Yasuhiro Omori
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Omori |
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University of Tokyo
/ Faculty of Economics
Research profile
author of:
- Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations (repec:arx:papers:1809.09928)
by Yuta Yamauchi & Yasuhiro Omori - Dynamic factor, leverage and realized covariances in multivariate stochastic volatility (repec:arx:papers:2011.06909)
by Yuta Yamauchi & Yasuhiro Omori - Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting (repec:arx:papers:2401.13179)
by Makoto Takahashi & Yuta Yamauchi & Toshiaki Watanabe & Yasuhiro Omori - Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler (repec:arx:papers:2404.13986)
by Daichi Hiraki & Siddhartha Chib & Yasuhiro Omori - Unified Mixture Sampler for State-Space Models: Application to Stochastic Conditional Duration Models (repec:arx:papers:2604.04517)
by Daichi Hiraki & Yasuhiro Omori - Dynamic Factor Stochastic Volatility-in-Mean VAR for Large Macroeconomic Panels (repec:arx:papers:2604.04529)
by Daichi Hiraki & Siddhartha Chib & Yasuhiro Omori - Panel Data Analysis Of Japanese Residential Water Demand Using A Discrete/Continuous Choice Approach (repec:bla:jecrev:v:62:y:2011:i:3:p:365-386)
by Koji Miyawaki & Yasuhiro Omori & Akira Hibiki - Duopoly In The Japanese Airline Market: Bayesian Estimation For The Entry Game (repec:bla:jecrev:v:63:y:2012:i:3:p:310-332)
by Shinya Sugawara & Yasuhiro Omori - Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage (repec:bla:jecrev:v:68:y:2017:i:1:p:63-94)
by Tsunehiro Ishihara & Yasuhiro Omori - Efficient estimation and particle filter for max‐stable processes (repec:bla:jtsera:v:33:y:2012:i:1:p:61-80)
by Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang - Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. ) (repec:cfi:fseres:cf011)
by Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima - 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 and T. Mikosch), 365-400. Springer-Verlag: New Yo (repec:cfi:fseres:cf094)
by Siddhartha Chib & Yasuhiro Omori & Manabu Asai - Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models (Published in "Computational Statistics and Data Analysis", 52-6, 2892-2910. February 2008. ) (repec:cfi:fseres:cf103)
by Yasuhiro Omori & Toshiaki Watanabe - Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors (repec:cfi:fseres:cf104)
by Yasuhiro Omori & Toshiaki Watanabe - 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. ) (repec:cfi:fseres:cf107)
by Jouchi Nakajima & Yasuhiro Omori - Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously ( Revised in March 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2404-2426. April 2009. ) (repec:cfi:fseres:cf108)
by Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe - Multivariate Stochastic Volatility with Cross Leverage (repec:cfi:fseres:cf191)
by Tsunehiro Ishihara & Yasuhiro Omori - Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors (repec:cfi:fseres:cf198)
by Tsunehiro Ishihara & Yasuhiro Omori - Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution (repec:cfi:fseres:cf199)
by Jouchi Nakajima & Yasuhiro Omori - Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution (repec:cfi:fseres:cf215)
by Jouchi Nakajima & Yasuhiro Omori - Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors (repec:cfi:fseres:cf221)
by Tsunehiro Ishihara & Yasuhiro Omori - Markov chain Monte Carlo method and its application to the stochastic volatility model (repec:cfi:jseres:cj035)
by Yasuhiro Omori & Toshiaki Watanabe - Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach- (repec:cfi:jseres:cj045)
by Tsunehiro Ishihara & Yasuhiro Omori - GH skew Student's t-distribution in stochastic volatility model with application to stock returns (repec:cfi:jseres:cj069)
