Yasuhiro Omori : Citation Profile


Are you Yasuhiro Omori?

University of Tokyo

9

H index

9

i10 index

467

Citations

RESEARCH PRODUCTION:

26

Articles

79

Papers

RESEARCH ACTIVITY:

   21 years (1997 - 2018). See details.
   Cites by year: 22
   Journals where Yasuhiro Omori has often published
   Relations with other researchers
   Recent citing documents: 102.    Total self citations: 52 (10.02 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pom13
   Updated: 2020-05-23    RAS profile: 2018-09-27    
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Relations with other researchers


Works with:

Takahashi, Makoto (5)

Ishihara, Tsunehiro (5)

Asai, Manabu (4)

Hibiki, Akira (4)

Kunihama, Tsuyoshi (3)

Miyawaki, Koji (3)

Nakajima, Jouchi (2)

Sugawara, Shinya (2)

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

Is cited by:

McAleer, Michael (72)

Asai, Manabu (51)

Caporin, Massimiliano (21)

Chang, Chia-Lin (16)

Kastner, Gregor (13)

Veiga, Helena (11)

Ruiz, Esther (10)

Rodríguez, Gabriel (10)

Nakajima, Jouchi (10)

Medeiros, Marcelo (9)

Deschamps, Philippe (9)

Cites to:

Shephard, Neil (84)

Asai, Manabu (31)

McAleer, Michael (30)

Yu, Jun (28)

Bollerslev, Tim (25)

Harvey, Andrew (22)

Nakajima, Jouchi (20)

Engle, Robert (19)

Andersen, Torben (17)

Barndorff-Nielsen, Ole (17)

Hansen, Peter (16)

Main data


Where Yasuhiro Omori has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis10
The Japanese Economic Review3
Statistics & Probability Letters3
Econometric Reviews2

Working Papers Series with more than one paper published# docs
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo57
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo11
CARF J-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo3
CIRJE J-Series / CIRJE, Faculty of Economics, University of Tokyo3

Recent works citing Yasuhiro Omori (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.

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2017Volatility Forecasts Using Nonlinear Leverage Effects. (2017). Nakatsuma, Teruo ; McAlinn, Kenichiro ; Ushio, Asahi . In: Papers. RePEc:arx:papers:1605.06482.

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2017Sparse Bayesian time-varying covariance estimation in many dimensions. (2017). Kastner, Gregor. In: Papers. RePEc:arx:papers:1608.08468.

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2017A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors. (2017). Mukhoti, Sujay ; Ranjan, Pritam . In: Papers. RePEc:arx:papers:1703.06603.

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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.

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2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2018A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approach. (2018). Santos, T R. In: Papers. RePEc:arx:papers:1809.01489.

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2018Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler. (2018). Dos, Thiago R ; Rego, Arthur T. In: Papers. RePEc:arx:papers:1809.01501.

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2019Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2019). Omori, Yasuhiro ; Yamauchi, Yuta. In: Papers. RePEc:arx:papers:1809.09928.

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2019Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1901.11491.

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2019Bayesian prediction of jumps in large panels of time series data. (2019). Papaspiliopoulos, Omiros ; Dellaportas, Petros ; Alexopoulos, Angelos. In: Papers. RePEc:arx:papers:1904.05312.

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2019Horizon-unbiased Investment with Ambiguity. (2019). Zhou, Chao ; Sun, Xianming ; Lin, Qian. In: Papers. RePEc:arx:papers:1904.09379.

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2019Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123.

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2019Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures Market Realized Volatility. (2019). Ensor, Katherine B ; Han, YU ; Weylandt, Michael. In: Papers. RePEc:arx:papers:1907.10152.

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2019Estimating Large Mixed-Frequency Bayesian VAR Models. (2019). Ankargren, Sebastian ; Jon, Paulina. In: Papers. RePEc:arx:papers:1912.02231.

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2018The global component of inflation volatility. (2018). Marcellino, Massimiliano ; Corsello, Francesco ; Carriero, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1170_18.

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2018Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:953.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Stoja, Evarist ; Polanski, Arnold. In: Bank of England working papers. RePEc:boe:boeewp:0660.

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2017Creating Investment Scheme with State Space Modeling. (2017). Takahashi, Soichiro ; Nakano, Masafumi. In: CARF F-Series. RePEc:cfi:fseres:cf406.

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2019Trend, Seasonal, and Sectoral Inflation in the Euro Area. (2019). Watson, Mark W ; Stock, James H. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:847.

