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 1 66 0 1 3 128
"Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-"(in Japanese) 0 0 0 38 0 0 1 87
"Markov chain Monte Carlo method and its application to the stochastic volatility model"(in Japanese) 0 0 0 60 1 1 8 246
A Discrete/Continuous Choice Model on a Nonconvex Budget Set 0 0 1 34 0 2 9 89
A Discrete/Continuous Choice Model on the Nonconvex Budget Set 0 0 4 32 1 3 14 160
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection 0 0 0 108 0 1 5 228
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems 0 0 1 131 0 0 5 102
Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline 0 0 0 2 0 0 1 31
Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline 0 0 0 37 1 1 6 92
Bayesian Estimation and Particle Filter for Max-Stable Processes 0 0 0 48 1 1 2 86
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 46 0 2 6 196
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 1 51 0 2 6 180
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 64 0 2 7 457
Bayesian Estimation of Demand Functions under Block-Rate Pricing 0 0 0 62 0 1 5 254
Bayesian Estimation of Entry Games with Application to Japanese Airline Data 0 0 0 68 0 0 1 207
Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria 0 0 0 37 0 2 7 71
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 0 1 64 0 1 9 59
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 0 2 37 0 1 8 56
Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors 1 1 1 27 2 4 4 76
Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-space Model with Correlated Errors 0 0 0 48 0 1 1 116
Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models 0 0 0 70 0 0 0 134
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 4 0 0 1 30
Block Sampler and Posterior Mode Estimation for a Nonlinear and Non-Gaussian State-Space Model with Correlated Errors 0 0 0 0 0 0 2 305
Cholesky Realized Stochastic Volatility Model 0 0 0 25 1 2 4 21
Cholesky Realized Stochastic Volatility Model 0 0 1 38 2 12 30 81
Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set 0 0 1 46 0 1 7 191
Duality-Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing 0 0 1 40 0 1 6 159
Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game 0 0 0 69 0 2 4 92
Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game 0 0 0 27 0 2 5 88
Dynamic Equicorrelation Stochastic Volatility 0 0 0 17 0 6 17 54
Dynamic Equicorrelation Stochastic Volatility 0 0 0 30 0 3 9 77
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 14 0 1 1 72
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 1 22 0 3 6 105
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 61 0 1 2 129
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors 0 0 0 9 0 2 2 59
Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model 0 0 0 136 0 2 3 345
Efficient estimation and particle filter for max-stable processes 0 0 1 6 0 1 2 28
Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously 0 0 0 247 0 0 6 818
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 3 25 0 3 7 62
GH skew Student's t-distribution in stochastic volatility model with application to stock returns 0 0 0 23 0 1 2 58
Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form 0 0 0 17 0 0 3 45
Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form 0 0 1 83 0 0 10 357
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form 0 0 0 8 0 3 3 80
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 16 0 1 5 54
Leverage, heavy-tails and correlated jumps in stochastic volatility models 0 0 0 111 1 1 2 221
Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach- 0 0 1 17 0 0 4 50
Markov chain Monte Carlo method and its application to the stochastic volatility model 0 0 0 22 0 0 1 93
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 1 22 0 2 4 59
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 0 1 3 65
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 1 24 0 1 6 52
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 20 1 5 11 44
Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 3 0 0 3 16
Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 16 0 0 7 54
Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 25 0 1 5 15
Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations 0 0 0 44 1 1 4 65
Multivariate Stochastic Volatility with Cross Leverage 0 0 0 0 0 5 8 66
Multivariate Stochastic Volatility with Cross Leverage 0 0 0 0 0 0 0 62
Multivariate stochastic volatility 0 0 0 260 0 2 6 540
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 0 56 1 3 4 160
News Impact Curve for Stochastic Volatility Models 0 0 1 115 4 8 27 466
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 31 0 1 6 111
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 1 28 1 4 9 93
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 2 56 0 1 11 213
Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach 0 0 0 14 0 1 5 27
Particle rolling MCMC with double block sampling: conditional SMC update approach 1 1 1 13 1 2 6 20
Realized Stochastic Volatility with Leverage and Long Memory 0 0 1 31 0 1 3 58
Realized stochastic volatility with leverage and long memory 0 0 0 77 2 3 7 101
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution 0 0 0 32 0 2 5 169
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models 0 0 0 39 0 1 4 89
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution 0 1 1 18 0 1 5 69
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution 0 2 2 143 1 3 10 325
Stochastic Volatility with Leverage: Fast Likelihood Inference 0 0 0 169 1 4 6 326
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 4 10 80
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution 0 0 0 1 1 3 9 92
Stochastic volatility with leverage: fast likelihood inference 0 0 0 335 1 1 11 877
Tobit Model with Covariate Dependent Thresholds 0 0 1 55 0 0 2 134
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 1 37 0 0 7 60
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 14 2 4 10 54
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 54 0 3 8 122
Total Working Papers 2 6 35 4,011 28 142 474 11,413


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 1 0 1 7 23
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems 0 0 0 3 0 0 7 26
Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes 0 0 2 3 0 2 5 17
Block sampler and posterior mode estimation for asymmetric stochastic volatility models 0 0 0 16 0 0 1 100
Cholesky realized stochastic volatility model 0 0 2 5 0 3 11 27
Comparing two means in count models having random effects - a UMPU test 0 0 0 7 0 0 6 63
DUOPOLY IN THE JAPANESE AIRLINE MARKET: BAYESIAN ESTIMATION FOR THE ENTRY GAME 0 0 0 12 0 2 7 60
Dynamic equicorrelation stochastic volatility 0 0 2 5 0 2 9 38
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors 0 0 0 10 0 0 2 46
Efficient Gibbs sampler for Bayesian analysis of a sample selection model 0 0 1 25 0 0 3 78
Efficient estimation and particle filter for max‐stable processes 0 0 0 3 0 1 2 17
Estimating stochastic volatility models using daily returns and realized volatility simultaneously 0 1 3 139 0 2 12 391
Estimation for unequally spaced time series of counts with serially correlated random effects 0 0 1 19 0 0 1 84
Exact Estimation of Demand Functions under Block-Rate Pricing 0 1 1 12 1 2 13 47
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form 0 0 2 12 0 0 4 38
Leverage, heavy-tails and correlated jumps in stochastic volatility models 0 0 0 65 0 0 5 156
Matrix exponential stochastic volatility with cross leverage 0 0 0 3 1 2 6 30
Multivariate Factor Stochastic Volatility Model 0 1 1 3 0 2 2 21
News impact curve for stochastic volatility models 0 0 1 34 0 0 6 134
PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH 0 0 0 21 0 1 5 88
Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage 0 0 1 6 0 0 2 15
Realized stochastic volatility with leverage and long memory 0 0 0 4 0 0 5 35
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution 0 1 1 28 0 1 4 60
Stochastic volatility with leverage: Fast and efficient likelihood inference 1 2 16 151 4 8 31 350
Tobit model with covariate dependent thresholds 0 0 0 29 1 1 2 88
Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution 0 0 2 9 0 1 13 54
Total Journal Articles 1 6 36 625 7 31 171 2,086


Statistics updated 2020-11-03