# Yasuhiro Omori

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## 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: |

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)

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)

- 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.
"
- 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. - 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.- 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. - 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.
"
- 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.
"
**Dynamic Equicorrelation Stochastic Volatility**," CIRJE F-Series CIRJE-F-941, CIRJE, Faculty of Economics, University of Tokyo.

- Yuta Kurose & Yasuhiro Omori, 2014.
"
- 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. - 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.
"
- 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. - 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. - 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. - 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, 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. - 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.
"
- 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.
"
- 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.
"
- 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 & 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. - 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. - 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**," 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.
"
- 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, 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.

- Nakajima, Jouchi & Omori, Yasuhiro, 2012.
"
- 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**," CARF F-Series CARF-F-221, 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**," CARF F-Series CARF-F-198, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

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

- 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, 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. - 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. - 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.
"
- 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.
"
- 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.
"
- 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. - 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.
"
**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. - 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. - 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, 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. - 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. - 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**," 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.
"
- 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, 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 & 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 & Yasuihro Omori & Akira Hibiki, 2008.
"
- 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 & 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.
"
- 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.

RePEc:tky:fseres:2014cf952 is not listed on IDEAS - Yasuhiro Omori & Toshiaki Watanabe, 2007.
"

- 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.
"
- 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.
"
- 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.
"
- 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, 2010.
"
- Tsunehiro Ishihara & Yasuhiro Omori, 2009.
"
- Tsunehiro Ishihara & Yasuhiro Omori, 2009.
"

- 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, 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.
"
**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.
"
- 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**," 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**," CIRJE F-Series CIRJE-F-701, 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**," 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.
"
- 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, 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.
"
- 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.
"
- 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.
"
- 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.
"
- 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.
"
**Multivariate Factor Stochastic Volatility Model**," Economic Review, Hitotsubashi University, vol. 58(4), pages 335-351, January. - 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 & 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.

46 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):

- NEP-CMP: Computational Economics (2) 2004-08-31 2014-12-03
- NEP-COM: Industrial Competition (4) 2008-04-21 2010-10-16 2012-04-23 2014-12-08
- NEP-CTA: Contract Theory & Applications (2) 2012-04-23 2013-04-13
- NEP-DCM: Discrete Choice Models (3) 2006-05-20 2010-02-27 2014-11-28
- 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 2015-01-31. Author is listed
- NEP-ENE: Energy Economics (3) 2007-08-08 2008-06-21 2010-11-06
- 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 2015-01-31 2015-05-30. Author is listed
- NEP-FIN: Finance (3) 2004-08-31 2004-12-12 2004-12-15
- NEP-FOR: Forecasting (4) 2013-04-20 2013-11-16 2014-03-08 2015-05-30
- 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 (6) 2009-11-27 2014-05-24 2014-12-03 2014-12-03 2015-01-26 2015-01-31. Author is listed
- NEP-RMG: Risk Management (11) 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. Author is listed

#### 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)

- 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.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

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