","bibliographic_titles":[{"bibliographic_title":"経営と経済"},{"bibliographic_title":"Journal of Business and Economics","bibliographic_titleLang":"en"}]}]},"item_3_description_4":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"In this paper, we consider a short-term interest rate futures model. We estimate and forecast our model by using the daily data of the 3-month Eurodollar futures traded at the Chicago Mercantile Exchange（CME）．Our statistical approach is based on a similar idea of that of Kariya et al．（1997）rather than that of the arbitrage pricing theory such as Heath-Jarrow-Morton（HJM）．The aim of this paper is thus to construct an empirical model which is consistent with the observed data as much as possible．","subitem_description_type":"Abstract"}]},"item_3_description_5":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"村田省三教授、バスー・ディパック教授定年退職記念号","subitem_description_type":"Other"},{"subitem_description":"In Honour of Prof. Shozo Murata and Prof. Dipak R. Basu","subitem_description_type":"Other"}]},"item_3_description_64":{"attribute_name":"引用","attribute_value_mlt":[{"subitem_description":"経営と経済, 96(1-2), pp.1-14; 2016","subitem_description_type":"Other"}]},"item_3_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"15101","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Kamizono, Kenji"}]}]},"item_3_publisher_33":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"長崎大学経済学会"}]},"item_3_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN00069150","subitem_source_identifier_type":"NCID"}]},"item_3_source_id_7":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"02869101","subitem_source_identifier_type":"ISSN"}]},"item_3_text_62":{"attribute_name":"sortkey","attribute_value_mlt":[{"subitem_text_value":"03"}]},"item_3_text_63":{"attribute_name":"出版者別言語","attribute_value_mlt":[{"subitem_text_value":"Economics Society of Nagasaki University"}]},"item_3_version_type_16":{"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":"神薗, 健次"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2020-12-21"}],"displaytype":"detail","filename":"Keizai96_1_1.pdf","filesize":[{"value":"671.1 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"Keizai96_1_1.pdf","url":"https://nagasaki-u.repo.nii.ac.jp/record/3701/files/Keizai96_1_1.pdf"},"version_id":"79b2b9b3-9985-40b0-9357-7fce15e305b7"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"interest rate model","subitem_subject_scheme":"Other"},{"subitem_subject":"yield curve","subitem_subject_scheme":"Other"},{"subitem_subject":"Euro-dollar futures","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"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":"実証的分析視点に基づく短期金利先物モデル","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"実証的分析視点に基づく短期金利先物モデル"}]},"item_type_id":"3","owner":"2","path":["254"],"pubdate":{"attribute_name":"公開日","attribute_value":"2016-10-21"},"publish_date":"2016-10-21","publish_status":"0","recid":"3701","relation_version_is_last":true,"title":["実証的分析視点に基づく短期金利先物モデル"],"weko_creator_id":"2","weko_shared_id":2},"updated":"2023-05-15T18:33:25.601100+00:00"}