Yasuhiro Omori
Personal Details
First Name: Yasuhiro
Middle Name:
Last Name: Omori
Suffix:
RePEc Short-ID: pom13
Email:
Homepage:
http://www.omori.e.u-tokyo.ac.jp/index-e.html
Postal Address:
Phone:
Affiliation
- Faculty of Economics
University of Tokyo - Location: Tokyo, Japan
Homepage: http://www.e.u-tokyo.ac.jp/
Email:
Phone: +81-3-3812-2111
Fax:
Postal: 7-3-1 Hongo, Bunkyo-ku, Tokyo 113
Handle: RePEc:edi:fetokjp (more details at EDIRC)
Works
Working papers
- Yuta Kurose & Yasuhiro Omori, 2013. "Dynamic Equicorrelation Stochastic Volatility," CIRJE F-Series CIRJE-F-907, CIRJE, Faculty of Economics, University of Tokyo.
- Koji Miyawaki & Yasuhiro Omori & Akira Hibiki, 2013. "A Discrete/Continuous Choice Model on the Nonconvex Budget Set," CIRJE F-Series CIRJE-F-881, CIRJE, Faculty of Economics, University of Tokyo.
- Shinya Sugawara & Yasuhiro Omori, 2013. "An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection," CIRJE F-Series CIRJE-F-882, CIRJE, Faculty of Economics, University of Tokyo.
- Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2012.
"News Impact Curve for Stochastic Volatility Models,"
Global COE Hi-Stat Discussion Paper Series
gd12-242, Institute of Economic Research, Hitotsubashi University.
- Takahashi, Makoto & Omori, Yasuhiro & Watanabe, Toshiaki, 2013. "News impact curve for stochastic volatility models," Economics Letters, Elsevier, vol. 120(1), pages 130-134.
- Shinya Sugawara & Yasuhiro Omori, 2012. "An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems," CIRJE F-Series CIRJE-F-849, CIRJE, Faculty of Economics, University of Tokyo.
- Shinichiro Shirota & Takayuki Hizu & Yasuhiro Omori, 2012.
"Realized stochastic volatility with leverage and long memory,"
CIRJE F-Series
CIRJE-F-869, CIRJE, Faculty of Economics, University of Tokyo.
- Shinichiro Shirota & Takayuki Hizu & Yasuhiro Omori, 2013. "Realized Stochastic Volatility with Leverage and Long Memory," CIRJE F-Series CIRJE-F-880, CIRJE, Faculty of Economics, University of Tokyo.
- Yuta Kurose & Yasuhiro Omori, 2012. "Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline," CIRJE F-Series CIRJE-F-845, CIRJE, Faculty of Economics, University of Tokyo.
- Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang, 2011.
"Efficient estimation and particle filter for max-stable processes,"
CIRJE F-Series
CIRJE-F-791, CIRJE, Faculty of Economics, University of Tokyo.
- Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang, 2012. "Efficient estimation and particle filter for max‐stable processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(1), pages 61-80, 01.
- Shinya Sugawara & Yasuhiro Omori, 2011.
"Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game,"
CIRJE F-Series
CIRJE-F-797, CIRJE, Faculty of Economics, University of Tokyo.
- Shinya Sugawara & Yasuhiro Omori, 2012. "Duopoly In The Japanese Airline Market: Bayesian Estimation For The Entry Game," The Japanese Economic Review, Japanese Economic Association, vol. 63(3), pages 310-332, 09.
- Shinya Sugawara & Yasuhiro Omori, 2010. "Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game," CIRJE F-Series CIRJE-F-763, CIRJE, Faculty of Economics, University of Tokyo.
- Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2011.
"Matrix Exponential Stochastic Volatility with Cross Leverage,"
CIRJE F-Series
CIRJE-F-812, CIRJE, Faculty of Economics, University of Tokyo.
- Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2014. "Matrix Exponential Stochastic Volatility with Cross Leverage," CIRJE F-Series CIRJE-F-932, CIRJE, Faculty of Economics, University of Tokyo.
- Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2013. "Matrix Exponential Stochastic Volatility with Cross Leverage," CIRJE F-Series CIRJE-F-904, CIRJE, Faculty of Economics, University of Tokyo.
- Yuta Kurose & Yasuhiro Omori, 2011. "Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline," CIRJE F-Series CIRJE-F-798, CIRJE, Faculty of Economics, University of Tokyo.
- Jouchi Nakajima & Yasuhiro Omori, 2010. ""GH skew Student's t-distribution in stochastic volatility model with application to stock returns" (in Japanese)," CIRJE J-Series CIRJE-J-228, CIRJE, Faculty of Economics, University of Tokyo.
- Jouchi Nakajima, Yasuhiro Omori, 2010. "GH skew Student's t-distribution in stochastic volatility model with application to stock returns," CARF J-Series CARF-J-069, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang, 2010. "Bayesian Estimation and Particle Filter for Max-Stable Processes," CIRJE F-Series CIRJE-F-757, CIRJE, Faculty of Economics, University of Tokyo.
- Koji Miyawaki & Yasuhiro Omori & Akira Hibiki, 2010. "Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set," CIRJE F-Series CIRJE-F-770, CIRJE, Faculty of Economics, University of Tokyo.
- Jouchi Nakajima & Yasuhiro Omori, 2010. "Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models," CIRJE F-Series CIRJE-F-738, CIRJE, Faculty of Economics, University of Tokyo.
- Koji Miyawaki & Yasuhiro Omori & Akira Hibiki, 2010.
"Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach,"
CIRJE F-Series
CIRJE-F-717, CIRJE, Faculty of Economics, University of Tokyo.
- Koji Miyawaki & Yasuhiro Omori & Akira Hibiki, 2011. "Panel Data Analysis Of Japanese Residential Water Demand Using A Discrete/Continuous Choice Approach," The Japanese Economic Review, Japanese Economic Association, vol. 62(3), pages 365-386, 09.
- Koji Miyawaki & Yasuhiro Omori & Akira Hibiki, 2010. "Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach," Global COE Hi-Stat Discussion Paper Series gd09-123, Institute of Economic Research, Hitotsubashi University.
- Koji Miyawaki & Yasuhiro Omori & Akira Hibiki, 2010. "Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach," CIRJE F-Series CIRJE-F-764, CIRJE, Faculty of Economics, University of Tokyo.
- Tsunehiro Ishihara & Yasuhiro Omori, 2009.
"Multivariate Stochastic Volatility with Cross Leverage,"
CIRJE F-Series
CIRJE-F-690, CIRJE, Faculty of Economics, University of Tokyo.
- Tsunehiro Ishihara & Yasuhiro Omori, 2009. "Multivariate Stochastic Volatility with Cross Leverage," CARF F-Series CARF-F-191, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Tsunehiro Ishihara & Yasuhiro Omori, 2009.
"Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors,"
CIRJE F-Series
CIRJE-F-700, CIRJE, Faculty of Economics, University of Tokyo.
- Ishihara, Tsunehiro & Omori, Yasuhiro, 2012. "Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3674-3689.
- Tsunehiro Ishihara & Yasuhiro Omori, 2010. "Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors," CIRJE F-Series CIRJE-F-746, CIRJE, Faculty of Economics, University of Tokyo.
- Tsunehiro Ishihara & Yasuhiro Omori, 2009. "Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors," CARF F-Series CARF-F-198, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Tsunehiro Ishihara & Yasuhiro Omori, 2010. "Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors," CARF F-Series CARF-F-221, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Jouchi Nakajima & Yasuhiro Omori, 2009.
"Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution,"
CIRJE F-Series
CIRJE-F-701, CIRJE, Faculty of Economics, University of Tokyo.
- Nakajima, Jouchi & Omori, Yasuhiro, 2012. "Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3690-3704.
- Jouchi Nakajima & Yasuhiro Omori, 2010. "Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution," Global COE Hi-Stat Discussion Paper Series gd09-124, Institute of Economic Research, Hitotsubashi University.
