Details about Yasuhiro Omori

Access statistics for papers by Yasuhiro Omori.

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Short-id: pom13

Working Papers

2018

1. Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
   Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2016) View citations (1)
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2016) View citations (1)
2. Particle rolling MCMC with double block sampling: conditional SMC update approach
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
   Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2017)

2016

3. Cholesky Realized Stochastic Volatility Model
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (2)
   Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2015) View citations (2)
   See also Journal Article Cholesky realized stochastic volatility model, Econometrics and Statistics, Elsevier (2017) View citations (11) (2017)
4. Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo

2015

5. 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
   Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2015) View citations (1)
   See also Journal Article Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes, Journal of Applied Statistics, Taylor & Francis Journals (2017) View citations (4) (2017)
6. Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
   Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2014) View citations (2)
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2014) View citations (2)
   See also Journal Article Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution, International Journal of Forecasting, Elsevier (2016) View citations (25) (2016)

2014

7. A Discrete/Continuous Choice Model on a Nonconvex Budget Set
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
   Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2013)
   See also Journal Article A discrete/continuous choice model on a nonconvex budget set, Econometric Reviews, Taylor & Francis Journals (2018) View citations (1) (2018)
8. Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
9. Dynamic Equicorrelation Stochastic Volatility
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
   Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2013)
   See also Journal Article Dynamic equicorrelation stochastic volatility, Computational Statistics & Data Analysis, Elsevier (2016) View citations (6) (2016)
10. Matrix Exponential Stochastic Volatility with Cross Leverage
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (7)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2014) View citations (13)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2013) View citations (2)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2011) View citations (3)
    See also Journal Article Matrix exponential stochastic volatility with cross leverage, Computational Statistics & Data Analysis, Elsevier (2016) View citations (17) (2016)

2013

11. An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)
12. Realized Stochastic Volatility with Leverage and Long Memory
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2012)
    See also Journal Article Realized stochastic volatility with leverage and long memory, Computational Statistics & Data Analysis, Elsevier (2014) View citations (26) (2014)

2012

13. 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
    See also Journal Article An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems, Computational Economics, Springer (2017) (2017)
14. Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)
15. News Impact Curve for Stochastic Volatility Models
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (1)
    See also Journal Article News impact curve for stochastic volatility models, Economics Letters, Elsevier (2013) View citations (7) (2013)

2011

16. Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
17. Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (3)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010) View citations (1)
    See also Journal Article DUOPOLY IN THE JAPANESE AIRLINE MARKET: BAYESIAN ESTIMATION FOR THE ENTRY GAME, The Japanese Economic Review, Japanese Economic Association (2012) View citations (7) (2012)
18. Efficient estimation and particle filter for max-stable processes
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)
    See also Journal Article Efficient estimation and particle filter for max‐stable processes, Journal of Time Series Analysis, Wiley Blackwell (2012) View citations (4) (2012)
19. 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 View citations (5)
    Also in IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan (2009) View citations (2)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (2)
    See also Journal Article Generalized extreme value distribution with time-dependence using the AR and MA models in state space form, Computational Statistics & Data Analysis, Elsevier (2012) View citations (7) (2012)

2010

20. "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
21. Bayesian Estimation and Particle Filter for Max-Stable Processes
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)
22. Bayesian Estimation of Demand Functions under Block-Rate Pricing
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (3)
    Also in 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)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2006) View citations (5)
23. Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
24. 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
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) View citations (5)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
    See also Journal Article Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors, Computational Statistics & Data Analysis, Elsevier (2012) View citations (24) (2012)
25. 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
26. 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 CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2010)
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2010) View citations (2)
    See also Journal Article PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH, The Japanese Economic Review, Japanese Economic Association (2011) View citations (14) (2011)
27. 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 View citations (1)
28. 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 View citations (1)
    Also in Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2010) View citations (2)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (3)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
    See also Journal Article Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution, Computational Statistics & Data Analysis, Elsevier (2012) View citations (49) (2012)

2009

29. Multivariate Stochastic Volatility with Cross Leverage
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo View citations (33)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (30)

2008

30. "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 View citations (1)
31. Bayesian Estimation of Entry Games with Application to Japanese Airline Data
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
32. 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 View citations (1)
33. Tobit Model with Covariate Dependent Thresholds
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    See also Journal Article Tobit model with covariate dependent thresholds, Computational Statistics & Data Analysis, Elsevier (2010) View citations (6) (2010)

2007

34. "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
35. 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 View citations (2)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2003) View citations (3)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2007) View citations (2)
36. Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)
    See also Journal Article Block sampler and posterior mode estimation for asymmetric stochastic volatility models, Computational Statistics & Data Analysis, Elsevier (2008) View citations (71) (2008)
37. 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
38. Duality-Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
39. Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (8)
    See also Journal Article Efficient Gibbs sampler for Bayesian analysis of a sample selection model, Statistics & Probability Letters, Elsevier (2007) View citations (8) (2007)
40. Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (5)
    See also Journal Article Estimating stochastic volatility models using daily returns and realized volatility simultaneously, Computational Statistics & Data Analysis, Elsevier (2009) View citations (125) (2009)
41. 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
42. 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
43. Leverage, heavy-tails and correlated jumps in stochastic volatility models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (2)
    See also Journal Article Leverage, heavy-tails and correlated jumps in stochastic volatility models, Computational Statistics & Data Analysis, Elsevier (2009) View citations (50) (2009)
44. 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
45. Multivariate stochastic volatility
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (15)
46. 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

