Access Statistics for Yasuhiro Omori

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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 1 143
"Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-"(in Japanese) 0 0 0 38 0 1 1 93
"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 3 99
A Discrete/Continuous Choice Model on the Nonconvex Budget Set 0 0 0 34 0 2 3 175
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection 0 0 0 110 1 1 1 238
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems 0 0 0 131 1 1 2 107
Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline 0 0 0 2 0 0 3 35
Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline 0 0 0 39 2 2 2 147
Bayesian Estimation and Particle Filter for Max-Stable Processes 0 0 0 48 1 2 4 93
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 46 0 0 3 202
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 64 1 2 2 463
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 51 0 0 3 186
Bayesian Estimation of Demand Functions under Block-Rate Pricing 0 0 0 63 0 0 2 262
Bayesian Estimation of Entry Games with Application to Japanese Airline Data 0 0 0 68 0 0 1 212
Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria 1 1 3 40 1 2 7 83
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 0 0 40 1 3 8 73
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 0 0 65 0 0 1 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 1 1 2 120
Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models 0 0 0 70 4 4 4 143
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 1 39 2 2 5 138
Cholesky Realized Stochastic Volatility Model 0 0 0 26 0 2 4 32
Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set 0 0 0 47 1 1 2 199
Duality-Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing 0 0 0 43 1 3 5 172
Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game 0 0 0 27 0 0 0 91
Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game 0 0 0 69 0 0 1 102
Dynamic Equicorrelation Stochastic Volatility 0 0 0 30 0 0 1 85
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 61 1 1 1 133
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 14 1 2 6 80
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 9 1 1 1 65
Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model 0 0 0 136 1 1 2 350
Efficient estimation and particle filter for max-stable processes 0 0 0 7 0 2 3 37
Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously 0 0 1 251 0 1 8 841
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 1 3 78
GH skew Student's t-distribution in stochastic volatility model with application to stock returns 0 0 0 24 0 0 0 67
Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form 0 0 0 86 2 3 4 386
Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form 0 0 0 17 0 0 1 53
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form 0 0 0 8 1 1 2 85
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 1 66
Leverage, heavy-tails and correlated jumps in stochastic volatility models 0 0 0 112 0 1 2 231
Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach- 0 0 1 23 0 0 3 62
Markov chain Monte Carlo method and its application to the stochastic volatility model 0 0 0 24 1 2 3 102
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 24 0 0 1 58
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 0 0 2 53
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 0 1 4 74
Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 3 0 1 1 21
Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 16 0 1 2 60
Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 26 1 1 1 20
Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations 0 0 0 45 1 1 1 74
Multivariate Stochastic Volatility with Cross Leverage 0 0 0 0 0 0 0 67
Multivariate Stochastic Volatility with Cross Leverage 0 0 0 0 1 1 2 76
Multivariate stochastic volatility 0 0 0 263 4 4 7 567
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 3 4 68 1 8 11 202
News Impact Curve for Stochastic Volatility Models 0 0 0 124 1 1 3 576
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 31 1 1 3 119
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 1 1 63 1 2 3 238
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 28 0 0 2 98
Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach 0 0 0 14 0 0 2 31
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 5 5 5 108
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution 0 0 0 32 1 2 5 177
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models 0 0 0 39 2 2 3 100
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution 0 0 0 21 1 1 2 81
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution 0 0 0 147 0 2 4 353
Stochastic Volatility with Leverage: Fast Likelihood Inference 0 0 0 171 1 2 3 382
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 1 2 5 99
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution 0 0 0 1 6 7 8 109
Stochastic volatility with leverage: fast likelihood inference 0 0 0 336 1 2 6 917
Tobit Model with Covariate Dependent Thresholds 0 0 0 56 0 0 1 142
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 14 1 2 4 64
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 56 0 0 1 133
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 39 3 3 4 74
Total Working Papers 1 5 11 4,118 59 98 210 12,485

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 2 3 6 44
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems 0 0 1 6 0 2 6 43
Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes 0 0 0 3 0 2 2 28
Block sampler and posterior mode estimation for asymmetric stochastic volatility models 0 0 0 17 3 3 9 146
Cholesky realized stochastic volatility model 0 0 0 7 0 0 1 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 1 1 1 66
Dynamic equicorrelation stochastic volatility 0 0 0 5 1 1 1 42
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors 0 0 0 12 0 1 3 59
Efficient Gibbs sampler for Bayesian analysis of a sample selection model 0 0 0 26 1 2 2 91
Efficient estimation and particle filter for max‐stable processes 0 0 0 4 2 2 3 24
Estimating stochastic volatility models using daily returns and realized volatility simultaneously 1 1 6 161 2 3 12 452
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 0 21 0 0 1 84
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form 0 0 0 16 0 0 1 48
Leverage, heavy-tails and correlated jumps in stochastic volatility models 0 0 0 66 0 0 2 172
Matrix exponential stochastic volatility with cross leverage 0 0 0 8 0 0 2 44
Multivariate Factor Stochastic Volatility Model 0 0 1 5 1 1 4 30
News impact curve for stochastic volatility models 0 0 0 37 0 1 8 171
PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH 0 1 1 27 0 1 4 109
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 1 2 7 0 2 4 49
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution 0 0 1 38 1 2 6 94
Stochastic volatility with leverage: Fast and efficient likelihood inference 1 1 5 213 8 10 19 577
Tobit model with covariate dependent thresholds 0 0 0 31 1 2 4 95
Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution 0 0 0 16 1 1 3 85
Total Journal Articles 2 4 17 775 24 40 105 2,766

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