Tsunehiro Ishihara : Citation Profile


Are you Tsunehiro Ishihara?

Osaka University of Economics

3

H index

3

i10 index

54

Citations

RESEARCH PRODUCTION:

5

Articles

12

Papers

RESEARCH ACTIVITY:

   9 years (2008 - 2017). See details.
   Cites by year: 6
   Journals where Tsunehiro Ishihara has often published
   Relations with other researchers
   Recent citing documents: 10.    Total self citations: 4 (6.9 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pis204
   Updated: 2019-09-14    RAS profile: 2019-08-09    
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Relations with other researchers


Works with:

Omori, Yasuhiro (5)

Asai, Manabu (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with Tsunehiro Ishihara.

Is cited by:

Omori, Yasuhiro (15)

McAleer, Michael (13)

Asai, Manabu (10)

Nakajima, Jouchi (6)

Caporin, Massimiliano (5)

Kastner, Gregor (4)

Moura, Guilherme (3)

Santos, Andre (3)

Chang, Chia-Lin (2)

Kunihama, Tsuyoshi (2)

Chen, Cathy W. S. (1)

Cites to:

Omori, Yasuhiro (14)

Asai, Manabu (11)

Shephard, Neil (8)

Yu, Jun (8)

McAleer, Michael (8)

Nakajima, Jouchi (3)

Ruiz, Esther (3)

Engle, Robert (3)

Kirby, Chris (3)

West, Kenneth (2)

Caporin, Massimiliano (2)

Main data


Where Tsunehiro Ishihara has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis2
Economic Review2

Working Papers Series with more than one paper published# docs
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo7
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo3

Recent works citing Tsunehiro Ishihara (2018 and 2017)


YearTitle of citing document
2017Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models. (2017). Kastner, Gregor ; Lopes, Hedibert Freitas ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:1602.08154.

Full description at Econpapers || Download paper

2017Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models. (2017). Kastner, Gregor ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:1706.05280.

Full description at Econpapers || Download paper

2019Sparse Bayesian time-varying covariance estimation in many dimensions. (2019). Kastner, Gregor. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:98-115.

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2017Cholesky realized stochastic volatility model. (2017). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

Full description at Econpapers || Download paper

2018Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2018). McAleer, Michael ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:104259.

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2018Large Shocks and the Business Cycle: The Effect of Outlier Adjustments. (2018). Ohtsuka, Yoshihiro. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:14:y:2018:i:1:d:10.1007_s41549-018-0027-z.

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2017A fractionally integrated Wishart stochastic volatility model. (2017). McAleer, Michael ; Asai, Manabu. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:42-59.

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2017Bayesian analysis of multivariate stochastic volatility with skew return distribution. (2017). Nakajima, Jouchi. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:5:p:546-562.

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2018Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2018). McAleer, Michael ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180005.

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2018Bayesian analysis of realized matrix-exponential GARCH models. (2018). McAleer, Michael ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1804.

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Works by Tsunehiro Ishihara:


YearTitleTypeCited
2017Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage In: The Japanese Economic Review.
[Full Text][Citation analysis]
article3
2009Multivariate Stochastic Volatility with Cross Leverage In: CARF F-Series.
[Citation analysis]
paper19
2009Multivariate Stochastic Volatility with Cross Leverage.(2009) In: CIRJE F-Series.
[Citation analysis]
This paper has another version. Agregated cites: 19
paper
2009Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors In: CARF F-Series.
[Full Text][Citation analysis]
paper14
2010Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors.(2010) In: CARF F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2012Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors.(2012) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
article
2009Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors.(2009) In: CIRJE F-Series.
[Citation analysis]
This paper has another version. Agregated cites: 14
paper
2010Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors.(2010) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2008Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach- In: CARF J-Series.
[Full Text][Citation analysis]
paper1
2016Matrix exponential stochastic volatility with cross leverage In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article16
2011Matrix Exponential Stochastic Volatility with Cross Leverage.(2011) In: CIRJE F-Series.
[Citation analysis]
This paper has another version. Agregated cites: 16
paper
2013Matrix Exponential Stochastic Volatility with Cross Leverage.(2013) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2014Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2014Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2015Estimation of Generalized Realized Stochastic Volatility Model: An Application to Calendar Effect of Nikkei 225 In: Economic Review.
[Full Text][Citation analysis]
article0
2015Econometric Analysis of Business Cycles: A Survey with the Application to the Composite Index in Japan In: Economic Review.
[Full Text][Citation analysis]
article0
2008Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-(in Japanese) In: CIRJE J-Series.
[Full Text][Citation analysis]
paper1

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