| 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 |
1 |
66 |
0 |
1 |
3 |
128 |
| "Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-"(in Japanese) |
0 |
0 |
0 |
38 |
0 |
0 |
1 |
87 |
| "Markov chain Monte Carlo method and its application to the stochastic volatility model"(in Japanese) |
0 |
0 |
0 |
60 |
1 |
1 |
8 |
246 |
| A Discrete/Continuous Choice Model on a Nonconvex Budget Set |
0 |
0 |
1 |
34 |
0 |
2 |
9 |
89 |
| A Discrete/Continuous Choice Model on the Nonconvex Budget Set |
0 |
0 |
4 |
32 |
1 |
3 |
14 |
160 |
| An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection |
0 |
0 |
0 |
108 |
0 |
1 |
5 |
228 |
| An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems |
0 |
0 |
1 |
131 |
0 |
0 |
5 |
102 |
| Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
31 |
| Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline |
0 |
0 |
0 |
37 |
1 |
1 |
6 |
92 |
| Bayesian Estimation and Particle Filter for Max-Stable Processes |
0 |
0 |
0 |
48 |
1 |
1 |
2 |
86 |
| Bayesian Estimation of Demand Functions under Block Rate Pricing |
0 |
0 |
0 |
46 |
0 |
2 |
6 |
196 |
| Bayesian Estimation of Demand Functions under Block Rate Pricing |
0 |
0 |
1 |
51 |
0 |
2 |
6 |
180 |
| Bayesian Estimation of Demand Functions under Block Rate Pricing |
0 |
0 |
0 |
64 |
0 |
2 |
7 |
457 |
| Bayesian Estimation of Demand Functions under Block-Rate Pricing |
0 |
0 |
0 |
62 |
0 |
1 |
5 |
254 |
| Bayesian Estimation of Entry Games with Application to Japanese Airline Data |
0 |
0 |
0 |
68 |
0 |
0 |
1 |
207 |
| Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria |
0 |
0 |
0 |
37 |
0 |
2 |
7 |
71 |
| Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes |
0 |
0 |
1 |
64 |
0 |
1 |
9 |
59 |
| Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes |
0 |
0 |
2 |
37 |
0 |
1 |
8 |
56 |
| Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors |
1 |
1 |
1 |
27 |
2 |
4 |
4 |
76 |
| Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-space Model with Correlated Errors |
0 |
0 |
0 |
48 |
0 |
1 |
1 |
116 |
| Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models |
0 |
0 |
0 |
70 |
0 |
0 |
0 |
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 |
30 |
| Block Sampler and Posterior Mode Estimation for a Nonlinear and Non-Gaussian State-Space Model with Correlated Errors |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
305 |
| Cholesky Realized Stochastic Volatility Model |
0 |
0 |
0 |
25 |
1 |
2 |
4 |
21 |
| Cholesky Realized Stochastic Volatility Model |
0 |
0 |
1 |
38 |
2 |
12 |
30 |
81 |
| Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set |
0 |
0 |
1 |
46 |
0 |
1 |
7 |
191 |
| Duality-Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing |
0 |
0 |
1 |
40 |
0 |
1 |
6 |
159 |
| Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game |
0 |
0 |
0 |
69 |
0 |
2 |
4 |
92 |
| Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game |
0 |
0 |
0 |
27 |
0 |
2 |
5 |
88 |
| Dynamic Equicorrelation Stochastic Volatility |
0 |
0 |
0 |
17 |
0 |
6 |
17 |
54 |
| Dynamic Equicorrelation Stochastic Volatility |
0 |
0 |
0 |
30 |
0 |
3 |
9 |
77 |
| Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors |
0 |
0 |
0 |
14 |
0 |
1 |
1 |
72 |
| Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors |
0 |
0 |
1 |
22 |
0 |
3 |
6 |
105 |
| Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors |
0 |
0 |
0 |
61 |
0 |
1 |
2 |
129 |
| Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors |
0 |
0 |
0 |
9 |
0 |
2 |
2 |
59 |
| Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model |
0 |
0 |
0 |
136 |
0 |
2 |
3 |
345 |
| Efficient estimation and particle filter for max-stable processes |
0 |
0 |
1 |
6 |
0 |
1 |
2 |
28 |
| Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously |
0 |
0 |
0 |
247 |
0 |
0 |
6 |
818 |
| 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 |
25 |
0 |
3 |
7 |
62 |
| GH skew Student's t-distribution in stochastic volatility model with application to stock returns |
0 |
0 |
0 |
23 |
0 |
