Stochastic volatility with leverage: Fast and efficient likelihood inference Y Omori, S Chib, N Shephard, J Nakajima Journal of Econometrics 140 (2), 425-449, 2007 | 545 | 2007 |

Estimating stochastic volatility models using daily returns and realized volatility simultaneously M Takahashi, Y Omori, T Watanabe Computational Statistics & Data Analysis 53 (6), 2404-2426, 2009 | 178 | 2009 |

A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997) T Watanabe, Y Omori Biometrika, 246-248, 2004 | 176 | 2004 |

Multivariate stochastic volatility S Chib, Y Omori, M Asai Handbook of financial time series, 365-400, 2009 | 170 | 2009 |

Leverage, heavy-tails and correlated jumps in stochastic volatility models J Nakajima, Y Omori Computational Statistics & Data Analysis 53 (6), 2335-2353, 2009 | 115 | 2009 |

Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution J Nakajima, Y Omori Computational Statistics & Data Analysis 56 (11), 3690-3704, 2012 | 110 | 2012 |

Block sampler and posterior mode estimation for asymmetric stochastic volatility models Y Omori, T Watanabe Computational Statistics & Data Analysis 52 (6), 2892-2910, 2008 | 110 | 2008 |

Realized stochastic volatility with leverage and long memory S Shirota, T Hizu, Y Omori Computational Statistics & Data Analysis 76, 618-641, 2014 | 49 | 2014 |

Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution M Takahashi, T Watanabe, Y Omori International Journal of Forecasting 32 (2), 437-457, 2016 | 46 | 2016 |

Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors T Ishihara, Y Omori Computational Statistics & Data Analysis 56 (11), 3674-3689, 2012 | 43 | 2012 |

Generalized extreme value distribution with time-dependence using the AR and MA models in state space form J Nakajima, T Kunihama, Y Omori, S Frühwirth-Schnatter Computational Statistics & Data Analysis 56 (11), 3241-3259, 2012 | 40 | 2012 |

Matrix exponential stochastic volatility with cross leverage T Ishihara, Y Omori, M Asai Computational Statistics & Data Analysis 100, 331-350, 2016 | 33 | 2016 |

The influence of random effects on the unconditional hazard rate and survival functions Y Omori, RA Johnson Biometrika 80 (4), 910-914, 1993 | 32 | 1993 |

Cholesky realized stochastic volatility model S Shirota, Y Omori, HF Lopes, H Piao Econometrics and Statistics 3, 34-59, 2017 | 27 | 2017 |

Panel data analysis of Japanese residential water demand using a discrete/continuous choice approach K Miyawaki, Y Omori, A Hibiki The Japanese Economic Review 62 (3), 365-386, 2011 | 27 | 2011 |

Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations Y Yamauchi, Y Omori Journal of Business & Economic Statistics 38 (4), 839-855, 2020 | 18 | 2020 |

Measuring identification disclosure risk for categorical microdata by posterior population uniqueness Y Omori Statistical Data Protection-Proceedings of the Conference, 59-76, 1999 | 18 | 1999 |

Efficient Gibbs sampler for Bayesian analysis of a sample selection model Y Omori Statistics & probability letters 77 (12), 1300-1311, 2007 | 17 | 2007 |

News impact curve for stochastic volatility models M Takahashi, Y Omori, T Watanabe Economics Letters 120 (1), 130-134, 2013 | 15 | 2013 |

News impact curve for stochastic volatility models M Takahashi, Y Omori, T Watanabe Economics Letters 120 (1), 130-134, 2013 | 15 | 2013 |