Access Statistics for Yasuhiro Omori

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
"GH skew Student's t-distribution in stochastic volatility model with application to stock returns" (in Japanese) 0 0 0 69 0 0 6 149
"Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-"(in Japanese) 0 0 0 38 0 0 8 100
"Markov chain Monte Carlo method and its application to the stochastic volatility model"(in Japanese) 0 0 0 61 0 1 6 257
A Discrete/Continuous Choice Model on a Nonconvex Budget Set 0 0 0 35 0 0 15 113
A Discrete/Continuous Choice Model on the Nonconvex Budget Set 0 0 0 34 0 0 6 179
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection 0 0 0 110 1 2 23 260
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems 0 0 0 131 0 1 8 114
Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline 0 0 0 2 0 0 7 42
Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline 0 0 0 39 0 0 25 170
Bayesian Estimation and Particle Filter for Max-Stable Processes 0 0 0 48 0 1 14 105
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 64 0 1 14 475
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 46 0 2 10 212
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 51 0 1 9 195
Bayesian Estimation of Demand Functions under Block-Rate Pricing 0 0 0 63 0 0 5 267
Bayesian Estimation of Entry Games with Application to Japanese Airline Data 0 0 0 68 0 1 6 218
Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria 0 0 1 40 0 0 13 94
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 0 0 40 1 1 16 86
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 0 0 48 0 2 9 35
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 0 1 66 1 2 9 78
Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors 0 0 0 28 0 0 13 95
Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-space Model with Correlated Errors 0 0 1 49 0 2 10 129
Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models 0 0 0 70 0 0 12 151
Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models (Published in "Computational Statistics and Data Analysis", 52-6, 2892-2910. February 2008. ) 0 0 1 7 0 0 16 51
Block Sampler and Posterior Mode Estimation for a Nonlinear and Non-Gaussian State-Space Model with Correlated Errors 0 0 0 0 0 0 5 313
Cholesky Realized Stochastic Volatility Model 0 0 0 26 0 0 18 48
Cholesky Realized Stochastic Volatility Model 0 0 0 39 0 0 6 142
Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set 0 0 0 47 0 1 13 211
Duality-Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing 0 0 0 43 0 1 13 182
Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game 0 0 0 27 0 0 11 102
Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game 0 0 0 69 0 1 4 106
Dynamic Equicorrelation Stochastic Volatility 0 0 0 18 1 1 6 65
Dynamic Equicorrelation Stochastic Volatility 0 0 0 30 0 0 13 98
Dynamic Factor Stochastic Volatility-in-Mean VAR for Large Macroeconomic Panels 0 7 21 21 2 6 12 12
Dynamic Factor, Leverage and Realized Covariances in Multivariate Stochastic Volatility 0 1 1 3 0 1 5 15
Dynamic Factor, Leverage and Realized Covariances in Multivariate Stochastic Volatility 0 0 0 22 0 1 5 27
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility 0 0 0 1 0 0 5 11
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 24 0 0 4 119
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 14 0 0 7 85
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 61 0 0 11 143
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors 0 0 0 9 2 2 13 77
Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model 0 0 0 136 0 0 7 356
Efficient estimation and particle filter for max-stable processes 0 0 0 7 0 1 6 41
Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously 0 0 0 251 0 2 34 874
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. ) 0 0 1 26 0 1 8 85
Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility 0 2 5 65 1 8 88 194
GH skew Student's t-distribution in stochastic volatility model with application to stock returns 0 0 1 25 1 2 8 75
Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form 0 0 0 86 0 2 16 399
Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form 0 0 0 17 0 0 4 57
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form 0 0 0 8 0 1 8 92
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. ) 0 0 0 21 0 0 8 74
Leverage, heavy-tails and correlated jumps in stochastic volatility models 0 0 0 112 0 0 15 245
Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach- 0 0 0 23 0 0 8 70
Markov chain Monte Carlo method and its application to the stochastic volatility model 0 0 0 24 0 0 9 109
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 0 1 8 81
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 22 0 0 8 73
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 24 0 2 9 67
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 0 0 4 57
Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 16 0 1 5 64
Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 3 0 1 7 27
Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 26 0 0 8 27
Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations 0 0 1 5 0 0 5 21
Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations 0 0 0 11 0 0 12 41
Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations 0 0 0 7 0 1 7 43
Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations 0 0 0 45 1 2 10 83
Multivariate Stochastic Volatility with Cross Leverage 0 0 0 0 1 1 14 89
Multivariate Stochastic Volatility with Cross Leverage 0 0 0 0 0 0 9 76
Multivariate stochastic volatility 0 0 2 265 1 4 24 587
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. ) 0 0 4 69 0 1 29 223
News Impact Curve for Stochastic Volatility Models 0 0 0 124 0 0 14 589
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 28 0 1 8 106
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 31 0 1 11 129
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 1 63 0 1 16 252
Particle Rolling MCMC 0 0 0 25 0 0 6 41
Particle Rolling MCMC with Double-Block Sampling 0 0 0 43 0 0 9 30
Particle rolling MCMC 0 0 0 4 0 1 9 32
Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach 0 0 0 14 0 0 16 47
Particle rolling MCMC with double block sampling: conditional SMC update approach 0 0 0 14 0 0 6 32
Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting 0 0 1 26 0 1 19 42
Realized Stochastic Volatility with Leverage and Long Memory 0 0 0 34 0 1 9 82
Realized stochastic volatility with leverage and long memory 0 0 0 77 0 3 25 128
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution 0 0 0 32 0 1 10 185
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models 0 0 0 39 0 1 7 105
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution 0 0 2 23 0 2 13 93
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution 0 0 0 147 0 1 13 364
Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler 0 0 0 1 0 2 12 25
Stochastic Volatility with Leverage: Fast Likelihood Inference 0 0 1 172 0 1 17 397
Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. ) 0 0 0 18 0 0 13 110
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution 0 0 0 1 0 0 19 121
Stochastic volatility with leverage: fast likelihood inference 0 0 0 336 0 2 18 933
Tobit Model with Covariate Dependent Thresholds 0 0 0 56 0 1 11 153
Unified Mixture Sampler for State-Space Models: Application to Stochastic Conditional Duration Models 0 2 4 4 0 0 1 1
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 1 15 0 2 13 75
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 39 0 3 14 85
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 56 0 2 7 140
Total Working Papers 0 12 50 4,416 13 89 1,105 13,858

