{"created":"2024-03-07T02:43:01.009643+00:00","id":2000375,"links":{},"metadata":{"_buckets":{"deposit":"5eb6373b-9a58-4df6-b3ff-d113b21ac75a"},"_deposit":{"created_by":15,"id":"2000375","owner":"15","owners":[15],"pid":{"revision_id":0,"type":"depid","value":"2000375"},"status":"published"},"_oai":{"id":"oai:sucra.repo.nii.ac.jp:02000375","sets":["85:359"]},"author_link":["25271"],"item_120_biblio_info_8":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2024-02","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"17","bibliographicPageEnd":"26","bibliographicPageStart":"1","bibliographic_titles":[{"bibliographic_title":"Working Paper Series","bibliographic_titleLang":"en"}]}]},"item_120_date_31":{"attribute_name":"作成日","attribute_value_mlt":[{"subitem_date_issued_datetime":"2024-03-05","subitem_date_issued_type":"Created"}]},"item_120_description_19":{"attribute_name":"概要","attribute_value_mlt":[{"subitem_description":" The expectile-based Value at Risk (EVaR) has gained popularity as it is more sensitive to the magnitude of extreme losses than the conventional quantile-based VaR (QVaR). This paper applies the expectile regression approach to evaluate the EVaR of stock market indices of Australia and Japan. We use an expectile regression model that considers lagged returns and common risk factors to calculate the EVaR for each stock market and to evaluate the interdependence of downside risk between the two markets. Our findings suggest that both Australia and Japan stock markets are affected by their past development and the international stock　markets. Additionally, ASX 200 index has significant impact on Nikkei 225 in terms of downside tail risk, while the impact of Nikkei 225 on ASX is not significant.","subitem_description_language":"en","subitem_description_type":"Other"}]},"item_120_description_29":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"subitem_description":"text","subitem_description_type":"Other"}]},"item_120_description_30":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_120_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.24561/0002000375","subitem_identifier_reg_type":"JaLC"}]},"item_120_publisher_11":{"attribute_name":"出版者名","attribute_value_mlt":[{"subitem_publisher":"埼玉大学経済学部","subitem_publisher_language":"ja"}]},"item_120_publisher_12":{"attribute_name":"出版者名（別言語）","attribute_value_mlt":[{"subitem_publisher":"Faculty of Economics. Saitama University","subitem_publisher_language":"en"}]},"item_120_source_id_14":{"attribute_name":"収録物識別子","attribute_value_mlt":[{"subitem_source_identifier":"21868611","subitem_source_identifier_type":"PISSN"},{"subitem_source_identifier":"AA12600124","subitem_source_identifier_type":"NCID"}]},"item_120_text_27":{"attribute_name":"版","attribute_value_mlt":[{"subitem_text_value":"[出版社版]"}]},"item_120_text_3":{"attribute_name":"著者 ローマ字","attribute_value_mlt":[{"subitem_text_language":"en","subitem_text_value":"MARUMO, Kohei"}]},"item_120_text_32":{"attribute_name":"アイテムID","attribute_value_mlt":[{"subitem_text_value":"KY-21868611-17-01"}]},"item_120_text_4":{"attribute_name":"著者 所属","attribute_value_mlt":[{"subitem_text_language":"ja","subitem_text_value":"埼玉大学経済学部"},{"subitem_text_language":"en","subitem_text_value":"Graduate School of Business and Law (GSBL) RMIT University"}]},"item_120_text_5":{"attribute_name":"著者 所属(別言語)","attribute_value_mlt":[{"subitem_text_language":"en","subitem_text_value":"Faculty of Economics, Saitama University"}]},"item_120_text_9":{"attribute_name":"年月次","attribute_value_mlt":[{"subitem_text_value":"2024-02"}]},"item_120_version_type_28":{"attribute_name":"出版タイプ","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":"丸茂, 幸平","creatorNameLang":"ja"},{"creatorName":"マルモ, コウヘイ","creatorNameLang":"ja-Kana"}],"nameIdentifiers":[{},{}]},{"creatorNames":[{"creatorName":"LI, Steven","creatorNameLang":"en"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2024-03-08"}],"displaytype":"detail","filename":"KY-21868611-17-01.pdf","filesize":[{"value":"689 KB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"KY-21868611-17-01.pdf","objectType":"fulltext","url":"https://sucra.repo.nii.ac.jp/record/2000375/files/KY-21868611-17-01.pdf"},"version_id":"1747b304-aa3c-436d-b645-aff622539a6f"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Downside risk Expectile regression","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Value at Risk (EVaR)","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Expected shortfall (ES)","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Stock market","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":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"Downside risk in Australian and Japanese stock markets : evidence based on the expectile regression","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Downside risk in Australian and Japanese stock markets : evidence based on the expectile regression","subitem_title_language":"en"}]},"item_type_id":"120","owner":"15","path":["359"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2024-03-08"},"publish_date":"2024-03-08","publish_status":"0","recid":"2000375","relation_version_is_last":true,"title":["Downside risk in Australian and Japanese stock markets : evidence based on the expectile regression"],"weko_creator_id":"15","weko_shared_id":-1},"updated":"2024-03-07T02:43:10.490471+00:00"}