by Jouchi Nakajima, Yasuhiro Omori - Matrix exponential stochastic volatility with cross leverage (repec:eee:csdana:v:100:y:2016:i:c:p:331-350)
by Ishihara, Tsunehiro & Omori, Yasuhiro & Asai, Manabu - Dynamic equicorrelation stochastic volatility (repec:eee:csdana:v:100:y:2016:i:c:p:795-813)
by Kurose, Yuta & Omori, Yasuhiro - Block sampler and posterior mode estimation for asymmetric stochastic volatility models (repec:eee:csdana:v:52:y:2008:i:6:p:2892-2910)
by Omori, Yasuhiro & Watanabe, Toshiaki - Leverage, heavy-tails and correlated jumps in stochastic volatility models (repec:eee:csdana:v:53:y:2009:i:6:p:2335-2353)
by Nakajima, Jouchi & Omori, Yasuhiro - Estimating stochastic volatility models using daily returns and realized volatility simultaneously (repec:eee:csdana:v:53:y:2009:i:6:p:2404-2426)
by Takahashi, Makoto & Omori, Yasuhiro & Watanabe, Toshiaki - Tobit model with covariate dependent thresholds (repec:eee:csdana:v:54:y:2010:i:11:p:2736-2752)
by Omori, Yasuhiro & Miyawaki, Koji - Generalized extreme value distribution with time-dependence using the AR and MA models in state space form (repec:eee:csdana:v:56:y:2012:i:11:p:3241-3259)
by Nakajima, Jouchi & Kunihama, Tsuyoshi & Omori, Yasuhiro & Frühwirth-Schnatter, Sylvia - Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors (repec:eee:csdana:v:56:y:2012:i:11:p:3674-3689)
by Ishihara, Tsunehiro & Omori, Yasuhiro - Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution (repec:eee:csdana:v:56:y:2012:i:11:p:3690-3704)
by Nakajima, Jouchi & Omori, Yasuhiro - Realized stochastic volatility with leverage and long memory (repec:eee:csdana:v:76:y:2014:i:c:p:618-641)
by Shirota, Shinichiro & Hizu, Takayuki & Omori, Yasuhiro - News impact curve for stochastic volatility models (repec:eee:ecolet:v:120:y:2013:i:1:p:130-134)
by Takahashi, Makoto & Omori, Yasuhiro & Watanabe, Toshiaki - Stochastic volatility with leverage: Fast and efficient likelihood inference (repec:eee:econom:v:140:y:2007:i:2:p:425-449)
by Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi - Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity (repec:eee:ecosta:v:13:y:2020:i:c:p:46-68)
by Kurose, Yuta & Omori, Yasuhiro - A Multivariate Randomized Response Model for Sensitive Binary Data (repec:eee:ecosta:v:27:y:2023:i:c:p:16-35)
by Chu, Amanda M.Y. & Omori, Yasuhiro & So, Hing-yu & So, Mike K.P. - Cholesky realized stochastic volatility model (repec:eee:ecosta:v:3:y:2017:i:c:p:34-59)
by Shirota, Shinichiro & Omori, Yasuhiro & F. Lopes, Hedibert. & Piao, Haixiang - Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility (repec:eee:ecosta:v:32:y:2024:i:c:p:34-56)
by Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro - Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution (repec:eee:intfor:v:32:y:2016:i:2:p:437-457)
by Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro - Comparing two means in count models having random effects - a UMPU test (repec:eee:stapro:v:34:y:1997:i:3:p:225-235)
by Omori, Yasuhiro - Estimation for unequally spaced time series of counts with serially correlated random effects (repec:eee:stapro:v:63:y:2003:i:1:p:1-12)
by Omori, Yasuhiro - Efficient Gibbs sampler for Bayesian analysis of a sample selection model (repec:eee:stapro:v:77:y:2007:i:12:p:1300-1311)
by Omori, Yasuhiro - Multivariate Factor Stochastic Volatility Model (repec:hit:ecorev:v:58:y:2007:i:4:p:335-351)
by Omori, Yasuhiro - Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility (repec:hit:hiasdp:hias-e-104)
by Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro - Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach (repec:hst:ghsdps:gd09-123)
by Koji Miyawaki & Yasuhiro Omori & Akira Hibiki - Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution (repec:hst:ghsdps:gd09-124)
