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 1 1 1 143
"Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-"(in Japanese) 0 0 0 38 0 0 1 92
"Markov chain Monte Carlo method and its application to the stochastic volatility model"(in Japanese) 0 0 0 61 0 0 0 251
A Discrete/Continuous Choice Model on a Nonconvex Budget Set 0 0 0 35 1 1 2 98
A Discrete/Continuous Choice Model on the Nonconvex Budget Set 0 0 0 34 0 0 1 173
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection 0 0 0 110 0 0 0 237
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems 0 0 0 131 0 0 1 106
Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline 0 0 0 2 0 1 2 34
Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline 0 0 0 39 0 0 0 145
Bayesian Estimation and Particle Filter for Max-Stable Processes 0 0 0 48 0 1 1 90
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 51 0 0 2 185
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 64 0 0 0 461
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 46 0 0 1 200
Bayesian Estimation of Demand Functions under Block-Rate Pricing 0 0 0 63 0 1 1 261
Bayesian Estimation of Entry Games with Application to Japanese Airline Data 0 0 0 68 0 1 1 212
Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria 0 1 2 39 0 2 6 81
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 0 0 40 0 2 5 69
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 0 0 65 0 0 2 69
Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors 0 0 0 28 0 0 0 82
Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-space Model with Correlated Errors 0 0 0 48 0 0 1 119
Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models 0 0 0 70 0 0 0 139
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 0 6 0 0 0 35
Block Sampler and Posterior Mode Estimation for a Nonlinear and Non-Gaussian State-Space Model with Correlated Errors 0 0 0 0 0 0 0 308
Cholesky Realized Stochastic Volatility Model 0 0 0 26 0 1 3 30
Cholesky Realized Stochastic Volatility Model 0 0 1 39 0 0 3 136
Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set 0 0 0 47 0 0 0 197
Duality-Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing 0 0 1 43 0 0 2 168
Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game 0 0 0 69 0 0 0 101
Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game 0 0 0 27 0 0 0 91
Dynamic Equicorrelation Stochastic Volatility 0 0 0 30 0 0 0 84
Dynamic Equicorrelation Stochastic Volatility 0 0 0 18 0 0 1 59
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 24 0 0 1 115
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 14 2 2 4 78
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 61 0 0 0 132
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors 0 0 0 9 0 0 0 64
Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model 0 0 0 136 0 0 1 349
Efficient estimation and particle filter for max-stable processes 0 0 0 7 0 0 0 34
Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously 0 0 2 251 0 2 11 840
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 0 25 0 0 2 76
GH skew Student's t-distribution in stochastic volatility model with application to stock returns 0 0 1 24 0 0 1 67
Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form 0 0 0 86 0 0 2 383
Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form 0 0 0 17 0 0 0 52
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form 0 0 0 8 1 1 1 84
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 0 65
Leverage, heavy-tails and correlated jumps in stochastic volatility models 0 0 1 112 1 1 2 230
Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach- 0 0 0 22 0 0 1 60
Markov chain Monte Carlo method and its application to the stochastic volatility model 0 0 0 24 0 0 0 99
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 22 0 0 0 65
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 0 0 1 52
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 24 0 0 1 58
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 0 0 2 72
Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 3 0 0 0 20
Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 16 0 1 1 59
Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 26 0 0 0 19
Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations 0 0 0 45 0 0 0 73
Multivariate Stochastic Volatility with Cross Leverage 0 0 0 0 0 0 3 75
Multivariate Stochastic Volatility with Cross Leverage 0 0 0 0 0 0 0 67
Multivariate stochastic volatility 0 0 0 263 0 1 2 561
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 2 64 0 1 6 193
News Impact Curve for Stochastic Volatility Models 0 0 0 124 0 1 2 574
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 62 0 0 1 236
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 31 0 0 1 117
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 28 0 0 1 97
Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach 0 0 0 14 0 0 1 30
Particle rolling MCMC with double block sampling: conditional SMC update approach 0 0 0 14 0 0 0 26
Realized Stochastic Volatility with Leverage and Long Memory 0 0 0 34 0 0 1 73
Realized stochastic volatility with leverage and long memory 0 0 0 77 0 0 0 103
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution 0 0 0 32 1 1 1 173
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models 0 0 0 39 0 0 0 97
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution 0 0 0 21 0 1 1 80
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution 0 0 0 147 1 1 4 351
Stochastic Volatility with Leverage: Fast Likelihood Inference 0 0 0 171 0 0 1 380
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 1 2 96
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution 0 0 0 1 0 1 1 102
Stochastic volatility with leverage: fast likelihood inference 0 0 0 336 1 1 4 914
Tobit Model with Covariate Dependent Thresholds 0 0 0 56 0 0 0 141
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 14 0 1 4 61
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 39 0 0 1 70
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 56 0 0 2 133
Total Working Papers 0 1 10 4,111 9 28 107 12,352

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A discrete/continuous choice model on a nonconvex budget set 0 0 0 2 0 0 2 39
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems 0 0 1 6 0 0 3 40
Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes 0 0 0 3 0 0 1 26
Block sampler and posterior mode estimation for asymmetric stochastic volatility models 0 0 1 17 1 1 13 143
Cholesky realized stochastic volatility model 0 0 1 7 0 0 2 38
Comparing two means in count models having random effects - a UMPU test 0 0 0 7 0 0 0 64
DUOPOLY IN THE JAPANESE AIRLINE MARKET: BAYESIAN ESTIMATION FOR THE ENTRY GAME 0 0 0 13 0 0 0 65
Dynamic equicorrelation stochastic volatility 0 0 0 5 0 0 0 41
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors 0 0 1 12 0 0 3 58
Efficient Gibbs sampler for Bayesian analysis of a sample selection model 0 0 0 26 0 0 0 89
Efficient estimation and particle filter for max‐stable processes 0 0 0 4 1 1 1 22
Estimating stochastic volatility models using daily returns and realized volatility simultaneously 2 3 7 159 2 4 16 448
Estimation for unequally spaced time series of counts with serially correlated random effects 0 0 0 20 0 0 0 89
Exact Estimation of Demand Functions under Block-Rate Pricing 0 0 1 21 0 0 1 83
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form 0 0 1 16 0 0 2 47
Leverage, heavy-tails and correlated jumps in stochastic volatility models 0 0 0 66 1 1 2 172
Matrix exponential stochastic volatility with cross leverage 0 0 0 8 1 2 2 44
Multivariate Factor Stochastic Volatility Model 0 1 1 5 0 1 3 29
News impact curve for stochastic volatility models 0 0 0 37 2 3 7 168
PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH 0 0 0 26 1 1 3 108
Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage 0 0 0 7 0 0 1 22
Realized stochastic volatility with leverage and long memory 0 0 0 5 1 1 1 46
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution 0 1 1 38 0 1 5 92
Stochastic volatility with leverage: Fast and efficient likelihood inference 1 1 11 211 1 1 18 565
Tobit model with covariate dependent thresholds 0 0 0 31 0 1 1 92
Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution 0 0 0 16 0 0 3 83
Total Journal Articles 3 6 26 768 11 18 90 2,713

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