# Yasuhiro Omori

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## Personal Details

First Name: | Yasuhiro |

Middle Name: | |

Last Name: | Omori |

Suffix: | |

RePEc Short-ID: | pom13 |

http://www.omori.e.u-tokyo.ac.jp/index-e.html | |

Tokyo, Japan

http://www.e.u-tokyo.ac.jp/

: +81-3-3812-2111

7-3-1 Hongo, Bunkyo-ku, Tokyo 113

RePEc:edi:fetokjp (more details at EDIRC)

http://www.e.u-tokyo.ac.jp/

: +81-3-3812-2111

7-3-1 Hongo, Bunkyo-ku, Tokyo 113

RePEc:edi:fetokjp (more details at EDIRC)

- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori, 2015.
"
**Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes**," CIRJE F-Series CIRJE-F-952, CIRJE, Faculty of Economics, University of Tokyo.- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori, 2015.
"
**Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes**," CIRJE F-Series CIRJE-F-953, CIRJE, Faculty of Economics, University of Tokyo.

- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori, 2015.
"
- Shinichiro Shirota & Yasuhiro Omori & Hedibert. F. Lopes & Haixiang Piao, 2015.
"
**Cholesky Realized Stochastic Volatility Model**," CIRJE F-Series CIRJE-F-979, CIRJE, Faculty of Economics, University of Tokyo. - Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2014.
"
**Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution**," CIRJE F-Series CIRJE-F-921, CIRJE, Faculty of Economics, University of Tokyo.- Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2016.
"
**Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution**," International Journal of Forecasting, Elsevier, vol. 32(2), pages 437-457.

- Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2014.
"
**Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution**," CIRJE F-Series CIRJE-F-949, CIRJE, Faculty of Economics, University of Tokyo. - Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2015.
"
**Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution**," CIRJE F-Series CIRJE-F-975, CIRJE, Faculty of Economics, University of Tokyo.

- Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2016.
"
- Yuta Kurose & Yasuhiro Omori & Akira Hibiki, 2014.
"
**A Discrete/Continuous Choice Model on a Nonconvex Budget Set**," CIRJE F-Series CIRJE-F-942, CIRJE, Faculty of Economics, University of Tokyo. - Yuko Onishi & Yasuhiro Omori, 2014.
"
**Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria**," CIRJE F-Series CIRJE-F-943, 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. - 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. - Yuta Kurose & Yasuhiro Omori, 2013.
"
**Dynamic Equicorrelation Stochastic Volatility**," CIRJE F-Series CIRJE-F-907, CIRJE, Faculty of Economics, University of Tokyo.- Kurose, Yuta & Omori, Yasuhiro, 2016.
"
**Dynamic equicorrelation stochastic volatility**," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 795-813.

- Yuta Kurose & Yasuhiro Omori, 2014.
"
**Dynamic Equicorrelation Stochastic Volatility**," CIRJE F-Series CIRJE-F-941, CIRJE, Faculty of Economics, University of Tokyo.

- Kurose, Yuta & Omori, Yasuhiro, 2016.
"
- 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.

- Takahashi, Makoto & Omori, Yasuhiro & Watanabe, Toshiaki, 2013.
"
- 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. - 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.- Shirota, Shinichiro & Hizu, Takayuki & Omori, Yasuhiro, 2014.
"
**Realized stochastic volatility with leverage and long memory**," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 618-641.

- 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.

- Shirota, Shinichiro & Hizu, Takayuki & Omori, Yasuhiro, 2014.
"
- 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.- Shinya Sugawara & Yasuhiro Omori, 2017.
"
**An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems**," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 473-502, October.

- Shinya Sugawara & Yasuhiro Omori, 2017.
"
- 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.

- Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang, 2012.
"
- 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. - 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.

- Shinya Sugawara & Yasuhiro Omori, 2012.
"
- 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.- Ishihara, Tsunehiro & Omori, Yasuhiro & Asai, Manabu, 2016.
"
**Matrix exponential stochastic volatility with cross leverage**," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 331-350.

- Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2014.
"
**Matrix Exponential Stochastic Volatility with Cross Leverage**," CIRJE F-Series CIRJE-F-938, 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. - 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.

- Ishihara, Tsunehiro & Omori, Yasuhiro & Asai, Manabu, 2016.
"
- 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. - 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.
"
**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**," CIRJE F-Series CIRJE-F-764, 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**," Global COE Hi-Stat Discussion Paper Series gd09-123, Institute of Economic Research, Hitotsubashi University.

- Koji Miyawaki & Yasuhiro Omori & Akira Hibiki, 2011.
"
- 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.
"
**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. - 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. - 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 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.

- Nakajima, Jouchi & Kunihama, Tsuyoshi & Omori, Yasuhiro & Frühwirth-Schnatter, Sylvia, 2012.
"
- 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.
"
- 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.

- Ishihara, Tsunehiro & Omori, Yasuhiro, 2012.
"
- 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, 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.

- Nakajima, Jouchi & Omori, Yasuhiro, 2012.
"
- 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.

- Omori, Yasuhiro & Miyawaki, Koji, 2010.
"
- 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. - 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-**," CARF J-Series CARF-J-045, 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. - 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.

- Nakajima, Jouchi & Omori, Yasuhiro, 2009.
"
- 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.

