{"created":"2023-05-15T13:52:05.127852+00:00","id":13815,"links":{},"metadata":{"_buckets":{"deposit":"094037e9-5ac7-487e-b6f9-401c26f13af2"},"_deposit":{"created_by":1,"id":"13815","owners":[1],"pid":{"revision_id":0,"type":"depid","value":"13815"},"status":"published"},"_oai":{"id":"oai:chuo-u.repo.nii.ac.jp:00013815","sets":["442:887"]},"author_link":["51307","51306"],"item_10002_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2020-08-31","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"37","bibliographicPageEnd":"123","bibliographicPageStart":"101","bibliographic_titles":[{"bibliographic_title":"企業研究"}]}]},"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":" How many structural and times series exchange rate models fit the out-of-sample test? Can we predict future foreign exchange rates? These are major questions for practitioners in the global financial and business environment. And there are no fixed, final conclusions. It all depends on the purpose of predictions, forecasting period, available data and knowledge of statistics and modeling by the people involved. This paper does not provide a miracle solution but offers basic guidelines to design appropriate evaluation processes. The complete programming codes are open for public via GitHub. The basic guidelines consist of two evaluation methods (the forecasting direction of FX movements and forecasting accuracy), two model specifications (the first difference and VECM), multistep forecast and the out-of-sample test with cross validation. Readers can modify the process to suit their own purposes and easily and efficiently evaluate them by altering programing codes.","subitem_description_type":"Abstract"}]},"item_10002_full_name_32":{"attribute_name":"著者別名(英)","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"51307","nameIdentifierScheme":"WEKO"}],"names":[{"name":"MORIYA, Hiroyuki","nameLang":"en"}]}]},"item_10002_publisher_8":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"企業研究所"}]},"item_10002_rights_15":{"attribute_name":"権利","attribute_value_mlt":[{"subitem_rights":"この資料の著作権は、資料の著作者または学校法人中央大学に帰属します。著作権法が定める私的利用・引用を超える使用を希望される場合には、掲載誌発行部局へお問い合わせください。"}]},"item_10002_source_id_9":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"1347-9938","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":"森谷, 博之"},{"creatorName":"モリヤ, ヒロユキ","creatorNameLang":"ja-Kana"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2022-02-28"}],"displaytype":"detail","filename":"1347-9938-37-05.pdf","filesize":[{"value":"826.7 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"本文を見る","url":"https://chuo-u.repo.nii.ac.jp/record/13815/files/1347-9938-37-05.pdf"},"version_id":"70b80803-4f2d-420a-b615-fe80fc60b242"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"為替レート","subitem_subject_scheme":"Other"},{"subitem_subject":"予測","subitem_subject_scheme":"Other"},{"subitem_subject":"構造モデル","subitem_subject_scheme":"Other"},{"subitem_subject":"セントルイス連銀データベース","subitem_subject_scheme":"Other"},{"subitem_subject":"スタットモデル","subitem_subject_scheme":"Other"},{"subitem_subject":"パイソン","subitem_subject_scheme":"Other"},{"subitem_subject":"foreign exchange rate","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"prediction","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"stuructual model","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"FRED","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"statsmodels","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Python","subitem_subject_language":"en","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":"為替レートの構造モデルと予測能力 : アウトオブサンプル評価とその意義","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"為替レートの構造モデルと予測能力 : アウトオブサンプル評価とその意義"},{"subitem_title":"Forecasting Accuracy of Structural and Time Series Exchange Rate Models: The Out-of-sample Test and Its Purpose","subitem_title_language":"en"}]},"item_type_id":"10002","owner":"1","path":["887"],"pubdate":{"attribute_name":"公開日","attribute_value":"2022-02-28"},"publish_date":"2022-02-28","publish_status":"0","recid":"13815","relation_version_is_last":true,"title":["為替レートの構造モデルと予測能力 : アウトオブサンプル評価とその意義"],"weko_creator_id":"1","weko_shared_id":-1},"updated":"2023-05-15T16:38:05.531984+00:00"}