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 1 3 7 149
"Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-"(in Japanese) 0 0 0 38 2 3 8 100
"Markov chain Monte Carlo method and its application to the stochastic volatility model"(in Japanese) 0 0 0 61 1 4 5 256
A Discrete/Continuous Choice Model on a Nonconvex Budget Set 0 0 0 35 7 8 16 113
A Discrete/Continuous Choice Model on the Nonconvex Budget Set 0 0 0 34 1 3 6 179
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection 0 0 0 110 2 8 21 258
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems 0 0 0 131 3 3 7 113
Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline 0 0 0 2 2 5 8 42
Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline 0 0 0 39 4 10 25 170
Bayesian Estimation and Particle Filter for Max-Stable Processes 0 0 0 48 3 6 14 104
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 46 2 4 10 210
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 51 3 4 9 194
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 64 4 6 13 474
Bayesian Estimation of Demand Functions under Block-Rate Pricing 0 0 0 63 2 2 6 267
Bayesian Estimation of Entry Games with Application to Japanese Airline Data 0 0 0 68 1 1 5 217
Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria 0 0 1 40 4 5 13 94
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 0 0 40 4 6 16 85
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 0 1 66 2 4 7 76
Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors 0 0 0 28 3 4 13 95
Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-space Model with Correlated Errors 0 0 1 49 1 4 8 127
Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models 0 0 0 70 3 4 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 2 5 16 51
Block Sampler and Posterior Mode Estimation for a Nonlinear and Non-Gaussian State-Space Model with Correlated Errors 0 0 0 0 2 2 5 313
Cholesky Realized Stochastic Volatility Model 0 0 0 26 3 5 18 48
Cholesky Realized Stochastic Volatility Model 0 0 0 39 2 3 6 142
Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set 0 0 0 47 3 4 13 210
Duality-Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing 0 0 0 43 3 3 13 181
Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game 0 0 0 27 5 5 11 102
Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game 0 0 0 69 1 2 4 105
Dynamic Equicorrelation Stochastic Volatility 0 0 0 18 1 2 5 64
Dynamic Equicorrelation Stochastic Volatility 0 0 0 30 4 7 14 98
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 14 0 2 9 85
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 61 3 3 11 143
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 24 1 1 4 119
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors 0 0 0 9 4 4 11 75
Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model 0 0 0 136 2 3 7 356
Efficient estimation and particle filter for max-stable processes 0 0 0 7 1 1 6 40
Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously 0 0 0 251 4 6 32 872
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 1 1 26 2 3 8 84
GH skew Student's t-distribution in stochastic volatility model with application to stock returns 0 1 1 25 1 3 6 73
Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form 0 0 0 86 4 5 14 397
Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form 0 0 0 17 2 2 5 57
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form 0 0 0 8 3 3 8 91
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 4 4 9 74
Leverage, heavy-tails and correlated jumps in stochastic volatility models 0 0 0 112 3 8 16 245
Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach- 0 0 1 23 2 2 10 70
Markov chain Monte Carlo method and its application to the stochastic volatility model 0 0 0 24 2 3 10 109
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 0 3 8 80
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 22 4 6 8 73
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 2 3 5 57
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 24 1 2 7 65
Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 3 1 2 6 26
Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 16 0 0 4 63
Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 26 0 2 8 27
Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations 0 0 0 45 1 3 8 81
Multivariate Stochastic Volatility with Cross Leverage 0 0 0 0 2 3 9 76
Multivariate Stochastic Volatility with Cross Leverage 0 0 0 0 1 3 13 88
Multivariate stochastic volatility 1 1 2 265 1 2 22 583
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 1 5 69 5 9 29 222
News Impact Curve for Stochastic Volatility Models 0 0 0 124 3 7 15 589
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 31 4 4 11 128
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 28 2 2 8 105
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 1 63 1 2 15 251
Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach 0 0 0 14 3 4 17 47
Particle rolling MCMC with double block sampling: conditional SMC update approach 0 0 0 14 2 2 6 32
Realized Stochastic Volatility with Leverage and Long Memory 0 0 0 34 2 4 8 81
Realized stochastic volatility with leverage and long memory 0 0 0 77 5 13 22 125
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution 0 0 0 32 2 4 12 184
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models 0 0 0 39 2 3 7 104
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution 1 1 2 23 5 7 11 91
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution 0 0 0 147 3 6 13 363
Stochastic Volatility with Leverage: Fast Likelihood Inference 0 0 1 172 3 5 16 396
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 3 5 14 110
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution 0 0 0 1 2 5 19 121
Stochastic volatility with leverage: fast likelihood inference 0 0 0 336 3 9 18 931
Tobit Model with Covariate Dependent Thresholds 0 0 0 56 3 5 11 152
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 39 0 1 12 82
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 56 1 4 5 138
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 1 15 0 5 12 73
Total Working Papers 2 5 19 4,130 186 323 879 13,222

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 1 1 3 2 4 10 49
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems 0 0 0 6 0 2 9 49
Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes 0 0 1 4 3 7 13 39
Block sampler and posterior mode estimation for asymmetric stochastic volatility models 0 0 0 17 4 4 12 154
Cholesky realized stochastic volatility model 0 0 0 7 3 4 8 46
Comparing two means in count models having random effects - a UMPU test 0 0 0 7 0 1 1 65
DUOPOLY IN THE JAPANESE AIRLINE MARKET: BAYESIAN ESTIMATION FOR THE ENTRY GAME 0 0 0 13 2 2 7 72
Dynamic equicorrelation stochastic volatility 0 0 0 5 2 2 11 52
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors 0 0 0 12 1 1 6 64
Efficient Gibbs sampler for Bayesian analysis of a sample selection model 0 0 0 26 0 1 4 93
Efficient estimation and particle filter for max‐stable processes 0 0 0 4 1 1 8 29
Estimating stochastic volatility models using daily returns and realized volatility simultaneously 0 1 6 163 2 6 22 468
Estimation for unequally spaced time series of counts with serially correlated random effects 0 0 0 20 3 3 5 94
Exact Estimation of Demand Functions under Block-Rate Pricing 0 0 0 21 1 3 5 88
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form 0 0 0 16 4 5 10 57
Leverage, heavy-tails and correlated jumps in stochastic volatility models 0 0 0 66 0 0 6 177
Matrix exponential stochastic volatility with cross leverage 0 0 0 8 3 4 12 55
Multivariate Factor Stochastic Volatility Model 0 0 0 5 1 1 4 33
News impact curve for stochastic volatility models 0 0 0 37 4 4 13 179
PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH 0 0 1 27 2 3 10 117
Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage 0 1 1 8 2 4 10 32
Realized stochastic volatility with leverage and long memory 0 0 2 7 1 1 7 52
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution 0 2 3 41 3 7 19 111
Stochastic volatility with leverage: Fast and efficient likelihood inference 0 0 3 213 5 7 29 593
Tobit model with covariate dependent thresholds 0 0 0 31 4 6 14 106
Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution 0 0 0 16 0 4 11 94
Total Journal Articles 0 5 18 783 53 87 266 2,968

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