Yasuhiro Omori : Citation Profile


Are you Yasuhiro Omori?

University of Tokyo

10

H index

10

i10 index

558

Citations

RESEARCH PRODUCTION:

26

Articles

79

Papers

RESEARCH ACTIVITY:

   21 years (1997 - 2018). See details.
   Cites by year: 26
   Journals where Yasuhiro Omori has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 52 (8.52 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pom13
   Updated: 2021-03-01    RAS profile: 2018-09-27    
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Relations with other researchers


Works with:

Ishihara, Tsunehiro (2)

Hibiki, Akira (2)

Miyawaki, Koji (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 (79)

Asai, Manabu (58)

Caporin, Massimiliano (23)

Chang, Chia-Lin (16)

Ruiz, Esther (13)

Veiga, Helena (13)

Kastner, Gregor (13)

Rodríguez, Gabriel (12)

Nakajima, Jouchi (10)

Medeiros, Marcelo (9)

Deschamps, Philippe (9)

Cites to:

Shephard, Neil (84)

Asai, Manabu (32)

McAleer, Michael (31)

Yu, Jun (29)

Bollerslev, Tim (25)

Harvey, Andrew (22)

Nakajima, Jouchi (20)

Engle, Robert (19)

Andersen, Torben (17)

Barndorff-Nielsen, Ole (17)

Hansen, Peter (17)

Main data


Where Yasuhiro Omori has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis10
Statistics & Probability Letters3
The Japanese Economic Review3
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 (2021 and 2020)


YearTitle of citing document
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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2020Bayesian 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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2021Modeling 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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2020Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Ibrahim, Boulis M ; Byrne, Joseph P ; Zong, Xiaoyu. In: Papers. RePEc:arx:papers:2006.14023.

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2020Dynamic factor, leverage and realized covariances in multivariate stochastic volatility. (2020). Omori, Yasuhiro ; Yamauchi, Yuta. In: Papers. RePEc:arx:papers:2011.06909.

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2020A New Parametrization of Correlation Matrices. (2020). Hansen, Peter Reinhard ; Archakov, Ilya . In: Papers. RePEc:arx:papers:2012.02395.

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2020A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2020Understanding Trend Inflation Through the Lens of the Goods and Services Sectors. (2020). Wong, Benjamin ; Uzeda, Luis ; Eo, Yunjong. In: Staff Working Papers. RePEc:bca:bocawp:20-45.

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2020The economic drivers of volatility and uncertainty. (2020). Marcellino, Massimiliano ; Corsello, Francesco ; Carriero, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1285_20.

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2020Trend, Seasonal, and Sectorial Inflation in the Euro Area. (2020). Watson, Mark W ; Stock, James H. In: Central Banking, Analysis, and Economic Policies Book Series. RePEc:chb:bcchsb:v27c09pp317-344.

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2020Sequential Bayesian inference for vector autoregressions with stochastic volatility. (2020). Zito, John ; Bognanni, Mark. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s016518892030021x.

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2020Horizon-unbiased investment with ambiguity. (2020). Zhou, Chao ; Sun, Xianming ; Lin, Qian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300646.

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2021Mixed-frequency SV model for stock volatility and macroeconomics. (2021). Zheng, Tingguo ; Shang, Yuhuang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:462-472.

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2020Leverage effect on stochastic volatility for option pricing in Hong Kong: A simulation and empirical study. (2020). Chen, Naiwei ; Bian, Zhicun ; Hong, Hui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303565.

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2020Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity. (2020). Omori, Yasuhiro ; Kurose, Yuta. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:46-68.

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2020Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation. (2020). Veiga, Helena ; Ruiz, Esther ; Czellar, Veronika ; Mao, Xiuping. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105.

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2020Realized stochastic volatility models with generalized Gegenbauer long memory. (2020). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:42-54.

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2020On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin. (2020). Peiris, Shelton ; Chan, Jennifer ; Phillip, Andrew. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:69-90.

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2020The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model. (2020). Iseringhausen, Martin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:275-292.

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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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2021Potential output gap in Chinas regional coal-fired power sector under the constraint of carbon emission reduction. (2021). Zheng, Heyun ; Zhao, Weigang ; Chen, Zhenling. In: Energy Policy. RePEc:eee:enepol:v:148:y:2021:i:pa:s0301421520306030.