by Jouchi Nakajima & Yasuhiro Omori - News Impact Curve for Stochastic Volatility Models (repec:hst:ghsdps:gd12-242)
by Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe - Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form (repec:ime:imedps:09-e-32)
by Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruwirth-Scnatter - An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems (repec:kap:compec:v:50:y:2017:i:3:d:10.1007_s10614-016-9594-z)
by Shinya Sugawara & Yasuhiro Omori - Stochastic volatility with leverage: fast likelihood inference (repec:nuf:econwp:0419)
by Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima - Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria (repec:spr:jecrev:v:67:y:2016:i:4:d:10.1111_jere.12108)
by Yuko Onishi & Yasuhiro Omori - Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage (repec:spr:jecrev:v:68:y:2017:i:1:d:10.1111_jere.12114)
by Tsunehiro Ishihara & Yasuhiro Omori - Multivariate Stochastic Volatility (repec:spr:sprchp:978-3-540-71297-8_16)
by Siddhartha Chib & Yasuhiro Omori & Manabu Asai - Multivariate Stochastic Volatility Model with Cross Leverage (repec:spr:sprchp:978-3-7908-2604-3_29)
by Tsunehiro Ishihara & Yasuhiro Omori - Exact Estimation of Demand Functions under Block-Rate Pricing (repec:taf:emetrv:v:35:y:2016:i:3:p:311-343)
by Koji Miyawaki & Yasuhiro Omori & Akira Hibiki - A discrete/continuous choice model on a nonconvex budget set (repec:taf:emetrv:v:37:y:2018:i:2:p:89-113)
by Koji Miyawaki & Yasuhiro Omori & Akira Hibiki - Dynamic factor, leverage and realized covariances in multivariate stochastic volatility (repec:taf:emetrv:v:42:y:2023:i:6:p:513-539)
by Yuta Yamauchi & Yasuhiro Omori - Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes (repec:taf:japsta:v:44:y:2017:i:7:p:1248-1268)
by Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori - A multivariate randomized response model for mixed-type data (repec:taf:japsta:v:52:y:2025:i:14:p:2597-2635)
by Amanda M.Y. Chu & Yasuhiro Omori & Hing-yu So & Mike K.P. So - Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations (repec:taf:jnlbes:v:38:y:2020:i:4:p:839-855)
by Yuta Yamauchi & Yasuhiro Omori - Block Sampler and Posterior Mode Estimation for a Nonlinear and Non-Gaussian State-Space Model with Correlated Errors (repec:tky:fseres:2003cf221)
by Yasuhiro Omori & Toshiaki Watanabe - Stochastic Volatility with Leverage: Fast Likelihood Inference (repec:tky:fseres:2004cf297)
by Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima - Bayesian Estimation of Demand Functions under Block Rate Pricing (repec:tky:fseres:2006cf424)
by Koji Miyawaki & Yasuhiro Omori & Akira Hibiki - Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model (repec:tky:fseres:2007cf481)
by Yasuhiro Omori - Multivariate stochastic volatility (repec:tky:fseres:2007cf488)
by Siddhartha Chib & Yasuhiro Omori & Manabu Asai - Duality-Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing (repec:tky:fseres:2007cf506)
by Koji Miyawaki & Yasuhiro Omori - Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models (repec:tky:fseres:2007cf507)
by Yasuhiro Omori & Toshiaki Watanabe - Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-space Model with Correlated Errors (repec:tky:fseres:2007cf508)
by Yasuhiro Omori & Toshiaki Watanabe - Leverage, heavy-tails and correlated jumps in stochastic volatility models (repec:tky:fseres:2007cf514)
by Jouchi Nakajima & Yasuhiro Omori - Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously (repec:tky:fseres:2007cf515)
by Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe - Bayesian Estimation of Entry Games with Application to Japanese Airline Data (repec:tky:fseres:2008cf556)
by Sugawara, Shinya & Yasuhiro Omori - Bayesian Estimation of Demand Functions under Block Rate Pricing (repec:tky:fseres:2008cf568)
