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 5 124
"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 4 237
A Discrete/Continuous Choice Model on a Nonconvex Budget Set 1 1 2 33 1 1 6 80
A Discrete/Continuous Choice Model on the Nonconvex Budget Set 0 0 1 28 1 2 12 146
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection 0 0 3 106 0 0 14 221
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems 0 0 0 130 0 0 0 96
Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline 0 0 0 2 1 1 4 30
Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline 0 0 0 37 0 1 1 86
Bayesian Estimation and Particle Filter for Max-Stable Processes 0 0 0 48 0 0 1 84
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 64 1 1 1 445
Bayesian Estimation of Demand Functions under Block Rate Pricing 0 0 0 46 0 0 1 188
Bayesian Estimation of Demand Functions under Block Rate Pricing 2 2 2 50 3 4 6 173
Bayesian Estimation of Demand Functions under Block-Rate Pricing 0 0 0 62 1 1 6 248
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 1 7 64
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 0 0 63 0 0 8 48
Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes 0 0 0 34 0 0 6 44
Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors 0 1 1 26 1 3 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 2 3 114
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 0 0 1 27
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 1 1 3 45
Cholesky Realized Stochastic Volatility Model 0 0 0 25 0 1 4 14
Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set 1 1 2 45 1 1 9 183
Duality-Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing 0 0 0 39 0 2 5 152
Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game 0 0 1 27 0 1 2 82
Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game 0 0 0 69 0 0 4 87
Dynamic Equicorrelation Stochastic Volatility 0 0 0 30 1 1 3 67
Dynamic Equicorrelation Stochastic Volatility 0 0 0 17 1 2 6 31
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 0 14 0 0 4 70
Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors 0 0 1 21 0 0 6 98
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 0 8 0 0 3 56
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 0 0 2 25
Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously 0 0 0 246 0 1 5 809
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 2 21 0 1 4 53
GH skew Student's t-distribution in stochastic volatility model with application to stock returns 0 0 0 23 0 0 4 54
Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form 0 0 0 17 0 0 2 39
Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form 0 0 0 82 0 2 5 345
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form 0 0 0 8 0 1 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 1 2 13 0 2 5 45
Leverage, heavy-tails and correlated jumps in stochastic volatility models 0 0 0 110 1 2 4 213
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 2 3 91
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 20 1 1 2 30
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 18 0 0 1 61
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 0 21 1 1 7 51
Matrix Exponential Stochastic Volatility with Cross Leverage 0 0 1 23 0 1 3 44
Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 1 3 0 1 4 10
Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 16 1 1 7 41
Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity 0 0 0 25 0 0 2 6
Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations 0 1 2 44 2 6 21 56
Multivariate Stochastic Volatility with Cross Leverage 0 0 0 0 0 0 3 62
Multivariate Stochastic Volatility with Cross Leverage 0 0 0 0 0 0 2 55
Multivariate stochastic volatility 0 0 0 260 0 0 5 527
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 2 2 56 0 3 9 153
News Impact Curve for Stochastic Volatility Models 0 0 2 113 2 8 14 432
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 31 1 2 4 103
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 27 0 0 1 81
Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach 0 0 0 54 0 4 13 201
Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach 0 0 0 14 1 1 6 21
Particle rolling MCMC with double block sampling: conditional SMC update approach 0 0 1 12 2 2 8 11
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 1 3 92
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution 0 0 0 32 0 0 3 162
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models 0 0 1 38 0 0 2 81
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution 0 0 0 16 1 1 3 58
Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution 1 1 3 141 1 4 9 311
Stochastic Volatility with Leverage: Fast Likelihood Inference 0 0 1 169 1 2 5 320
Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. ) 0 1 1 18 2 3 7 66
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution 0 0 0 1 2 2 4 81
Stochastic volatility with leverage: fast likelihood inference 0 1 2 334 1 2 5 864
Tobit Model with Covariate Dependent Thresholds 0 0 0 54 0 0 3 129
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 0 14 0 0 2 42
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 0 1 36 0 1 8 52
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution 0 1 1 54 0 1 4 112
Total Working Papers 5 14 36 3,962 34 85 356 10,771


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 0 0 1 10 10
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems 0 0 1 3 0 1 10 19
Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes 0 0 1 1 0 0 6 7
Block sampler and posterior mode estimation for asymmetric stochastic volatility models 0 0 0 16 0 0 0 95
Cholesky realized stochastic volatility model 0 1 1 3 0 1 6 12
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 1 12 0 2 5 53
Dynamic equicorrelation stochastic volatility 1 1 1 3 2 4 6 26
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors 0 0 1 10 0 0 9 41
Efficient Gibbs sampler for Bayesian analysis of a sample selection model 1 1 1 24 1 1 1 75
Efficient estimation and particle filter for max‐stable processes 0 0 1 3 0 0 1 14
Estimating stochastic volatility models using daily returns and realized volatility simultaneously 0 2 5 135 0 4 17 374
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 0 0 1 9 0 1 7 29
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form 0 0 0 9 0 1 1 32
Leverage, heavy-tails and correlated jumps in stochastic volatility models 1 2 3 63 1 3 13 146
Matrix exponential stochastic volatility with cross leverage 0 0 1 2 0 0 2 19
Multivariate Factor Stochastic Volatility Model 0 0 0 2 0 1 4 19
News impact curve for stochastic volatility models 0 0 0 33 0 0 7 125
PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH 1 1 1 20 1 1 4 79
Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage 0 2 3 3 0 3 5 9
Realized stochastic volatility with leverage and long memory 0 0 1 4 0 1 5 28
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution 1 2 3 26 1 2 6 55
Stochastic volatility with leverage: Fast and efficient likelihood inference 2 5 22 132 4 10 45 309
Tobit model with covariate dependent thresholds 0 0 0 29 0 1 2 84
Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution 0 1 1 6 0 4 15 37
Total Journal Articles 7 18 50 573 10 42 190 1,836


Statistics updated 2019-07-03