- Jouchi Nakajima & Yasuhiro Omori, 2009. "Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution," CARF F-Series CARF-F-199, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Jouchi Nakajima & Yasuhiro Omori, 2010. "Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution," CARF F-Series CARF-F-215, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter, 2009.
"Generalized extreme value distribution with time-dependence using the AR and MA models in state space form,"
CIRJE F-Series
CIRJE-F-689, CIRJE, Faculty of Economics, University of Tokyo.
- Nakajima, Jouchi & Kunihama, Tsuyoshi & Omori, Yasuhiro & Frühwirth-Schnatter, Sylvia, 2012. "Generalized extreme value distribution with time-dependence using the AR and MA models in state space form," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3241-3259.
- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter, 2011. "Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form," CIRJE F-Series CIRJE-F-782, CIRJE, Faculty of Economics, University of Tokyo.
- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruwirth-Scnatter, 2009. "Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form," IMES Discussion Paper Series 09-E-32, Institute for Monetary and Economic Studies, Bank of Japan.
- Yasuhiro Omori & Koji Miyawaki, 2008.
"Tobit Model with Covariate Dependent Thresholds,"
CIRJE F-Series
CIRJE-F-594, CIRJE, Faculty of Economics, University of Tokyo.
- Omori, Yasuhiro & Miyawaki, Koji, 2010. "Tobit model with covariate dependent thresholds," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2736-2752, November.
- Sugawara, Shinya & Yasuhiro Omori, 2008. "Bayesian Estimation of Entry Games with Application to Japanese Airline Data," CIRJE F-Series CIRJE-F-556, CIRJE, Faculty of Economics, University of Tokyo.
- Tsunehiro Ishihara & Yasuhiro Omori, 2008. ""Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-"(in Japanese)," CIRJE J-Series CIRJE-J-191, CIRJE, Faculty of Economics, University of Tokyo.
- Tsunehiro Ishihara & Yasuhiro Omori, 2008. "Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-," CARF J-Series CARF-J-045, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Jouchi Nakajima & Yasuhiro Omori, 2007. "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. )," CARF F-Series CARF-F-107, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007.
"Multivariate stochastic volatility,"
CIRJE F-Series
CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
- Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility," Microeconomics Working Papers 22058, East Asian Bureau of Economic Research.
- Koji Miyawaki & Yasuhiro Omori, 2007. "Duality-Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing," CIRJE F-Series CIRJE-F-506, CIRJE, Faculty of Economics, University of Tokyo.
- Yasuhiro Omori & Toshiaki Watanabe, 2007.
"Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models,"
CIRJE F-Series
CIRJE-F-507, CIRJE, Faculty of Economics, University of Tokyo.
- Omori, Yasuhiro & Watanabe, Toshiaki, 2008. "Block sampler and posterior mode estimation for asymmetric stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2892-2910, February.
- 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.
- 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.
- Yasuhiro Omori, 2007.
"Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model,"
CIRJE F-Series
CIRJE-F-481, CIRJE, Faculty of Economics, University of Tokyo.
- Omori, Yasuhiro, 2007. "Efficient Gibbs sampler for Bayesian analysis of a sample selection model," Statistics & Probability Letters, Elsevier, vol. 77(12), pages 1300-1311, July.
- Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2007. "Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously ( Revised in March 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2," CARF F-Series CARF-F-108, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Yasuhiro Omori & Toshiaki Watanabe, 2007. "Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models (Published in "Computational Statistics and Data Analysis", 52-6, 2892-2910. February 2008. )," CARF F-Series CARF-F-103, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Yasuhiro Omori & Toshiaki Watanabe, 2007. "Markov chain Monte Carlo method and its application to the stochastic volatility model," CARF J-Series CARF-J-035, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Yasuhiro Omori & Toshiaki Watanabe, 2007. ""Markov chain Monte Carlo method and its application to the stochastic volatility model"(in Japanese)," CIRJE J-Series CIRJE-J-173, CIRJE, Faculty of Economics, University of Tokyo.
- Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2007.
"Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously,"
CIRJE F-Series
CIRJE-F-515, CIRJE, Faculty of Economics, University of Tokyo.
- Takahashi, Makoto & Omori, Yasuhiro & Watanabe, Toshiaki, 2009. "Estimating stochastic volatility models using daily returns and realized volatility simultaneously," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2404-2426, April.
- Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "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," CARF F-Series CARF-F-094, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Koji Miyawaki & Yasuhiro Omori & Akira Hibiki, 2006.
"Bayesian Estimation of Demand Functions under Block Rate Pricing,"
CIRJE F-Series
CIRJE-F-424, CIRJE, Faculty of Economics, University of Tokyo.
- Koji Miyawaki & Yasuihro Omori & Akira Hibiki, 2008. "Bayesian Estimation of Demand Functions under Block Rate Pricing," CIRJE F-Series CIRJE-F-568, CIRJE, Faculty of Economics, University of Tokyo.
- Koji, Miyawaki & Yasuhiro Omori & Akira Hibiki, 2010. "Bayesian Estimation of Demand Functions under Block-Rate Pricing," CIRJE F-Series CIRJE-F-712, CIRJE, Faculty of Economics, University of Tokyo.
- Koji Miyawaki & Yasuhiro Omori & Akira Hibiki, 2009. "Bayesian Estimation of Demand Functions under Block Rate Pricing," CIRJE F-Series CIRJE-F-631, CIRJE, Faculty of Economics, University of Tokyo.
- 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.
- Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic volatility with leverage: fast likelihood inference," Economics Papers 2004-W19, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Yashurio Omori, 2004. "Stochastic volatility with leverage: fast likelihood inference," Economics Series Working Papers 2004-FE-16, University of Oxford, Department of Economics.
- Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. )," CARF F-Series CARF-F-011, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Yasuhiro Omori & Toshiaki Watanabe, 2003.
"Block Sampler and Posterior Mode Estimation for a Nonlinear and Non-Gaussian State-Space Model with Correlated Errors,"
CIRJE F-Series
CIRJE-F-221, CIRJE, Faculty of Economics, University of Tokyo.
- Yasuhiro Omori & Toshiaki Watanabe, 2007. "Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-space Model with Correlated Errors," CIRJE F-Series CIRJE-F-508, CIRJE, Faculty of Economics, University of Tokyo.
- Yasuhiro Omori & Toshiaki Watanabe, 2007. "Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors," CARF F-Series CARF-F-104, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
Articles
- Takahashi, Makoto & Omori, Yasuhiro & Watanabe, Toshiaki, 2013.
"News impact curve for stochastic volatility models,"
Economics Letters,
Elsevier, vol. 120(1), pages 130-134.
- Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2012. "News Impact Curve for Stochastic Volatility Models," Global COE Hi-Stat Discussion Paper Series gd12-242, Institute of Economic Research, Hitotsubashi University.
- Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang, 2012.
"Efficient estimation and particle filter for max‐stable processes,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 33(1), pages 61-80, 01.
- Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang, 2011. "Efficient estimation and particle filter for max-stable processes," CIRJE F-Series CIRJE-F-791, CIRJE, Faculty of Economics, University of Tokyo.
- Nakajima, Jouchi & Omori, Yasuhiro, 2012.
"Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution,"
Computational Statistics & Data Analysis,
Elsevier, vol. 56(11), pages 3690-3704.
- Jouchi Nakajima & Yasuhiro Omori, 2010. "Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution," Global COE Hi-Stat Discussion Paper Series gd09-124, Institute of Economic Research, Hitotsubashi University.
- Jouchi Nakajima & Yasuhiro Omori, 2010. "Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution," CARF F-Series CARF-F-215, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Jouchi Nakajima & Yasuhiro Omori, 2009. "Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution," CARF F-Series CARF-F-199, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Jouchi Nakajima & Yasuhiro Omori, 2009. "Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution," CIRJE F-Series CIRJE-F-701, CIRJE, Faculty of Economics, University of Tokyo.