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Multivariate Randomized Response Model for Sensitive Binary Data 0 0 0 2 0 1 7 15
A discrete/continuous choice model on a nonconvex budget set 0 0 1 3 1 1 9 50
A multivariate randomized response model for mixed-type data 0 0 0 0 1 2 6 6
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems 0 0 0 6 0 1 9 50
Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria 0 0 0 4 0 0 10 29
Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes 0 0 1 4 1 2 15 41
Block sampler and posterior mode estimation for asymmetric stochastic volatility models 0 0 0 17 1 2 13 156
Cholesky realized stochastic volatility model 0 0 0 7 0 0 8 46
Comparing two means in count models having random effects - a UMPU test 0 0 0 7 0 1 2 66
DUOPOLY IN THE JAPANESE AIRLINE MARKET: BAYESIAN ESTIMATION FOR THE ENTRY GAME 0 0 0 13 1 1 8 73
Dynamic equicorrelation stochastic volatility 0 0 0 5 1 1 12 53
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility 0 1 1 1 0 1 5 6
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors 0 0 0 12 1 1 7 65
Efficient Gibbs sampler for Bayesian analysis of a sample selection model 0 0 0 26 0 0 4 93
Efficient estimation and particle filter for max‐stable processes 0 0 0 4 0 1 8 30
Estimating stochastic volatility models using daily returns and realized volatility simultaneously 0 0 3 163 1 1 20 469
Estimation for unequally spaced time series of counts with serially correlated random effects 0 0 0 20 0 0 5 94
Exact Estimation of Demand Functions under Block-Rate Pricing 0 0 0 21 1 1 5 89
Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility 0 0 5 5 1 7 31 34
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form 0 0 0 16 0 1 10 58
Leverage, heavy-tails and correlated jumps in stochastic volatility models 0 0 0 66 1 2 7 179
Matrix exponential stochastic volatility with cross leverage 0 0 0 8 0 1 12 56
Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity 0 0 0 9 0 3 13 36
Multivariate Factor Stochastic Volatility Model 0 0 0 5 0 0 4 33
Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations 0 0 1 3 1 1 5 18
News impact curve for stochastic volatility models 0 0 0 37 0 0 9 179
PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH 0 0 1 27 0 0 9 117
Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage 0 0 0 14 0 3 14 60
Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage 0 0 1 8 1 1 11 33
Realized stochastic volatility with leverage and long memory 0 0 1 7 0 0 5 52
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution 0 1 4 42 1 5 24 116
Stochastic volatility with leverage: Fast and efficient likelihood inference 0 0 1 213 3 3 29 596
Tobit model with covariate dependent thresholds 0 0 0 31 0 1 14 107
Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution 0 0 0 16 1 2 12 96
Total Journal Articles 0 2 20 822 18 47 362 3,201

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Multivariate Stochastic Volatility 0 0 0 0 0 0 6 6
Multivariate Stochastic Volatility Model with Cross Leverage 0 0 0 0 0 0 2 2
Total Chapters 0 0 0 0 0 0 8 8

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Statistics updated 2026-08-07