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2019Data cloning estimation for asymmetric stochastic volatility models. (2019). Veiga, Helena ; de Zea, Patricia ; Marin, Juan Miguel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28214.

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2019Exploring option pricing and hedging via volatility asymmetry. (2019). Veiga, Helena ; Casas, Isabel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28234.

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2019Prediction regions for interval-valued time series. (2019). Gonzalez-Rivera, Gloria ; Luo, Yun ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29054.

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2019Comparing Forecasts of Extremely Large Conditional Covariance Matrices. (2019). Ruiz, Esther ; Moura, Guilherme. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29291.

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2018Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions. (2018). Geraci, Marco Valerio ; Gnabo, Jean-Yves. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:53:y:2018:i:03:p:1371-1390_00.

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2018On the Persistence of UK Inflation: A Long-Range Dependence Approach. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Trani, Tommaso. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1731.

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2017Fast smoothing in switching approximations of non-linear and non-Gaussian models. (2017). Gorynin, Ivan ; Pieczynski, Wojciech ; Monfrini, Emmanuel ; Derrode, Stephane . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:114:y:2017:i:c:p:38-46.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2017Trend inflation estimates for Thailand from disaggregated data. (2017). Limjaroenrat, Vorada ; Manopimoke, Pym. In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:75-94.

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2017Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆. (2017). Li, Shaoyu ; Zheng, Tingguo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:200-221.

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2017An extension of stochastic volatility model with mixed frequency information. (2017). Shang, Yuhuang ; Liu, Lulu. In: Economics Letters. RePEc:eee:ecolet:v:155:y:2017:i:c:p:144-148.

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2018A new look at Cryptocurrencies. (2018). Phillip, Andrew ; Peiris, Shelton. In: Economics Letters. RePEc:eee:ecolet:v:163:y:2018:i:c:p:6-9.

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2018A generalised stochastic volatility in mean VAR. (2018). Mumtaz, Haroon. In: Economics Letters. RePEc:eee:ecolet:v:173:y:2018:i:c:p:10-14.

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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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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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2017On efficient Bayesian inference for models with stochastic volatility. (2017). Griffin, Jim ; Sakaria, D K. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:23-33.

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2018A new particle filtering approach to estimate stochastic volatility models with Markov-switching. (2018). Karamé, Frédéric ; Karame, Frederic. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:204-230.

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2019Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2019). Baum, Christopher ; Zerilli, Paola ; Chen, Liyuan. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:111-129.

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2019Probabilistic electricity price forecasting with Bayesian stochastic volatility models. (2019). Kostrzewska, Jadwiga ; Kostrzewski, Maciej . In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:610-620.

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2020The pass-through effects of oil price shocks on Chinas inflation: A time-varying analysis. (2020). Chen, Jinyu ; Li, Hailing ; Zhu, Xuehong. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300347.

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2017How do urban households in China respond to increasing block pricing in electricity? Evidence from a fuzzy regression discontinuity approach. (2017). Zhang, Zibin ; Feng, Xiangzhao ; Cai, Wenxin . In: Energy Policy. RePEc:eee:enepol:v:105:y:2017:i:c:p:161-172.

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2018Is the implementation of the Increasing Block Electricity Prices policy really effective?--- Evidence based on the analysis of synthetic control method. (2018). Lin, Boqiang ; Chen, Xing. In: Energy. RePEc:eee:energy:v:163:y:2018:i:c:p:734-750.

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2019On long memory effects in the volatility measure of Cryptocurrencies. (2019). Peiris, Shelton ; Chan, Jennifer ; Phillip, Andrew. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:95-100.

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2017Does realized volatility help bond yield density prediction?. (2017). Shin, Minchul ; Zhong, Molin. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:373-389.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:958-969.

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2018Forecasting realized variance measures using time-varying coefficient models. (2018). Bekierman, Jeremias ; Manner, Hans. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:276-287.

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2017Global macroeconomic uncertainty. (2017). Kempa, Bernd ; Grabert, Sibylle ; Berger, Tino. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:53:y:2017:i:c:p:42-56.

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2019Time-varying effect of the financialization of nonferrous metals markets on Chinas industrial sector. (2019). Chen, Jin-Yu ; Huang, Jian-Bai ; Zhou, Ying-Zhe. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420718302812.

