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 69 0 0 6 149
"Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-"(in Japanese) 0 0 0 38 0 0 7 100
"Markov chain Monte Carlo method and its application to the stochastic volatility model"(in Japanese) 0 0 0 61 1 2 8 259
A Discrete/Continuous Choice Model on a Nonconvex Budget Set 0 0 0 35 0 0 15 113
A Discrete/Continuous Choice Model on the Nonconvex Budget Set 0 0 0 34 0 0 4 179
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection 0 0 0 110 0 1 23 260
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems 0 0 0 131 0 0 8 114
Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline 0 0 0 2 1 1 8 43
Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline 0 0 0 39 0 1 26 171
Bayesian Estimation and Particle Filter for Max-Stable Processes 0 0 0 48 0 0 13 105
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 64 0 0 13 475
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 51 1 2 11 197
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 46 0 0 10 212
Bayesian Estimation of Demand Functions under Block-Rate Pricing 0 0 0 63 0 0 5 267
Bayesian Estimation of Entry Games with Application to Japanese Airline Data 0 0 0 68 0 0 6 218
Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria 0 0 1 40 0 0 12 94
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 0 1 66 0 1 9 78
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 0 0 48 0 0 7 35
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 0 0 40 1 2 15 87
Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors 0 0 0 28 0 0 13 95
Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-space Model with Correlated Errors 0 0 1 49 0 1 11 130
Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models 0 0 0 70 0 0 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 0 0 16 51
Block Sampler and Posterior Mode Estimation for a Nonlinear and Non-Gaussian State-Space Model with Correlated Errors 0 0 0 0 0 0 5 313
Cholesky Realized Stochastic Volatility Model 0 0 0 26 0 0 16 48
Cholesky Realized Stochastic Volatility Model 0 0 0 39 0 2 8 144
Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set 0 0 0 47 0 0 13 211
Duality-Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing 0 0 0 43 0 0 11 182
Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game 0 0 0 27 0 1 12 103
Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game 0 0 0 69 0 0 4 106
Dynamic Equicorrelation Stochastic Volatility 0 0 0 18 0 1 6 65
Dynamic Equicorrelation Stochastic Volatility 0 0 0 30 1 1 14 99
Dynamic Factor Stochastic Volatility-in-Mean VAR for Large Macroeconomic Panels 0 0 21 21 0 2 12 12
Dynamic Factor, Leverage and Realized Covariances in Multivariate Stochastic Volatility 0 0 1 3 0 0 5 15
Dynamic Factor, Leverage and Realized Covariances in Multivariate Stochastic Volatility 0 0 0 22 0 0 5 27
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility 0 0 0 1 0 2 7 13
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 61 1 1 12 144
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 24 0 0 4 119
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 14 0 0 6 85
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors 0 0 0 9 0 2 13 77
Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model 0 0 0 136 0 0 7 356
Efficient estimation and particle filter for max-stable processes 0 0 0 7 0 1 5 42
Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously 0 0 0 251 0 0 33 874
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 1 26 0 0 7 85
Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility 0 0 5 65 2 4 89 197
GH skew Student's t-distribution in stochastic volatility model with application to stock returns 0 0 1 25 3 4 11 78
Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form 0 0 0 86 0 0 15 399
Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form 0 0 0 17 1 2 6 59
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form 0 0 0 8 0 1 9 93
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 1 1 9 75
Leverage, heavy-tails and correlated jumps in stochastic volatility models 0 0 0 112 0 0 14 245
Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach- 0 0 0 23 0 0 8 70
Markov chain Monte Carlo method and its application to the stochastic volatility model 0 0 0 24 0 0 8 109
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 24 1 1 10 68
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 1 1 5 58
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 22 1 2 10 75
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 1 1 8 82
Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 3 0 0 6 27
Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 16 1 1 5 65
Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 26 0 0 8 27
Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations 0 0 0 11 1 1 13 42
Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations 0 0 1 5 0 1 5 22
Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations 0 0 0 7 0 0 7 43
Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations 0 0 0 45 0 2 11 84
Multivariate Stochastic Volatility with Cross Leverage 0 0 0 0 1 1 10 77
Multivariate Stochastic Volatility with Cross Leverage 0 0 0 0 0 1 14 89
Multivariate stochastic volatility 0 0 2 265 0 2 25 588
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. ) 1 1 2 70 2 4 26 227
News Impact Curve for Stochastic Volatility Models 0 0 0 124 0 1 15 590
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 31 2 2 13 131
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 63 0 0 15 252
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 28 0 0 8 106
Particle Rolling MCMC 0 0 0 25 0 0 6 41
Particle Rolling MCMC with Double-Block Sampling 0 0 0 43 0 1 10 31
Particle rolling MCMC 0 0 0 4 0 0 9 32
Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach 0 0 0 14 0 1 17 48
Particle rolling MCMC with double block sampling: conditional SMC update approach 0 0 0 14 0 1 7 33
Realized Stochastic Volatility Models with Skew-t Distributions for Volatility and Tail Risk Forecasting 0 0 1 26 0 3 20 45
Realized Stochastic Volatility with Leverage and Long Memory 0 0 0 34 1 1 10 83
Realized stochastic volatility with leverage and long memory 0 0 0 77 0 0 25 128
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution 0 0 0 32 0 0 9 185
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models 0 0 0 39 0 0 7 105
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution 0 0 2 23 2 2 15 95
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution 0 0 0 147 0 2 13 366
Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler 0 0 0 1 0 1 12 26
Stochastic Volatility with Leverage: Fast Likelihood Inference 0 0 1 172 0 0 16 397
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 0 0 12 110
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution 0 0 0 1 0 0 18 121
Stochastic volatility with leverage: fast likelihood inference 0 0 0 336 0 1 18 934
Tobit Model with Covariate Dependent Thresholds 0 0 0 56 0 0 11 153
Unified Mixture Sampler for State-Space Models: Application to Stochastic Conditional Duration Models 0 0 4 4 1 2 3 3
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 39 0 0 14 85
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 1 15 0 1 13 76
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 56 0 0 7 140
Total Working Papers 1 1 47 4,417 28 73 1,118 13,918

