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Details about Yasuhiro Omori

E-mail:
Homepage:http://www.omori.e.u-tokyo.ac.jp/index-e.html
Workplace:Faculty of Economics, University of Tokyo, (more information at EDIRC)

Access statistics for papers by Yasuhiro Omori.

Last updated 2016-07-08. Update your information in the RePEc Author Service.

Short-id: pom13


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Working Papers

2015

  1. Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2015) Downloads
  2. Cholesky Realized Stochastic Volatility Model
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
  3. Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2014) Downloads View citations (1)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2014) Downloads View citations (1)

    See also Journal Article in International Journal of Forecasting (2016)

2014

  1. A Discrete/Continuous Choice Model on a Nonconvex Budget Set
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
  2. Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
  3. Dynamic Equicorrelation Stochastic Volatility
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2013) Downloads

    See also Journal Article in Computational Statistics & Data Analysis (2016)
  4. Matrix Exponential Stochastic Volatility with Cross Leverage
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (3)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2013) Downloads View citations (1)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2014) Downloads View citations (1)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2011) View citations (3)

    See also Journal Article in Computational Statistics & Data Analysis (2016)

2013

  1. A Discrete/Continuous Choice Model on the Nonconvex Budget Set
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
  2. An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (1)
  3. Realized Stochastic Volatility with Leverage and Long Memory
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2012) Downloads

    See also Journal Article in Computational Statistics & Data Analysis (2014)

2012

  1. An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
  2. Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
  3. News Impact Curve for Stochastic Volatility Models
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (1)
    See also Journal Article in Economics Letters (2013)

2011

  1. Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
  2. Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (3)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) View citations (1)

    See also Journal Article in The Japanese Economic Review (2012)
  3. Efficient estimation and particle filter for max-stable processes
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    See also Journal Article in Journal of Time Series Analysis (2012)
  4. Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    Also in IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan (2009) Downloads
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)

    See also Journal Article in Computational Statistics & Data Analysis (2012)

2010

  1. "GH skew Student's t-distribution in stochastic volatility model with application to stock returns" (in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
  2. Bayesian Estimation and Particle Filter for Max-Stable Processes
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
  3. Bayesian Estimation of Demand Functions under Block-Rate Pricing
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2006) View citations (5)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2008) View citations (2)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads
  4. Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
  5. Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads View citations (1)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)

    See also Journal Article in Computational Statistics & Data Analysis (2012)
  6. GH skew Student's t-distribution in stochastic volatility model with application to stock returns
    CARF J-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads
  7. Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    Also in Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2010) Downloads View citations (2)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) Downloads

    See also Journal Article in The Japanese Economic Review (2011)
  8. Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (1)
  9. Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (3)
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2010) Downloads View citations (2)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)

    See also Journal Article in Computational Statistics & Data Analysis (2012)

2009

  1. Multivariate Stochastic Volatility with Cross Leverage
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo View citations (19)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (16)

2008

  1. "Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-"(in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (1)
  2. Bayesian Estimation of Entry Games with Application to Japanese Airline Data
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
  3. Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-
    CARF J-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads View citations (1)
  4. Tobit Model with Covariate Dependent Thresholds
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2010)

2007

  1. "Markov chain Monte Carlo method and its application to the stochastic volatility model"(in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
  2. Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads View citations (1)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2003) View citations (1)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2007) Downloads
  3. Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2008)
  4. Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models (Published in "Computational Statistics and Data Analysis", 52-6, 2892-2910. February 2008. )
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads
  5. Duality-Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
  6. Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (1)
    See also Journal Article in Statistics & Probability Letters (2007)
  7. Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (4)
    See also Journal Article in Computational Statistics & Data Analysis (2009)
  8. Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously ( Revised in March 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2404-2426. April 2009. )
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads
  9. Leverage, Heavy-Tails and Correlated Jumps in Stochastic Volatility Models (Revised in January 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2335-2353. April 2009. )
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads
  10. Leverage, heavy-tails and correlated jumps in stochastic volatility models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2009)
  11. Markov chain Monte Carlo method and its application to the stochastic volatility model
    CARF J-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads
  12. Multivariate stochastic volatility
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (11)
  13. Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Mikosch), 365-400. Springer-Verlag: New York. April 2009. )
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads