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2019Directional spillover effects between ASEAN and world stock markets. (2019). Uddin, Gazi ; Troster, Victor ; Yoon, Seong-Min ; Kang, Sang Hoon. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:52-53:y:2019:i::s1042444x19300751.

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2018Empirical research on complex networks modeling of combat SoS based on data from real war-game, Part I: Statistical characteristics. (2018). Wu, Cheng ; Chen, Lei ; Li, Zhanwu ; Kou, Yingxin ; Xu, AN. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:754-773.

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2018Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo Stock Exchange. (2018). Takaishi, Tetsuya. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:500:y:2018:i:c:p:139-154.

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2018Modeling returns volatility: Realized GARCH incorporating realized risk measure. (2018). Jiang, Wei ; Li, YE ; Ruan, Qingsong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:500:y:2018:i:c:p:249-258.

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2018An empirical application of a stochastic volatility model with GH skew Students t-distribution to the volatility of Latin-American stock returns. (2018). Rodríguez, Gabriel ; Rodriguez, Gabriel ; Lafosse, Patricia Lengua. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:155-173.

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2017China’s intervention in the central parity rate: A Bayesian Tobit analysis. (2017). Zhang, Zhichao ; Li, HE. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:612-624.

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2017A non-iterative (trivial) method for posterior inference in stochastic volatility models. (2017). Tsionas, Mike. In: Statistics & Probability Letters. RePEc:eee:stapro:v:126:y:2017:i:c:p:83-87.

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2019The dynamic relationships among CO2 emissions, renewable and non-renewable energy sources, and economic growth in India: Evidence from time-varying Bayesian VAR model. (2019). Tiwari, Aviral ; Islam, Faridul ; Kang, Sang Hoon. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:50:y:2019:i:c:p:90-101.

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2017Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:100161.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:102576.

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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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2018What Drives Output Volatility? The Role of Demographics and Government Size Revisited. (2018). Vierke, Hauke ; Iseringhausen, Martin. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:075.

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2017Measuring the Income Elasticity of Water Demand: The Importance of Publication and Endogeneity Biases. (2017). Irsova, Zuzana ; Havranek, Tomas. In: Working Papers IES. RePEc:fau:wpaper:wp2017_02.

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2018Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors. (2018). Mertens, Elmar ; McCracken, Michael ; Clark, Todd. In: Working Papers. RePEc:fip:fedcwq:171501.

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2019Sequential Bayesian Inference for Vector Autoregressions with Stochastic Volatility. (2019). Zito, John ; Bognanni, Mark. In: Working Papers. RePEc:fip:fedcwq:86647.

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2017An Empirical Analysis of Nikkei 225 Options Using Realized GARCH Models. (2017). Takeuchi-Nogimori, Asuka . In: Economic Review. RePEc:hit:ecorev:v:68:y:2017:i:2:p:97-113.

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2017Does corporate control matter to financial volatility?. (2017). Rungi, Armando ; Gianfagna, Laura. In: Working Papers. RePEc:ial:wpaper:9/2017.

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2017Amplification effects of news shocks through uncertainty. (2017). Cascaldi-Garcia, Danilo. In: 2017 Papers. RePEc:jmp:jm2017:pca1251.

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2019Incorporating Realized Quarticity into a Realized Stochastic Volatility Model. (2019). Morimoto, Takayuki ; Nugroho, Didit Budi. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:26:y:2019:i:4:d:10.1007_s10690-019-09276-2.

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2019Finite Gaussian Mixture Approximations to Analytically Intractable Density Kernels. (2019). Richard, Jean-Francois ; Khorunzhina, Natalia. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-017-9777-2.

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2017Estimating water demand for urban residential use using a discrete-continuous model and disaggregated data at the household level: the case of the city of Manizales, Colombia. (2017). Vásquez Lavín, Felipe ; Ponce, Roberto ; Vasquez, Felipe A ; Orrego, Sergio A ; Jimenez, Dario F. In: Lecturas de Economía. RePEc:lde:journl:y:2017:i:86:p:153-178.

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2017Dynamic asset price jumps and the performance of high frequency tests and measures. (2017). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-14.

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2018Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-17.

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2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Santos, Andre ; Moura, Guilherme ; Nogales, Francisco J ; Caldeira, Joo F. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:2:p:247-285..

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2018Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?. (2018). Guidolin, Massimo ; Bianchi, Daniele ; Ravazzolo, Francesco. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:34-62..

