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Citations of
Yasuhiro Omori

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Access and download statistics

Working papers

  1. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

    Cited by:

    1. Alin Sima, 2008. "Stylized Facts and Discrete Stochastic Volatility Models," Advances in Economic and Financial Research - DOFIN Working Paper Series 10, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB. [Downloadable!]
    2. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers 0814, University of Brescia, Department of Economics. [Downloadable!]
    3. Roberto Casarin & Domenico sartore, 2008. "Matrix-State Particle Filter for Wishart Stochastic Volatility Processes," Working Papers 0816, University of Brescia, Department of Economics. [Downloadable!]
    4. Roxana Chiriac & Valeri Voev, 2008. "Modelling and Forecasting Multivariate Realized Volatility," CoFE Discussion Paper 08-06, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
      Other versions:
    5. K. Triantafyllopoulos, 2008. "Multivariate stochastic volatility using state space models," Quantitative Finance Papers 0802.0223, arXiv.org. [Downloadable!]
    6. Gao, Jiti & McAleer, Michael & Allen, Dave, 2006. "Econometric modelling in finance and risk management: An overview," MPRA Paper 11978, University Library of Munich, Germany, revised Nov 2007. [Downloadable!]
      Other versions:
    7. Monica Billio & Massimiliano Caporin, 2006. "A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation," Working Papers 2006_53, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    8. K. Triantafyllopoulos, 2008. "Multivariate stochastic volatility with Bayesian dynamic linear models," Quantitative Finance Papers 0802.0214, arXiv.org. [Downloadable!]
    9. Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    10. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return," CIRJE F-Series CIRJE-F-639, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    11. Casas, Isabel & Gao, Jiti, 2006. "Econometric estimation in long-range dependent volatility models: Theory and practice," MPRA Paper 11981, University Library of Munich, Germany, revised Aug 2007. [Downloadable!]
      Other versions:
    12. Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil). [Downloadable!]
      Other versions:
    13. Hafner, Christian M. & Manner, Hans, 2008. "Dynamic stochastic copula models: Estimation, inference and applications," Research Memoranda 043, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    14. Gregory H. Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility
      ," Working Papers 07-20, Bank of Canada. [Downloadable!]
    15. Jun Yu & Renate Meyer, 2004. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Working Papers 23-2004, Singapore Management University, School of Economics. [Downloadable!]

  2. Jouchi Nakajima & Yasuhiro Omori, 2007. "Leverage, heavy-tails and correlated jumps in stochastic volatility models," CIRJE F-Series CIRJE-F-514, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    Published as:

    Cited by:

    1. Luc Bauwens & Jeroen V.K. Rombouts, 2009. "On Marginal Likelihood Computation in Change-point Models," Cahiers de recherche 0942, CIRPEE. [Downloadable!]
    2. Jouchi Nakajima, 2008. "EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns," IMES Discussion Paper Series 08-E-23, Institute for Monetary and Economic Studies, Bank of Japan. [Downloadable!]

  3. Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic Volatility with Leverage: Fast Likelihood Inference," CIRJE F-Series CIRJE-F-297, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    Other versions:

    Cited by:

    1. Malik, Sheheryar & Pitt, Michael K, 2009. "Modelling Stochastic Volatility with Leverage and Jumps : A Simulated Maximum Likelihood Approach via Particle Filtering," The Warwick Economics Research Paper Series (TWERPS) 897, University of Warwick, Department of Economics. [Downloadable!]
    2. Jouchi Nakajima & Munehisa Kasuya & Toshiaki Watanabe, 2009. "Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy," IMES Discussion Paper Series 09-E-13, Institute for Monetary and Economic Studies, Bank of Japan. [Downloadable!]
    3. Jouchi Nakajima, 2008. "EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns," IMES Discussion Paper Series 08-E-23, Institute for Monetary and Economic Studies, Bank of Japan. [Downloadable!]
    4. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    5. Fulvia Focker & Umberto Triacca, 2006. "A new proxy of the average volatility of a basket of returns: A Monte Carlo study," Economics Bulletin, Economics Bulletin, vol. 3(15), pages 1-14. [Downloadable!]

Articles

  1. Nakajima, Jouchi & Omori, Yasuhiro, 2009. "Leverage, heavy-tails and correlated jumps in stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2335-2353, April. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi, 2007. "Stochastic volatility with leverage: Fast and efficient likelihood inference," Journal of Econometrics, Elsevier, vol. 140(2), pages 425-449, October. [Downloadable!] (restricted)

    Cited by:

    1. Mark J. Jensen & John M. Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," Working Paper 2008-15, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    2. Dinghai Xu, 2009. "The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey," Working Papers 0904, University of Waterloo, Department of Economics, revised Sep 2009. [Downloadable!]
    3. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The effect of the great moderation on the U.S. business cycle in a time-varying multivariate trend-cycle model," Working Papers UWEC-2008-15, University of Washington, Department of Economics. [Downloadable!]
      Other versions:
    4. Kleppe, Tore Selland & Skaug, Hans J., 2008. "Simulated maximum likelihood for general stochastic volatility models: a change of variable approach," MPRA Paper 12022, University Library of Munich, Germany. [Downloadable!]

  3. Omori, Yasuhiro, 2003. "Estimation for unequally spaced time series of counts with serially correlated random effects," Statistics & Probability Letters, Elsevier, vol. 63(1), pages 1-12, May. [Downloadable!] (restricted)

    Cited by:

    1. E. Andres Houseman & Brent Coull & James Shine, 2004. "A Nonstationary Negative Binomial Time Series with Time-Dependent Covariates: Enterococcus Counts in Boston Harbor," Harvard University Biostatistics Working Paper Series 1017, Berkeley Electronic Press. [Downloadable!]

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This page was last updated on 2009-12-21.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.