- Takahashi, Makoto & Omori, Yasuhiro & Watanabe, Toshiaki, 2009.
"
- 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. - 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**," 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.

- Omori, Yasuhiro & Watanabe, Toshiaki, 2008.
"
- 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"(in Japanese)**," CIRJE J-Series CIRJE-J-173, CIRJE, Faculty of Economics, 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.

- Manabu Asai & Michael McAleer & Jun Yu, 2006.
"
- 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.

- Omori, Yasuhiro, 2007.
"
- 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. - 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. - 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 & 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. - 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.
"
- 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.

- Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004.
"
- 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**," CARF F-Series CARF-F-104, 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 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.
"

- Ishihara, Tsunehiro & Omori, Yasuhiro & Asai, Manabu, 2016.
"
**Matrix exponential stochastic volatility with cross leverage**," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 331-350.- Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2014.
"
**Matrix Exponential Stochastic Volatility with Cross Leverage**," CIRJE F-Series CIRJE-F-938, 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. - 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, 2014.
"
- Kurose, Yuta & Omori, Yasuhiro, 2016.
"
**Dynamic equicorrelation stochastic volatility**," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 795-813.- Yuta Kurose & Yasuhiro Omori, 2014.
"
**Dynamic Equicorrelation Stochastic Volatility**," CIRJE F-Series CIRJE-F-941, CIRJE, Faculty of Economics, University of Tokyo. - Yuta Kurose & Yasuhiro Omori, 2013.
"
**Dynamic Equicorrelation Stochastic Volatility**," CIRJE F-Series CIRJE-F-907, CIRJE, Faculty of Economics, University of Tokyo.

- Yuta Kurose & Yasuhiro Omori, 2014.
"
- Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2016.
"
**Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution**," International Journal of Forecasting, Elsevier, vol. 32(2), pages 437-457.- Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2014.
"
- Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2015.
"
- Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2014.
"

- Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2014.
"
- Shirota, Shinichiro & Hizu, Takayuki & Omori, Yasuhiro, 2014.
"
**Realized stochastic volatility with leverage and long memory**," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 618-641.- 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. - 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.
"
- 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.

- Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2012.
"
- 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.
"
- Tsunehiro Ishihara & Yasuhiro Omori, 2009.
"
- Tsunehiro Ishihara & Yasuhiro Omori, 2009.
"
- Tsunehiro Ishihara & Yasuhiro Omori, 2010.
"

- Tsunehiro Ishihara & Yasuhiro Omori, 2010.
"
- 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.

- Shinya Sugawara & Yasuhiro Omori, 2011.
"
- 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.
"
- 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.
"

- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter, 2009.
"
- 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.

- Jouchi Nakajima & Yasuhiro Omori, 2010.
"
- 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.

- Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang, 2011.
"
- 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**," 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. - 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.
"
- 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.

- Yasuhiro Omori & Koji Miyawaki, 2008.
"
- 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.

- Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2007.
"
- 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.

- Jouchi Nakajima & Yasuhiro Omori, 2007.
"
- 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.

- Yasuhiro Omori & Toshiaki Watanabe, 2007.
"
- 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.

- Yasuhiro Omori, 2007.
"
- "Omori, Yasuhiro", 2007.
"
**Multivariate Factor Stochastic Volatility Model**," Economic Review, Hitotsubashi University, vol. 58(4), pages 335-351, January. - 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, 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 is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 47 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

- NEP-ECM:
**Econometrics**(32) 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 2014-03-08 2014-12-08 2015-01-26 2015-07-25. Author is listed - NEP-ETS:
**Econometric Time Series**(25) 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 2014-03-08 2014-05-24 2014-12-03 2014-12-03 2015-01-31 2015-05-30 2015-07-25. Author is listed - NEP-RMG:
**Risk Management**(12) 2004-08-31 2007-12-08 2009-11-27 2010-08-21 2010-11-20 2011-01-30 2012-11-17 2014-03-08 2014-12-03 2015-01-03 2015-05-30 2015-07-25. Author is listed - NEP-ORE:
**Operations Research**(5) 2009-11-27 2014-05-24 2014-12-03 2014-12-03 2015-01-26. Author is listed - NEP-COM: Industrial Competition (4) 2008-04-21 2010-10-16 2012-04-23 2014-12-08
- NEP-FOR: Forecasting (4) 2013-04-20 2013-11-16 2014-03-08 2015-05-30
- NEP-MKT: Marketing (4) 2010-02-27 2010-04-17 2010-10-16 2010-11-06
- NEP-DCM: Discrete Choice Models (3) 2006-05-20 2010-02-27 2014-11-28
- NEP-ENE: Energy Economics (3) 2007-08-08 2008-06-21 2010-11-06
- NEP-FIN: Finance (3) 2004-08-31 2004-12-12 2004-12-15
- NEP-CMP: Computational Economics (2) 2004-08-31 2014-12-03
- NEP-CTA: Contract Theory & Applications (2) 2012-04-23 2013-04-13
- NEP-HEA: Health Economics (2) 2012-04-23 2013-04-13
- NEP-IAS: Insurance Economics (2) 2012-04-23 2013-04-13
- NEP-GTH: Game Theory (1) 2008-04-21
- NEP-IND: Industrial Organization (1) 2010-10-16
- NEP-MST: Market Microstructure (1) 2007-12-08

#### 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)

- 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.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

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