1 |
2 |
58 |
| Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form |
0 |
0 |
0 |
17 |
0 |
0 |
3 |
45 |
| Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form |
0 |
0 |
1 |
83 |
0 |
0 |
10 |
357 |
| Generalized extreme value distribution with time-dependence using the AR and MA models in state space form |
0 |
0 |
0 |
8 |
0 |
3 |
3 |
80 |
| 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 |
16 |
0 |
1 |
5 |
54 |
| Leverage, heavy-tails and correlated jumps in stochastic volatility models |
0 |
0 |
0 |
111 |
1 |
1 |
2 |
221 |
| Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach- |
0 |
0 |
1 |
17 |
0 |
0 |
4 |
50 |
| Markov chain Monte Carlo method and its application to the stochastic volatility model |
0 |
0 |
0 |
22 |
0 |
0 |
1 |
93 |
| Matrix Exponential Stochastic Volatility with Cross Leverage |
0 |
0 |
1 |
22 |
0 |
2 |
4 |
59 |
| Matrix Exponential Stochastic Volatility with Cross Leverage |
0 |
0 |
0 |
18 |
0 |
1 |
3 |
65 |
| Matrix Exponential Stochastic Volatility with Cross Leverage |
0 |
0 |
1 |
24 |
0 |
1 |
6 |
52 |
| Matrix Exponential Stochastic Volatility with Cross Leverage |
0 |
0 |
0 |
20 |
1 |
5 |
11 |
44 |
| Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity |
0 |
0 |
0 |
3 |
0 |
0 |
3 |
16 |
| Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity |
0 |
0 |
0 |
16 |
0 |
0 |
7 |
54 |
| Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity |
0 |
0 |
0 |
25 |
0 |
1 |
5 |
15 |
| Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations |
0 |
0 |
0 |
44 |
1 |
1 |
4 |
65 |
| Multivariate Stochastic Volatility with Cross Leverage |
0 |
0 |
0 |
0 |
0 |
5 |
8 |
66 |
| Multivariate Stochastic Volatility with Cross Leverage |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
62 |
| Multivariate stochastic volatility |
0 |
0 |
0 |
260 |
0 |
2 |
6 |
540 |
| 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 |
0 |
56 |
1 |
3 |
4 |
160 |
| News Impact Curve for Stochastic Volatility Models |
0 |
0 |
1 |
115 |
4 |
8 |
27 |
466 |
| Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach |
0 |
0 |
0 |
31 |
0 |
1 |
6 |
111 |
| Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach |
0 |
0 |
1 |
28 |
1 |
4 |
9 |
93 |
| Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach |
0 |
0 |
2 |
56 |
0 |
1 |
11 |
213 |
| Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach |
0 |
0 |
0 |
14 |
0 |
1 |
5 |
27 |
| Particle rolling MCMC with double block sampling: conditional SMC update approach |
1 |
1 |
1 |
13 |
1 |
2 |
6 |
20 |
| Realized Stochastic Volatility with Leverage and Long Memory |
0 |
0 |
1 |
31 |
0 |
1 |
3 |
58 |
| Realized stochastic volatility with leverage and long memory |
0 |
0 |
0 |
77 |
2 |
3 |
7 |
101 |
| Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution |
0 |
0 |
0 |
32 |
0 |
2 |
5 |
169 |
| Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models |
0 |
0 |
0 |
39 |
0 |
1 |
4 |
89 |
| Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution |
0 |
1 |
1 |
18 |
0 |
1 |
5 |
69 |
| Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution |
0 |
2 |
2 |
143 |
1 |
3 |
10 |
325 |
| Stochastic Volatility with Leverage: Fast Likelihood Inference |
0 |
0 |
0 |
169 |
1 |
4 |
6 |
326 |
| 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 |
1 |
4 |
10 |
80 |
| Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution |
0 |
0 |
0 |
1 |
1 |
3 |
9 |
92 |
| Stochastic volatility with leverage: fast likelihood inference |
0 |
0 |
0 |
335 |
1 |
1 |
11 |
877 |
| Tobit Model with Covariate Dependent Thresholds |
0 |
0 |
1 |
55 |
0 |
0 |
2 |
134 |
| Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution |
0 |
0 |
1 |
37 |
0 |
0 |
7 |
60 |
| Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution |
0 |
0 |
0 |
14 |
2 |
4 |
10 |
54 |
| Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution |
0 |
0 |
0 |
54 |
0 |
3 |
8 |
122 |
| Total Working Papers |
2 |
6 |
35 |
4,011 |
28 |
142 |
474 |
11,413 |
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