2004

  1. Stochastic Volatility with Leverage: Fast Likelihood Inference
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (2)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) Downloads View citations (6)
  2. Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. )
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads

Journal Articles

2016

  1. Dynamic equicorrelation stochastic volatility
    Computational Statistics & Data Analysis, 2016, 100, (C), 795-813 Downloads View citations (1)
    See also Working Paper (2014)
  2. Matrix exponential stochastic volatility with cross leverage
    Computational Statistics & Data Analysis, 2016, 100, (C), 331-350 Downloads View citations (3)
    See also Working Paper (2014)
  3. Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
    International Journal of Forecasting, 2016, 32, (2), 437-457 Downloads View citations (2)
    See also Working Paper (2015)

2014

  1. Realized stochastic volatility with leverage and long memory
    Computational Statistics & Data Analysis, 2014, 76, (C), 618-641 Downloads View citations (4)
    See also Working Paper (2013)

2013

  1. News impact curve for stochastic volatility models
    Economics Letters, 2013, 120, (1), 130-134 Downloads View citations (1)
    See also Working Paper (2012)

2012

  1. DUOPOLY IN THE JAPANESE AIRLINE MARKET: BAYESIAN ESTIMATION FOR THE ENTRY GAME
    The Japanese Economic Review, 2012, 63, (3), 310-332 Downloads View citations (2)
    See also Working Paper (2011)
  2. Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
    Computational Statistics & Data Analysis, 2012, 56, (11), 3674-3689 Downloads View citations (11)
    See also Working Paper (2010)
  3. Efficient estimation and particle filter for max‐stable processes
    Journal of Time Series Analysis, 2012, 33, (1), 61-80 Downloads View citations (1)
    See also Working Paper (2011)
  4. Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
    Computational Statistics & Data Analysis, 2012, 56, (11), 3241-3259 Downloads View citations (2)
    See also Working Paper (2011)
  5. Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution
    Computational Statistics & Data Analysis, 2012, 56, (11), 3690-3704 Downloads View citations (19)
    See also Working Paper (2010)

2011

  1. PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH
    The Japanese Economic Review, 2011, 62, (3), 365-386 Downloads View citations (8)
    See also Working Paper (2010)

2010

  1. Tobit model with covariate dependent thresholds
    Computational Statistics & Data Analysis, 2010, 54, (11), 2736-2752 Downloads View citations (4)
    See also Working Paper (2008)

2009

  1. Estimating stochastic volatility models using daily returns and realized volatility simultaneously
    Computational Statistics & Data Analysis, 2009, 53, (6), 2404-2426 Downloads View citations (45)
    See also Working Paper (2007)
  2. Leverage, heavy-tails and correlated jumps in stochastic volatility models
    Computational Statistics & Data Analysis, 2009, 53, (6), 2335-2353 Downloads View citations (23)
    See also Working Paper (2007)

2008

  1. Block sampler and posterior mode estimation for asymmetric stochastic volatility models
    Computational Statistics & Data Analysis, 2008, 52, (6), 2892-2910 Downloads View citations (45)
    See also Working Paper (2007)

2007

  1. Efficient Gibbs sampler for Bayesian analysis of a sample selection model
    Statistics & Probability Letters, 2007, 77, (12), 1300-1311 Downloads View citations (5)
    See also Working Paper (2007)
  2. Multivariate Factor Stochastic Volatility Model
    Economic Review, 2007, 58, (4), 335-351 Downloads View citations (1)
  3. Stochastic volatility with leverage: Fast and efficient likelihood inference
    Journal of Econometrics, 2007, 140, (2), 425-449 Downloads View citations (102)

2003

  1. Estimation for unequally spaced time series of counts with serially correlated random effects
    Statistics & Probability Letters, 2003, 63, (1), 1-12 Downloads View citations (1)

1997

  1. Comparing two means in count models having random effects - a UMPU test
    Statistics & Probability Letters, 1997, 34, (3), 225-235 Downloads
 
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