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2019 Umbral de modelos de volatilidad estocástica con colas pesadas: un enfoque bayesiano. (2019). Abanto-Valle, Carlos A ; Garrafa-Aragon, Hernan B. In: Revista Economía. RePEc:pcp:pucrev:y:2019:i:83:p:32-53.

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2017Forecasting realized volatility: a review. (2017). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:83232.

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2018A generalised stochastic volatility in mean VAR. (2018). mumtaz, haroon. In: Working Papers. RePEc:qmw:qmwecw:855.

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2019Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects. (2019). Proietti, Tommaso ; Catania, Leopoldo. In: CEIS Research Paper. RePEc:rtv:ceisrp:450.

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2017MEASURING THE INTERNATIONAL DIMENSION OF OUTPUT VOLATILITY. (2017). Iseringhausen, Martin ; Everaert, Gerdie. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:17/928.

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2018THE TIME-VARYING ASYMMETRY OF EXCHANGE RATE RETURNS: A STOCHASTIC VOLATILITY – STOCHASTIC SKEWNESS MODEL. (2018). Iseringhausen, Martin. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:18/944.

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2020Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions. (2020). West, Mike. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:1:d:10.1007_s10463-019-00741-3.

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2017Residential water demand and water waste in Taiwan. (2017). Hung, Ming-Feng ; Huang, Tai-Hsin ; Chie, Bin-Tzong. In: Environmental Economics and Policy Studies. RePEc:spr:envpol:v:19:y:2017:i:2:d:10.1007_s10018-016-0154-5.

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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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2017Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage. (2017). Omori, Yasuhiro ; Ishihara, Tsunehiro. In: The Japanese Economic Review. RePEc:spr:jecrev:v:68:y:2017:i:1:d:10.1111_jere.12114.

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2017Periodic autoregressive stochastic volatility. (2017). Aknouche, Abdelhakim. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:20:y:2017:i:2:d:10.1007_s11203-016-9139-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 Dynamic Modeling of High-Frequency Integer Price Changes. (2018). Koopman, Siem Jan ; Barra, Istvan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160028.

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2017Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170038.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170105.

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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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2019Particle rolling MCMC. (2019). Omori, Yasuhiro ; Awaya, Naoki. In: CIRJE F-Series. RePEc:tky:fseres:2019cf1110.

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2019Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2019). Omori, Yasuhiro ; Yamauchi, Yuta. In: CIRJE F-Series. RePEc:tky:fseres:2019cf1117.

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2018Bayesian Semi-Parametric Markov Switching Stochastic Volatility Model. (2018). Lopes, Hedibert F ; Virbickaite, Audrone. In: DEA Working Papers. RePEc:ubi:deawps:89.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1726.

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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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2019A dominance approach for comparing the performance of VaR forecasting models. (2019). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1923.

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2018Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model. (2018). Li, Mengheng ; Scharth, Marcel. In: Working Paper Series. RePEc:uts:ecowps:49.

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2019Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility. (2019). Chen, Cathy W. S. ; Watanabe, Toshiaki. In: Applied Stochastic Models in Business and Industry. RePEc:wly:apsmbi:v:35:y:2019:i:3:p:747-765.

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2018Value‐at‐risk under market shifts through highly flexible models. (2018). Nguyen, Duc Khuong ; BenSaïda, Ahmed ; Boubaker, Sabri ; Bensaida, Ahmed ; Slim, Skander. In: Journal of Forecasting. RePEc:wly:jforec:v:37:y:2018:i:8:p:790-804.

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More than 100 citations found, this list is not complete...

Works by Yasuhiro Omori:


