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 2 4 6 148
"Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-"(in Japanese) 0 0 0 38 1 5 6 98
"Markov chain Monte Carlo method and its application to the stochastic volatility model"(in Japanese) 0 0 0 61 3 4 4 255
A Discrete/Continuous Choice Model on a Nonconvex Budget Set 0 0 0 35 1 5 9 106
A Discrete/Continuous Choice Model on the Nonconvex Budget Set 0 0 0 34 0 1 3 176
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection 0 0 0 110 3 13 16 253
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems 0 0 0 131 0 3 4 110
Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline 0 0 0 2 1 3 5 38
Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline 0 0 0 39 4 16 19 164
Bayesian Estimation and Particle Filter for Max-Stable Processes 0 0 0 48 2 5 11 100
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 46 1 4 7 207
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 51 1 5 6 191
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 64 1 6 8 469
Bayesian Estimation of Demand Functions under Block-Rate Pricing 0 0 0 63 0 2 5 265
Bayesian Estimation of Entry Games with Application to Japanese Airline Data 0 0 0 68 0 1 5 216
Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria 0 0 2 40 1 7 11 90
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 0 0 40 1 5 13 80
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 1 1 66 1 4 4 73
Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors 0 0 0 28 0 8 9 91
Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-space Model with Correlated Errors 0 1 1 49 3 6 7 126
Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models 0 0 0 70 1 4 9 148
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 1 1 7 2 13 13 48
Block Sampler and Posterior Mode Estimation for a Nonlinear and Non-Gaussian State-Space Model with Correlated Errors 0 0 0 0 0 3 3 311
Cholesky Realized Stochastic Volatility Model 0 0 0 26 2 8 16 45
Cholesky Realized Stochastic Volatility Model 0 0 0 39 1 2 4 140
Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set 0 0 0 47 0 6 9 206
Duality-Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing 0 0 0 43 0 5 10 178
Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game 0 0 0 69 1 2 3 104
Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game 0 0 0 27 0 5 6 97
Dynamic Equicorrelation Stochastic Volatility 0 0 0 18 1 4 4 63
Dynamic Equicorrelation Stochastic Volatility 0 0 0 30 1 7 8 92
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 24 0 2 3 118
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 14 1 4 8 84
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 61 0 7 8 140
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors 0 0 0 9 0 5 7 71
Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model 0 0 0 136 0 2 4 353
Efficient estimation and particle filter for max-stable processes 0 0 0 7 0 2 5 39
Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously 0 0 0 251 1 23 29 867
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. ) 1 1 1 26 1 3 6 82
GH skew Student's t-distribution in stochastic volatility model with application to stock returns 0 0 0 24 0 3 3 70
Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form 0 0 0 17 0 0 3 55
Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form 0 0 0 86 0 6 9 392
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form 0 0 0 8 0 2 5 88
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 0 4 5 70
Leverage, heavy-tails and correlated jumps in stochastic volatility models 0 0 0 112 4 8 12 241
Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach- 0 0 1 23 0 6 8 68
Markov chain Monte Carlo method and its application to the stochastic volatility model 0 0 0 24 1 5 8 107
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 22 1 2 3 68
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 24 0 5 5 63
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 0 0 2 54
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 2 4 7 79
Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 3 0 2 4 24
Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 16 0 3 5 63
Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 26 2 7 8 27
Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations 0 0 0 45 2 4 7 80
Multivariate Stochastic Volatility with Cross Leverage 0 0 0 0 1 7 11 86
Multivariate Stochastic Volatility with Cross Leverage 0 0 0 0 0 6 6 73
Multivariate stochastic volatility 0 1 1 264 1 10 22 582
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 5 69 2 13 23 215
News Impact Curve for Stochastic Volatility Models 0 0 0 124 1 4 10 583
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 28 0 5 6 103
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 1 63 0 9 13 249
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 31 0 4 7 124
Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach 0 0 0 14 1 13 14 44
Particle rolling MCMC with double block sampling: conditional SMC update approach 0 0 0 14 0 3 4 30
Realized Stochastic Volatility with Leverage and Long Memory 0 0 0 34 1 4 5 78
Realized stochastic volatility with leverage and long memory 0 0 0 77 3 6 12 115
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution 0 0 0 32 0 2 8 180
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models 0 0 0 39 0 0 4 101
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution 0 0 1 22 1 2 6 85
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution 0 0 0 147 0 4 7 357
Stochastic Volatility with Leverage: Fast Likelihood Inference 0 1 1 172 0 8 11 391
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 6 10 105
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution 0 0 0 1 2 7 17 118
Stochastic volatility with leverage: fast likelihood inference 0 0 0 336 4 8 13 926
Tobit Model with Covariate Dependent Thresholds 0 0 0 56 1 5 7 148
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 39 0 6 11 81
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 1 1 15 3 5 11 71
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 56 3 4 4 137
Total Working Papers 2 8 17 4,127 74 416 649 12,973

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 2 1 2 7 46
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems 0 0 0 6 1 5 8 48
Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes 0 1 1 4 2 6 8 34
Block sampler and posterior mode estimation for asymmetric stochastic volatility models 0 0 0 17 0 4 8 150
Cholesky realized stochastic volatility model 0 0 0 7 0 4 4 42
Comparing two means in count models having random effects - a UMPU test 0 0 0 7 0 0 0 64
DUOPOLY IN THE JAPANESE AIRLINE MARKET: BAYESIAN ESTIMATION FOR THE ENTRY GAME 0 0 0 13 0 3 5 70
Dynamic equicorrelation stochastic volatility 0 0 0 5 0 6 9 50
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors 0 0 0 12 0 3 5 63
Efficient Gibbs sampler for Bayesian analysis of a sample selection model 0 0 0 26 0 1 3 92
Efficient estimation and particle filter for max‐stable processes 0 0 0 4 0 3 7 28
Estimating stochastic volatility models using daily returns and realized volatility simultaneously 0 0 6 162 2 10 20 464
Estimation for unequally spaced time series of counts with serially correlated random effects 0 0 0 20 0 1 2 91
Exact Estimation of Demand Functions under Block-Rate Pricing 0 0 0 21 1 1 3 86
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form 0 0 0 16 0 4 5 52
Leverage, heavy-tails and correlated jumps in stochastic volatility models 0 0 0 66 0 4 6 177
Matrix exponential stochastic volatility with cross leverage 0 0 0 8 1 7 10 52
Multivariate Factor Stochastic Volatility Model 0 0 1 5 0 2 4 32
News impact curve for stochastic volatility models 0 0 0 37 0 4 10 175
PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH 0 0 1 27 0 1 7 114
Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage 0 0 0 7 0 4 6 28
Realized stochastic volatility with leverage and long memory 0 0 2 7 0 2 6 51
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution 1 1 3 40 1 9 14 105
Stochastic volatility with leverage: Fast and efficient likelihood inference 0 0 3 213 1 6 23 587
Tobit model with covariate dependent thresholds 0 0 0 31 1 5 10 101
Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution 0 0 0 16 2 7 9 92
Total Journal Articles 1 2 17 779 13 104 199 2,894

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