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 65 0 0 4 124
"Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-"(in Japanese) 0 0 0 38 0 0 0 86
"Markov chain Monte Carlo method and its application to the stochastic volatility model"(in Japanese) 0 0 0 60 0 0 2 237
A Discrete/Continuous Choice Model on a Nonconvex Budget Set 0 0 1 33 0 0 4 80
A Discrete/Continuous Choice Model on the Nonconvex Budget Set 0 0 1 28 0 0 11 146
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection 0 1 4 107 0 1 9 222
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems 0 0 0 130 1 1 1 97
Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline 0 0 0 2 0 0 4 30
Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline 0 0 0 37 0 0 1 86
Bayesian Estimation and Particle Filter for Max-Stable Processes 0 0 0 48 0 0 0 84
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 46 0 1 1 189
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 2 50 1 1 7 174
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 64 1 3 4 448
Bayesian Estimation of Demand Functions under Block-Rate Pricing 0 0 0 62 1 1 6 249
Bayesian Estimation of Entry Games with Application to Japanese Airline Data 0 0 0 68 0 0 2 206
Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria 0 0 0 37 0 0 7 64
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 1 1 35 1 3 6 47
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 0 0 63 0 0 7 48
Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors 0 0 1 26 0 0 3 71
Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-space Model with Correlated Errors 0 0 0 48 1 1 4 115
Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models 0 0 0 70 0 0 2 134
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 2 2 2 29
Block Sampler and Posterior Mode Estimation for a Nonlinear and Non-Gaussian State-Space Model with Correlated Errors 0 0 0 0 0 0 1 303
Cholesky Realized Stochastic Volatility Model 0 0 0 37 2 4 6 49
Cholesky Realized Stochastic Volatility Model 0 0 0 25 0 2 6 16
Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set 0 0 2 45 1 1 7 184
Duality-Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing 0 0 0 39 0 0 4 152
Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game 0 0 0 69 0 0 3 87
Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game 0 0 0 27 0 0 1 82
Dynamic Equicorrelation Stochastic Volatility 0 0 0 30 0 0 2 67
Dynamic Equicorrelation Stochastic Volatility 0 0 0 17 1 3 9 34
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 61 0 0 1 127
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 1 21 1 1 7 99
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 14 0 0 0 70
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors 0 1 1 9 0 1 4 57
Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model 0 0 0 136 0 0 2 341
Efficient estimation and particle filter for max-stable processes 0 0 0 5 1 1 3 26
Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously 0 1 1 247 1 2 7 811
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 22 0 1 4 54
GH skew Student's t-distribution in stochastic volatility model with application to stock returns 0 0 0 23 1 1 5 55
Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form 0 0 0 17 1 2 4 41
Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form 0 0 0 82 1 2 4 347
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form 0 0 0 8 0 0 3 76
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 3 5 16 0 3 8 48
Leverage, heavy-tails and correlated jumps in stochastic volatility models 0 1 1 111 3 4 8 217
Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach- 0 0 0 16 0 0 0 46
Markov chain Monte Carlo method and its application to the stochastic volatility model 0 0 0 22 0 0 3 91
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 20 2 2 4 32
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 0 0 1 61
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 1 23 0 1 4 45
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 1 3 9 54
Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 1 3 0 2 6 12
Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 16 1 4 10 45
Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 25 1 2 4 8
Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations 0 0 2 44 2 4 18 60
Multivariate Stochastic Volatility with Cross Leverage 0 0 0 0 1 2 4 57
Multivariate Stochastic Volatility with Cross Leverage 0 0 0 0 0 0 2 62
Multivariate stochastic volatility 0 0 0 260 4 7 12 534
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 56 1 2 10 155
News Impact Curve for Stochastic Volatility Models 0 0 1 113 2 4 15 436
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 27 0 1 1 82
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 31 0 1 4 104
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 54 0 0 9 201
Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach 0 0 0 14 0 0 5 21
Particle rolling MCMC with double block sampling: conditional SMC update approach 0 0 1 12 0 1 8 12
Realized Stochastic Volatility with Leverage and Long Memory 0 0 0 30 0 0 3 52
Realized stochastic volatility with leverage and long memory 0 0 0 77 0 0 2 92
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution 0 0 0 32 1 2 3 164
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models 1 1 1 39 3 4 5 85
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution 1 1 1 17 1 3 6 61
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution 0 0 2 141 1 1 9 312
Stochastic Volatility with Leverage: Fast Likelihood Inference 0 0 1 169 0 0 5 320
Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. ) 0 0 1 18 3 4 11 70
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution 0 0 0 1 1 2 6 83
Stochastic volatility with leverage: fast likelihood inference 0 1 2 335 0 2 6 866
Tobit Model with Covariate Dependent Thresholds 0 0 0 54 3 3 4 132
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 36 0 0 5 52
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 14 0 1 3 43
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 1 54 1 1 4 113
Total Working Papers 2 12 41 3,974 50 101 387 10,872


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 1 1 1 1 2 5 11 15
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems 0 0 1 3 0 0 7 19
Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes 0 0 1 1 0 3 8 10
Block sampler and posterior mode estimation for asymmetric stochastic volatility models 0 0 0 16 3 4 4 99
Cholesky realized stochastic volatility model 0 0 1 3 1 2 7 14
Comparing two means in count models having random effects - a UMPU test 0 0 0 7 0 0 0 57
DUOPOLY IN THE JAPANESE AIRLINE MARKET: BAYESIAN ESTIMATION FOR THE ENTRY GAME 0 0 0 12 0 0 3 53
Dynamic equicorrelation stochastic volatility 0 0 1 3 2 2 8 28
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors 0 0 1 10 2 3 12 44
Efficient Gibbs sampler for Bayesian analysis of a sample selection model 0 0 1 24 0 0 1 75
Efficient estimation and particle filter for max‐stable processes 0 0 0 3 0 1 1 15
Estimating stochastic volatility models using daily returns and realized volatility simultaneously 0 1 6 136 0 4 20 378
Estimation for unequally spaced time series of counts with serially correlated random effects 0 0 1 18 0 0 3 82
Exact Estimation of Demand Functions under Block-Rate Pricing 1 2 2 11 2 5 9 34
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form 0 1 1 10 1 2 3 34
Leverage, heavy-tails and correlated jumps in stochastic volatility models 0 1 4 64 0 4 16 150
Matrix exponential stochastic volatility with cross leverage 0 0 0 2 0 1 2 20
Multivariate Factor Stochastic Volatility Model 0 0 0 2 0 0 3 19
News impact curve for stochastic volatility models 0 0 0 33 1 2 9 127
PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH 0 1 2 21 1 2 4 81
Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage 1 2 4 5 2 3 7 12
Realized stochastic volatility with leverage and long memory 0 0 1 4 0 0 4 28
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution 1 1 4 27 1 1 5 56
Stochastic volatility with leverage: Fast and efficient likelihood inference 2 3 16 135 3 9 40 318
Tobit model with covariate dependent thresholds 0 0 0 29 0 2 3 86
Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution 0 0 1 6 1 2 13 39
Total Journal Articles 6 13 49 586 22 57 203 1,893


Statistics updated 2019-10-05