| 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 |
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