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Information about:
Yasuhiro Omori

Personal Details | Affiliation | Works
This is information that was supplied by Yasuhiro Omori in registering through RePEc. If you are Yasuhiro Omori , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Yasuhiro
Middle Name:
Last Name: Omori
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RePEc Short-ID: pom13

Email:
Homepage: http://www.e.u-tokyo.ac.jp/~omori/index-e.html
Postal Address:
Phone:

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Yasuhiro Omori & Koji Miyawaki, 2008. "Tobit Model with Covariate Dependent Thresholds," CIRJE F-Series CIRJE-F-594, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  2. 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. [Downloadable!]

  3. 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. [Downloadable!]

  4. 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. [Downloadable!]
    Published as:

  5. 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. [Downloadable!]
    Published as:

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

  7. 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:

  8. 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. [Downloadable!]

  9. 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. [Downloadable!]

  10. 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. [Downloadable!]
    Published as:

  11. 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.
    Other versions:

  12. 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:

  13. 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.
    Other versions:

Articles

  1. 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. [Downloadable!] (restricted)
    Other versions:

  2. 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:

  3. 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. [Downloadable!] (restricted)
    Other versions:

  4. 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. [Downloadable!] (restricted)
    Other versions:

  5. 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)

  6. 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)

  7. 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. [Downloadable!] (restricted)

NEP Fields

13 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (1) 2004-08-31
  2. NEP-COM: Industrial Competition (1) 2008-04-21
  3. NEP-DCM: Discrete Choice Models (1) 2006-05-20
  4. NEP-ECM: Econometrics (12) 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 Author is listed
  5. NEP-ENE: Energy Economics (2) 2007-08-08 2008-06-21
  6. NEP-ETS: Econometric Time Series (7) 2004-08-31 2004-12-12 2007-04-09 2007-08-08 2007-09-09 2007-09-09 2007-12-08 Author is listed
  7. NEP-FIN: Finance (3) 2004-08-31 2004-12-12 2004-12-15
  8. NEP-GTH: Game Theory (1) 2008-04-21
  9. NEP-MST: Market Microstructure (1) 2007-12-08
  10. NEP-RMG: Risk Management (2) 2004-08-31 2007-12-08
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This page was last updated on 2009-11-15.

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