YearTitleTypeCited
2011PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH In: The Japanese Economic Review.
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2010Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach.(2010) In: Global COE Hi-Stat Discussion Paper Series.
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2010Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach.(2010) In: CIRJE F-Series.
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2010Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach.(2010) In: CIRJE F-Series.
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2012DUOPOLY IN THE JAPANESE AIRLINE MARKET: BAYESIAN ESTIMATION FOR THE ENTRY GAME In: The Japanese Economic Review.
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article4
2010Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game.(2010) In: CIRJE F-Series.
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2011Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game.(2011) In: CIRJE F-Series.
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paper
2017Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage In: The Japanese Economic Review.
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article4
2012Efficient estimation and particle filter for max‐stable processes In: Journal of Time Series Analysis.
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article2
2011Efficient estimation and particle filter for max-stable processes.(2011) In: CIRJE F-Series.
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2004Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in Journal of Econometrics, 140, 425-449, 2007. ) In: CARF F-Series.
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2007Multivariate 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. Miko In: CARF F-Series.
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2007Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models (Published in Computational Statistics and Data Analysis, 52-6, 2892-2910. February 2008. ) In: CARF F-Series.
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2007Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors In: CARF F-Series.
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paper1
2003Block Sampler and Posterior Mode Estimation for a Nonlinear and Non-Gaussian State-Space Model with Correlated Errors.(2003) In: CIRJE F-Series.
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paper
2007Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-space Model with Correlated Errors.(2007) In: CIRJE F-Series.
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paper
2007Leverage, 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. ) In: CARF F-Series.
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2007Estimating 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. Ap In: CARF F-Series.
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2009Multivariate Stochastic Volatility with Cross Leverage In: CARF F-Series.
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paper20
2009Multivariate Stochastic Volatility with Cross Leverage.(2009) In: CIRJE F-Series.
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paper
2009Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors In: CARF F-Series.
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paper7
2010Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors.(2010) In: CARF F-Series.
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paper
2012Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors.(2012) In: Computational Statistics & Data Analysis.
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article
2009Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors.(2009) In: CIRJE F-Series.
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paper
2010Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors.(2010) In: CIRJE F-Series.
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paper
2009Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Students t-distribution In: CARF F-Series.
[Citation analysis]
paper23
2010Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution.(2010) In: CARF F-Series.
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2012Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution.(2012) In: Computational Statistics & Data Analysis.
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article
2010Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Students t-distribution.(2010) In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]
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paper
2009Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Students t-Distribution.(2009) In: CIRJE F-Series.
[Citation analysis]
This paper has another version. Agregated cites: 23
paper
2007Markov chain Monte Carlo method and its application to the stochastic volatility model In: CARF J-Series.
[Full Text][Citation analysis]
paper0
2008Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach- In: CARF J-Series.
[Full Text][Citation analysis]
paper1
2010GH skew Students t-distribution in stochastic volatility model with application to stock returns In: CARF J-Series.
[Full Text][Citation analysis]
paper0
2016Matrix exponential stochastic volatility with cross leverage In: Computational Statistics & Data Analysis.
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article14
2011Matrix Exponential Stochastic Volatility with Cross Leverage.(2011) In: CIRJE F-Series.
[Citation analysis]
This paper has another version. Agregated cites: 14
paper
2013Matrix Exponential Stochastic Volatility with Cross Leverage.(2013) In: CIRJE F-Series.
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paper
2014Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series.
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paper
2014Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series.
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paper
2016Dynamic equicorrelation stochastic volatility In: Computational Statistics & Data Analysis.
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article2
2013Dynamic Equicorrelation Stochastic Volatility.(2013) In: CIRJE F-Series.
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paper
2014Dynamic Equicorrelation Stochastic Volatility.(2014) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 2
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2008Block sampler and posterior mode estimation for asymmetric stochastic volatility models In: Computational Statistics & Data Analysis.
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article22
2007Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models.(2007) In: CIRJE F-Series.
[Full Text][Citation analysis]
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paper
2009Leverage, heavy-tails and correlated jumps in stochastic volatility models In: Computational Statistics & Data Analysis.
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article26
2007Leverage, heavy-tails and correlated jumps in stochastic volatility models.(2007) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
paper
2009Estimating stochastic volatility models using daily returns and realized volatility simultaneously In: Computational Statistics & Data Analysis.
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article67
2007Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously.(2007) In: CIRJE F-Series.
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paper
2010Tobit model with covariate dependent thresholds In: Computational Statistics & Data Analysis.
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article5
2008Tobit Model with Covariate Dependent Thresholds.(2008) In: CIRJE F-Series.
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paper
2012Generalized extreme value distribution with time-dependence using the AR and MA models in state space form In: Computational Statistics & Data Analysis.
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article5
2009Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form.(2009) In: IMES Discussion Paper Series.
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paper