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Multivariate Randomized Response Model for Sensitive Binary Data 0 0 0 2 0 0 7 15
A discrete/continuous choice model on a nonconvex budget set 0 0 1 3 0 2 9 51
A multivariate randomized response model for mixed-type data 0 0 0 0 0 2 7 7
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems 0 0 0 6 0 0 7 50
Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria 0 0 0 4 0 0 10 29
Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes 0 0 1 4 0 2 14 42
Block sampler and posterior mode estimation for asymmetric stochastic volatility models 0 0 0 17 0 1 13 156
Cholesky realized stochastic volatility model 0 0 0 7 0 0 8 46
Comparing two means in count models having random effects - a UMPU test 0 0 0 7 0 0 2 66
DUOPOLY IN THE JAPANESE AIRLINE MARKET: BAYESIAN ESTIMATION FOR THE ENTRY GAME 0 0 0 13 0 1 8 73
Dynamic equicorrelation stochastic volatility 0 0 0 5 0 1 12 53
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility 0 0 1 1 0 2 7 8
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors 0 0 0 12 0 1 6 65
Efficient Gibbs sampler for Bayesian analysis of a sample selection model 0 0 0 26 0 2 5 95
Efficient estimation and particle filter for max‐stable processes 0 0 0 4 0 1 9 31
Estimating stochastic volatility models using daily returns and realized volatility simultaneously 0 0 3 163 0 3 21 471
Estimation for unequally spaced time series of counts with serially correlated random effects 0 0 0 20 0 0 5 94
Exact Estimation of Demand Functions under Block-Rate Pricing 0 1 1 22 1 3 7 91
Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility 2 3 8 8 2 5 34 38
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form 0 0 0 16 0 0 10 58
Leverage, heavy-tails and correlated jumps in stochastic volatility models 0 0 0 66 1 2 8 180
Matrix exponential stochastic volatility with cross leverage 0 0 0 8 0 0 12 56
Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity 0 0 0 9 0 0 13 36
Multivariate Factor Stochastic Volatility Model 0 0 0 5 0 0 4 33
Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations 0 0 1 3 0 1 5 18
News impact curve for stochastic volatility models 0 0 0 37 1 2 10 181
PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH 0 0 0 27 1 1 9 118
Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage 0 0 0 14 0 0 13 60
Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage 0 0 1 8 0 1 11 33
Realized stochastic volatility with leverage and long memory 0 0 0 7 0 1 4 53
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution 0 0 4 42 0 2 24 117
Stochastic volatility with leverage: Fast and efficient likelihood inference 0 1 2 214 1 6 30 599
Tobit model with covariate dependent thresholds 0 0 0 31 0 0 13 107
Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution 0 0 0 16 1 2 13 97
Total Journal Articles 2 5 23 827 8 44 370 3,227

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Multivariate Stochastic Volatility 0 0 0 0 0 0 6 6
Multivariate Stochastic Volatility Model with Cross Leverage 0 0 0 0 1 2 4 4
Total Chapters 0 0 0 0 1 2 10 10

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