2004

47. Stochastic Volatility with Leverage: Fast Likelihood Inference
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (4)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) View citations (7)
48. 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

Journal Articles

2018

1. A discrete/continuous choice model on a nonconvex budget set
   Econometric Reviews, 2018, 37, (2), 89-113 View citations (1)
   See also Working Paper A Discrete/Continuous Choice Model on a Nonconvex Budget Set, CIRJE F-Series (2014) (2014)

2017

2. An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems
   Computational Economics, 2017, 50, (3), 473-502
   See also Working Paper An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems, CIRJE F-Series (2012) (2012)
3. Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes
   Journal of Applied Statistics, 2017, 44, (7), 1248-1268 View citations (4)
   See also Working Paper Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes, CIRJE F-Series (2015) (2015)
4. Cholesky realized stochastic volatility model
   Econometrics and Statistics, 2017, 3, (C), 34-59 View citations (11)
   See also Working Paper Cholesky Realized Stochastic Volatility Model, CIRJE F-Series (2016) View citations (2) (2016)
5. Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage
   The Japanese Economic Review, 2017, 68, (1), 63-94 View citations (8)

2016

6. Dynamic equicorrelation stochastic volatility
   Computational Statistics & Data Analysis, 2016, 100, (C), 795-813 View citations (6)
   See also Working Paper Dynamic Equicorrelation Stochastic Volatility, CIRJE F-Series (2014) (2014)
7. Exact Estimation of Demand Functions under Block-Rate Pricing
   Econometric Reviews, 2016, 35, (3), 311-343 View citations (2)
8. Matrix exponential stochastic volatility with cross leverage
   Computational Statistics & Data Analysis, 2016, 100, (C), 331-350 View citations (17)
   See also Working Paper Matrix Exponential Stochastic Volatility with Cross Leverage, CIRJE F-Series (2014) View citations (7) (2014)
9. Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
   International Journal of Forecasting, 2016, 32, (2), 437-457 View citations (25)
   See also Working Paper Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution, CIRJE F-Series (2015) (2015)

2014

10. Realized stochastic volatility with leverage and long memory
    Computational Statistics & Data Analysis, 2014, 76, (C), 618-641 View citations (26)
    See also Working Paper Realized Stochastic Volatility with Leverage and Long Memory, CIRJE F-Series (2013) (2013)

2013

11. News impact curve for stochastic volatility models
    Economics Letters, 2013, 120, (1), 130-134 View citations (7)
    See also Working Paper News Impact Curve for Stochastic Volatility Models, Global COE Hi-Stat Discussion Paper Series (2012) View citations (1) (2012)

2012

12. DUOPOLY IN THE JAPANESE AIRLINE MARKET: BAYESIAN ESTIMATION FOR THE ENTRY GAME
    The Japanese Economic Review, 2012, 63, (3), 310-332 View citations (7)
    See also Working Paper Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game, CIRJE F-Series (2011) View citations (3) (2011)
13. 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 View citations (24)
    See also Working Paper Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors, CIRJE F-Series (2010) (2010)
14. Efficient estimation and particle filter for max‐stable processes
    Journal of Time Series Analysis, 2012, 33, (1), 61-80 View citations (4)
    See also Working Paper Efficient estimation and particle filter for max-stable processes, CIRJE F-Series (2011) View citations (1) (2011)
15. 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 View citations (7)
    See also Working Paper Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form, CIRJE F-Series (2011) View citations (5) (2011)
16. 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 View citations (49)
    See also Working Paper Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution, CARF F-Series (2010) View citations (1) (2010)

2011

17. PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH
    The Japanese Economic Review, 2011, 62, (3), 365-386 View citations (14)
    See also Working Paper Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach, CIRJE F-Series (2010) (2010)

2010

18. Tobit model with covariate dependent thresholds
    Computational Statistics & Data Analysis, 2010, 54, (11), 2736-2752 View citations (6)
    See also Working Paper Tobit Model with Covariate Dependent Thresholds, CIRJE F-Series (2008) (2008)

2009

19. Estimating stochastic volatility models using daily returns and realized volatility simultaneously
    Computational Statistics & Data Analysis, 2009, 53, (6), 2404-2426 View citations (125)
    See also Working Paper Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously, CIRJE F-Series (2007) View citations (5) (2007)
20. Leverage, heavy-tails and correlated jumps in stochastic volatility models
    Computational Statistics & Data Analysis, 2009, 53, (6), 2335-2353 View citations (50)
    See also Working Paper Leverage, heavy-tails and correlated jumps in stochastic volatility models, CIRJE F-Series (2007) View citations (2) (2007)

2008

21. Block sampler and posterior mode estimation for asymmetric stochastic volatility models
    Computational Statistics & Data Analysis, 2008, 52, (6), 2892-2910 View citations (71)
    See also Working Paper Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models, CIRJE F-Series (2007) View citations (1) (2007)

2007

22. Efficient Gibbs sampler for Bayesian analysis of a sample selection model
    Statistics & Probability Letters, 2007, 77, (12), 1300-1311 View citations (8)
    See also Working Paper Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model, CIRJE F-Series (2007) View citations (8) (2007)
23. Multivariate Factor Stochastic Volatility Model
    Economic Review, 2007, 58, (4), 335-351 View citations (1)
24. Stochastic volatility with leverage: Fast and efficient likelihood inference
    Journal of Econometrics, 2007, 140, (2), 425-449 View citations (295)

2003

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

1997

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