2009Generalized extreme value distribution with time-dependence using the AR and MA models in state space form.(2009) In: CIRJE F-Series.
[Citation analysis]
This paper has another version. Agregated cites: 5
paper
2011Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form.(2011) In: CIRJE F-Series.
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paper
2014Realized stochastic volatility with leverage and long memory In: Computational Statistics & Data Analysis.
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article5
2012Realized stochastic volatility with leverage and long memory.(2012) In: CIRJE F-Series.
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paper
2013Realized Stochastic Volatility with Leverage and Long Memory.(2013) In: CIRJE F-Series.
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paper
2013News impact curve for stochastic volatility models In: Economics Letters.
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article3
2012News Impact Curve for Stochastic Volatility Models.(2012) In: Global COE Hi-Stat Discussion Paper Series.
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paper
2007Stochastic volatility with leverage: Fast and efficient likelihood inference In: Journal of Econometrics.
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article133
2017Cholesky realized stochastic volatility model In: Econometrics and Statistics.
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article4
2015Cholesky Realized Stochastic Volatility Model.(2015) In: CIRJE F-Series.
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paper
2016Cholesky Realized Stochastic Volatility Model.(2016) In: CIRJE F-Series.
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2016Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution In: International Journal of Forecasting.
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article9
2014Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution.(2014) In: CIRJE F-Series.
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2014Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution.(2014) In: CIRJE F-Series.
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2015Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution.(2015) In: CIRJE F-Series.
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paper
1997Comparing two means in count models having random effects - a UMPU test In: Statistics & Probability Letters.
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2003Estimation for unequally spaced time series of counts with serially correlated random effects In: Statistics & Probability Letters.
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article1
2007Efficient Gibbs sampler for Bayesian analysis of a sample selection model In: Statistics & Probability Letters.
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article5
2007Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model.(2007) In: CIRJE F-Series.
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paper
2007Multivariate Factor Stochastic Volatility Model In: Economic Review.
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article1
2017An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems In: Computational Economics.
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article0
2012An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems.(2012) In: CIRJE F-Series.
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2004Stochastic volatility with leverage: fast likelihood inference In: Economics Papers.
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paper6
2004Stochastic Volatility with Leverage: Fast Likelihood Inference.(2004) In: CIRJE F-Series.
[Full Text][Citation analysis]
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paper
2016Exact Estimation of Demand Functions under Block-Rate Pricing In: Econometric Reviews.
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article2
2018A discrete/continuous choice model on a nonconvex budget set In: Econometric Reviews.
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article0
2013A Discrete/Continuous Choice Model on the Nonconvex Budget Set.(2013) In: CIRJE F-Series.
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2014A Discrete/Continuous Choice Model on a Nonconvex Budget Set.(2014) In: CIRJE F-Series.
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2017Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes In: Journal of Applied Statistics.
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2015Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes .(2015) In: CIRJE F-Series.
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2015Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes .(2015) In: CIRJE F-Series.
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2006Bayesian Estimation of Demand Functions under Block Rate Pricing In: CIRJE F-Series.
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paper2
2008Bayesian Estimation of Demand Functions under Block Rate Pricing.(2008) In: CIRJE F-Series.
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2009Bayesian Estimation of Demand Functions under Block Rate Pricing.(2009) In: CIRJE F-Series.
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2010Bayesian Estimation of Demand Functions under Block-Rate Pricing.(2010) In: CIRJE F-Series.
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2007Multivariate stochastic volatility In: CIRJE F-Series.
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paper76
2007Duality-Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing In: CIRJE F-Series.
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paper0
2008Bayesian Estimation of Entry Games with Application to Japanese Airline Data In: CIRJE F-Series.
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2010Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Students t-Distribution Models In: CIRJE F-Series.
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paper1
2010Bayesian Estimation and Particle Filter for Max-Stable Processes In: CIRJE F-Series.
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paper0
2010Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set In: CIRJE F-Series.
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2011Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline In: CIRJE F-Series.
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paper0
2012Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline In: CIRJE F-Series.
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paper0
2013An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection In: CIRJE F-Series.
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paper1
2014Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria In: CIRJE F-Series.
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paper0
2016Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity In: CIRJE F-Series.
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2016Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity.(2016) In: CIRJE F-Series.
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2018Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity.(2018) In: CIRJE F-Series.
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2016Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations In: CIRJE F-Series.
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paper0
2017Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach In: CIRJE F-Series.
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2018Particle rolling MCMC with double block sampling: conditional SMC update approach.(2018) In: CIRJE F-Series.
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2007Markov chain Monte Carlo method and its application to the stochastic volatility model(in Japanese) In: CIRJE J-Series.
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paper0
2008Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-(in Japanese) In: CIRJE J-Series.
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paper1
2010GH skew Students t-distribution in stochastic volatility model with application to stock returns (in Japanese) In: CIRJE J-Series.
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