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Yasuhiro Omori
Yasuhiro Omori
Verified email at e.u-tokyo.ac.jp - Homepage
Title
Cited by
Cited by
Year
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
5452007
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
1782009
A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)
T Watanabe, Y Omori
Biometrika, 246-248, 2004
1762004
Multivariate stochastic volatility
S Chib, Y Omori, M Asai
Handbook of financial time series, 365-400, 2009
1702009
Leverage, heavy-tails and correlated jumps in stochastic volatility models
J Nakajima, Y Omori
Computational Statistics & Data Analysis 53 (6), 2335-2353, 2009
1152009
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
1102012
Block sampler and posterior mode estimation for asymmetric stochastic volatility models
Y Omori, T Watanabe
Computational Statistics & Data Analysis 52 (6), 2892-2910, 2008
1102008
Realized stochastic volatility with leverage and long memory
S Shirota, T Hizu, Y Omori
Computational Statistics & Data Analysis 76, 618-641, 2014
492014
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
462016
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
432012
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
402012
Matrix exponential stochastic volatility with cross leverage
T Ishihara, Y Omori, M Asai
Computational Statistics & Data Analysis 100, 331-350, 2016
332016
The influence of random effects on the unconditional hazard rate and survival functions
Y Omori, RA Johnson
Biometrika 80 (4), 910-914, 1993
321993
Cholesky realized stochastic volatility model
S Shirota, Y Omori, HF Lopes, H Piao
Econometrics and Statistics 3, 34-59, 2017
272017
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
272011
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
182020
Measuring identification disclosure risk for categorical microdata by posterior population uniqueness
Y Omori
Statistical Data Protection-Proceedings of the Conference, 59-76, 1999
181999
Efficient Gibbs sampler for Bayesian analysis of a sample selection model
Y Omori
Statistics & probability letters 77 (12), 1300-1311, 2007
172007
News impact curve for stochastic volatility models
M Takahashi, Y Omori, T Watanabe
Economics Letters 120 (1), 130-134, 2013
152013
News impact curve for stochastic volatility models
M Takahashi, Y Omori, T Watanabe
Economics Letters 120 (1), 130-134, 2013
152013
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