by Koji Miyawaki & Yasuihro Omori & Akira Hibiki - Tobit Model with Covariate Dependent Thresholds (repec:tky:fseres:2008cf594)
by Yasuhiro Omori & Koji Miyawaki - Bayesian Estimation of Demand Functions under Block Rate Pricing (repec:tky:fseres:2009cf631)
by Koji Miyawaki & Yasuhiro Omori & Akira Hibiki - Generalized extreme value distribution with time-dependence using the AR and MA models in state space form (repec:tky:fseres:2009cf689)
by Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter - Multivariate Stochastic Volatility with Cross Leverage (repec:tky:fseres:2009cf690)
by Tsunehiro Ishihara & Yasuhiro Omori - Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors (repec:tky:fseres:2009cf700)
by Tsunehiro Ishihara & Yasuhiro Omori - Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution (repec:tky:fseres:2009cf701)
by Jouchi Nakajima & Yasuhiro Omori - Bayesian Estimation of Demand Functions under Block-Rate Pricing (repec:tky:fseres:2010cf712)
by Koji, Miyawaki & Yasuhiro Omori & Akira Hibiki - Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach (repec:tky:fseres:2010cf717)
by Koji Miyawaki & Yasuhiro Omori & Akira Hibiki - Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models (repec:tky:fseres:2010cf738)
by Jouchi Nakajima & Yasuhiro Omori - Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors (repec:tky:fseres:2010cf746)
by Tsunehiro Ishihara & Yasuhiro Omori - Bayesian Estimation and Particle Filter for Max-Stable Processes (repec:tky:fseres:2010cf757)
by Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang - Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game (repec:tky:fseres:2010cf763)
by Shinya Sugawara & Yasuhiro Omori - Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach (repec:tky:fseres:2010cf764)
by Koji Miyawaki & Yasuhiro Omori & Akira Hibiki - Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set (repec:tky:fseres:2010cf770)
by Koji Miyawaki & Yasuhiro Omori & Akira Hibiki - Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form (repec:tky:fseres:2010cf782)
by Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter - Efficient estimation and particle filter for max-stable processes (repec:tky:fseres:2011cf791)
by Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang - Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game (repec:tky:fseres:2011cf797)
by Shinya Sugawara & Yasuhiro Omori - Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline (repec:tky:fseres:2011cf798)
by Yuta Kurose & Yasuhiro Omori - Matrix Exponential Stochastic Volatility with Cross Leverage (repec:tky:fseres:2011cf812)
by Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai - Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline (repec:tky:fseres:2012cf845)
by Yuta Kurose & Yasuhiro Omori - An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems (repec:tky:fseres:2012cf849)
by Shinya Sugawara & Yasuhiro Omori - Realized stochastic volatility with leverage and long memory (repec:tky:fseres:2012cf869)
by Shinichiro Shirota & Takayuki Hizu & Yasuhiro Omori - Realized Stochastic Volatility with Leverage and Long Memory (repec:tky:fseres:2013cf880)
by Shinichiro Shirota & Takayuki Hizu & Yasuhiro Omori - A Discrete/Continuous Choice Model on the Nonconvex Budget Set (repec:tky:fseres:2013cf881)
by Koji Miyawaki & Yasuhiro Omori & Akira Hibiki - An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection (repec:tky:fseres:2013cf882)
by Shinya Sugawara & Yasuhiro Omori - Matrix Exponential Stochastic Volatility with Cross Leverage (repec:tky:fseres:2013cf904)
by Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai - Dynamic Equicorrelation Stochastic Volatility (repec:tky:fseres:2013cf907)
by Yuta Kurose & Yasuhiro Omori - Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution (repec:tky:fseres:2014cf921)
by Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori - Matrix Exponential Stochastic Volatility with Cross Leverage (repec:tky:fseres:2014cf932)
by Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai - Matrix Exponential Stochastic Volatility with Cross Leverage (repec:tky:fseres:2014cf938)
by Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai - Dynamic Equicorrelation Stochastic Volatility (repec:tky:fseres:2014cf941)
by Yuta Kurose & Yasuhiro Omori - A Discrete/Continuous Choice Model on a Nonconvex Budget Set (repec:tky:fseres:2014cf942)
by Yuta Kurose & Yasuhiro Omori & Akira Hibiki - Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria (repec:tky:fseres:2014cf943)
by Yuko Onishi & Yasuhiro Omori - Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution (repec:tky:fseres:2014cf949)
by Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori - Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes (repec:tky:fseres:2014cf952)
by Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori - Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes (repec:tky:fseres:2015cf952)
by Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori - Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes (repec:tky:fseres:2015cf953)
by Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori - Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution (repec:tky:fseres:2015cf975)
by Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori - Cholesky Realized Stochastic Volatility Model (repec:tky:fseres:2015cf979)
by Shinichiro Shirota & Yasuhiro Omori & Hedibert. F. Lopes & Haixiang Piao - Cholesky Realized Stochastic Volatility Model (repec:tky:fseres:2016cf1019)
by Shinichiro Shirota & Yasuhiro Omori & Hedibert. F. Lopes & Haixiang Piao - Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity (repec:tky:fseres:2016cf1022)
by Yuta Kurose & Yasuhiro Omori - Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity (repec:tky:fseres:2016cf1024)
by Yuta Kurose & Yasuhiro Omori - Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations (repec:tky:fseres:2016cf1029)
by Yuta Yamauchi & Yasuhiro Omori - Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach (repec:tky:fseres:2017cf1066)
by Naoki Awaya & Yasuhiro Omori - Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity (repec:tky:fseres:2018cf1075)
by Yuta Kurose & Yasuhiro Omori - Particle rolling MCMC with double block sampling: conditional SMC update approach (repec:tky:fseres:2018cf1080)
by Naoki Awaya & Yasuhiro Omori - Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations (repec:tky:fseres:2018cf1095)
by Yuta Yamauchi & Yasuhiro Omori - Particle rolling MCMC (repec:tky:fseres:2019cf1110)
by Naoki Awaya & Yasuhiro Omori - Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations (repec:tky:fseres:2019cf1117)
by Yuta yamauchi & Yasuhiro Omori - Particle Rolling MCMC (repec:tky:fseres:2019cf1126)
by Naoki Awaya & Yasuhiro Omori - Dynamic Factor, Leverage and Realized Covariances in Multivariate Stochastic Volatility (repec:tky:fseres:2020cf1158)
by Yuta Yamauchi & Yasuhiro Omori - Particle Rolling MCMC with Double-Block Sampling (repec:tky:fseres:2021cf1175)
by Naoki Awaya & Yasuhiro Omori - Dynamic Factor, Leverage and Realized Covariances in Multivariate Stochastic Volatility (repec:tky:fseres:2021cf1176)
by Yuta Yamauchi & Yasuhiro Omori - "Markov chain Monte Carlo method and its application to the stochastic volatility model"(in Japanese) (repec:tky:jseres:2007cj173)
by Yasuhiro Omori & Toshiaki Watanabe - "Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-"(in Japanese) (repec:tky:jseres:2008cj191)
by Tsunehiro Ishihara & Yasuhiro Omori - "GH skew Student's t-distribution in stochastic volatility model with application to stock returns" (in Japanese) (repec:tky:jseres:2010cj228)
by Jouchi Nakajima & Yasuhiro Omori