- Ishihara, Tsunehiro & Omori, Yasuhiro, 2012.
"Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors,"
Computational Statistics & Data Analysis,
Elsevier, vol. 56(11), pages 3674-3689.
- Tsunehiro Ishihara & Yasuhiro Omori, 2009. "Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors," CARF F-Series CARF-F-198, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Tsunehiro Ishihara & Yasuhiro Omori, 2010. "Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors," CIRJE F-Series CIRJE-F-746, CIRJE, Faculty of Economics, University of Tokyo.
- Tsunehiro Ishihara & Yasuhiro Omori, 2009. "Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors," CIRJE F-Series CIRJE-F-700, CIRJE, Faculty of Economics, University of Tokyo.
- Tsunehiro Ishihara & Yasuhiro Omori, 2010. "Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors," CARF F-Series CARF-F-221, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Nakajima, Jouchi & Kunihama, Tsuyoshi & Omori, Yasuhiro & Frühwirth-Schnatter, Sylvia, 2012.
"Generalized extreme value distribution with time-dependence using the AR and MA models in state space form,"
Computational Statistics & Data Analysis,
Elsevier, vol. 56(11), pages 3241-3259.
- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter, 2009. "Generalized extreme value distribution with time-dependence using the AR and MA models in state space form," CIRJE F-Series CIRJE-F-689, CIRJE, Faculty of Economics, University of Tokyo.
- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruwirth-Scnatter, 2009. "Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form," IMES Discussion Paper Series 09-E-32, Institute for Monetary and Economic Studies, Bank of Japan.
- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter, 2011. "Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form," CIRJE F-Series CIRJE-F-782, CIRJE, Faculty of Economics, University of Tokyo.
- Shinya Sugawara & Yasuhiro Omori, 2012.
"Duopoly In The Japanese Airline Market: Bayesian Estimation For The Entry Game,"
The Japanese Economic Review,
Japanese Economic Association, vol. 63(3), pages 310-332, 09.
- Shinya Sugawara & Yasuhiro Omori, 2011. "Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game," CIRJE F-Series CIRJE-F-797, CIRJE, Faculty of Economics, University of Tokyo.
- Shinya Sugawara & Yasuhiro Omori, 2010. "Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game," CIRJE F-Series CIRJE-F-763, CIRJE, Faculty of Economics, University of Tokyo.
- Koji Miyawaki & Yasuhiro Omori & Akira Hibiki, 2011.
"Panel Data Analysis Of Japanese Residential Water Demand Using A Discrete/Continuous Choice Approach,"
The Japanese Economic Review,
Japanese Economic Association, vol. 62(3), pages 365-386, 09.
- Koji Miyawaki & Yasuhiro Omori & Akira Hibiki, 2010. "Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach," Global COE Hi-Stat Discussion Paper Series gd09-123, Institute of Economic Research, Hitotsubashi University.
- Koji Miyawaki & Yasuhiro Omori & Akira Hibiki, 2010. "Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach," CIRJE F-Series CIRJE-F-717, CIRJE, Faculty of Economics, University of Tokyo.
- Koji Miyawaki & Yasuhiro Omori & Akira Hibiki, 2010. "Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach," CIRJE F-Series CIRJE-F-764, CIRJE, Faculty of Economics, University of Tokyo.
- Omori, Yasuhiro & Miyawaki, Koji, 2010.
"Tobit model with covariate dependent thresholds,"
Computational Statistics & Data Analysis,
Elsevier, vol. 54(11), pages 2736-2752, November.
- Yasuhiro Omori & Koji Miyawaki, 2008. "Tobit Model with Covariate Dependent Thresholds," CIRJE F-Series CIRJE-F-594, CIRJE, Faculty of Economics, University of Tokyo.
- 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.
- 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.
- Takahashi, Makoto & Omori, Yasuhiro & Watanabe, Toshiaki, 2009.
"Estimating stochastic volatility models using daily returns and realized volatility simultaneously,"
Computational Statistics & Data Analysis,
Elsevier, vol. 53(6), pages 2404-2426, April.
- Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2007. "Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously," CIRJE F-Series CIRJE-F-515, CIRJE, Faculty of Economics, University of Tokyo.
- Omori, Yasuhiro & Watanabe, Toshiaki, 2008.
"Block sampler and posterior mode estimation for asymmetric stochastic volatility models,"
Computational Statistics & Data Analysis,
Elsevier, vol. 52(6), pages 2892-2910, February.
- Yasuhiro Omori & Toshiaki Watanabe, 2007. "Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models," CIRJE F-Series CIRJE-F-507, CIRJE, Faculty of Economics, University of Tokyo.
- Omori, Yasuhiro, 2007.
"Efficient Gibbs sampler for Bayesian analysis of a sample selection model,"
Statistics & Probability Letters,
Elsevier, vol. 77(12), pages 1300-1311, July.
- Yasuhiro Omori, 2007. "Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model," CIRJE F-Series CIRJE-F-481, CIRJE, Faculty of Economics, University of Tokyo.
- 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.
- "Omori, Yasuhiro", 2007. "Multivariate Factor Stochastic Volatility Model," Economic Review, Hitotsubashi University, vol. 58(4), pages 335-351, January.
- 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.
- Omori, Yasuhiro, 1997. "Comparing two means in count models having random effects - a UMPU test," Statistics & Probability Letters, Elsevier, vol. 34(3), pages 225-235, June.
NEP Fields
37 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):- NEP-CMP: Computational Economics (1) 2004-08-31
- NEP-COM: Industrial Competition (3) 2008-04-21 2010-10-16 2012-04-23
- NEP-CTA: Contract Theory & Applications (2) 2012-04-23 2013-04-13
- NEP-DCM: Discrete Choice Models (2) 2006-05-20 2010-02-27
- NEP-ECM: Econometrics (28) 2004-08-31 2004-12-12 2006-05-20 2007-03-10 2007-04-09 2007-08-08 2007-09-09 2007-09-09 2007-12-08 2008-04-21 2008-06-21 2008-10-13 2009-08-16 2009-11-27 2010-01-16 2010-01-16 2010-02-27 2010-04-17 2010-04-17 2010-06-11 2010-08-21 2010-10-16 2010-11-20 2012-04-10 2012-11-17 2013-04-13 2013-10-05 2013-11-16. Author is listed
- NEP-ENE: Energy Economics (3) 2007-08-08 2008-06-21 2010-11-06
- NEP-ETS: Econometric Time Series (18) 2004-08-31 2004-12-12 2007-04-09 2007-08-08 2007-09-09 2007-09-09 2007-12-08 2009-11-27 2010-01-16 2010-04-17 2010-06-11 2010-08-21 2010-11-20 2011-01-30 2012-04-10 2012-11-17 2013-04-20 2013-11-16. Author is listed
- NEP-FIN: Finance (3) 2004-08-31 2004-12-12 2004-12-15
- NEP-FOR: Forecasting (2) 2013-04-20 2013-11-16
- NEP-GTH: Game Theory (1) 2008-04-21
- NEP-HEA: Health Economics (2) 2012-04-23 2013-04-13
- NEP-IAS: Insurance Economics (2) 2012-04-23 2013-04-13
- NEP-IND: Industrial Organization (1) 2010-10-16
- NEP-MKT: Marketing (4) 2010-02-27 2010-04-17 2010-10-16 2010-11-06
- NEP-MST: Market Microstructure (1) 2007-12-08
- NEP-ORE: Operations Research (1) 2009-11-27
- NEP-RMG: Risk Management (7) 2004-08-31 2007-12-08 2009-11-27 2010-08-21 2010-11-20 2011-01-30 2012-11-17. Author is listed
Statistics
Most cited item
- 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.
Most downloaded item (past 12 months)
- Shinya Sugawara & Yasuhiro Omori, 2013. "An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection," CIRJE F-Series CIRJE-F-882, CIRJE, Faculty of Economics, University of Tokyo.
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Co-authorship network on CollEc
Corrections
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