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2020Forecasting volatility using realized stochastic volatility model with time-varying leverage effect. (2020). Wang, Xiaona ; Wu, Xinyu. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319305021.

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2020Forecasting volatility with time-varying leverage and volatility of volatility effects. (2020). Proietti, Tommaso ; Catania, Leopoldo. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1301-1317.

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2020Bayesian sequential stock return prediction through copulas. (2020). Frey, Christoph ; Virbickait, Audron ; Macedo, Demian N. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:22:y:2020:i:c:s1703494920300207.

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2020The effects of geopolitical risks on the stock dynamics of Chinas rare metals: A TVP-VAR analysis. (2020). Chen, Jin-Yu ; Huang, Jian-Bai ; Zhou, Mei-Jing. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420719309183.

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2020Time-varying Uncertainty of the Federal Reserve’s Output Gap Estimate. (2020). Berge, Travis J. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-12.

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2021The Impact of Forecasting Jumps on Forecasting Electricity Prices. (2021). Kostrzewska, Jadwiga ; Kostrzewski, Maciej. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:2:p:336-:d:477466.

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2021A Panel Data Estimation of Domestic Water Demand with IRT Tariff Structure: The Case of the City of Valencia (Spain). (2021). ALMENAR-LLONGO, VICENT ; Madonado-Devis, Monica. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:3:p:1414-:d:489463.

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2020Can Nonlinear Water Pricing Help to Mitigate Drought Effects in Temperate Countries?. (2019). Tidball, Mabel ; Terreaux, Jean-Philippe. In: Post-Print. RePEc:hal:journl:halshs-02283100.

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2021Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility. (2021). Omori, Yasuhiro ; Watanabe, Toshiaki ; Takahashi, Makoto. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-104.

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2020Stock Return Predictability and Variance Risk Premia around the ZLB. (2020). Ogawa, Toshiaki ; Watanabe, Toshiaki ; Ubukata, Masato. In: IMES Discussion Paper Series. RePEc:ime:imedps:20-e-09.

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2020Posterior Inference on Parameters in a Nonlinear DSGE Model via Gaussian-Based Filters. (2020). Noh, Sanha. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:4:d:10.1007_s10614-019-09944-5.

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2020Using Survey Information for Improving the Density Nowcasting of US GDP with a Focus on Predictive Performance during Covid-19 Pandemic. (2020). Demircan, Hamza ; Cakmakli, Cem . In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:2016.

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2020Endogenous Financial Uncertainty and Macroeconomic Volatility: Evidence from the United States. (2020). Sensoy, Ahmet ; Nguyen, Duc Khuong ; ben Zaied, Younes ; Awijen, Haithem . In: MPRA Paper. RePEc:pra:mprapa:101276.

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2020Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Byrne, Joseph ; Zong, Xiaoyu ; Ibrahim, Boulis Maher. In: MPRA Paper. RePEc:pra:mprapa:101781.

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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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2020A dominance approach for comparing the performance of VaR forecasting models. (2020). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:3:d:10.1007_s00180-020-00990-4.

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2020Models for autoregressive processes of bounded counts: How different are they?. (2020). Moller, Tobias A ; Weiss, Christian H ; Kim, Hee-Young. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:4:d:10.1007_s00180-020-00980-6.

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2020Dynamic Factor, Leverage and Realized Covariances in Multivariate Stochastic Volatility. (2020). Omori, Yasuhiro ; Yamauchi, Yuta. In: CIRJE F-Series. RePEc:tky:fseres:2020cf1158.

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2020Prediction regions for interval‐valued time series. (2020). Gonzalezrivera, Gloria ; Ruiz, Esther ; Luo, Yun. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:35:y:2020:i:4:p:373-390.

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2020Labor Market and Financial Shocks: A Time‐Varying Analysis. (2020). Landi, Valerio Nispi ; Corsello, Francesco. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:52:y:2020:i:4:p:777-801.

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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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article15
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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2017Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage In: The Japanese Economic Review.
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article6
2012Efficient estimation and particle filter for max‐stable processes In: Journal of Time Series Analysis.
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article3
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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paper0
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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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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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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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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2009Multivariate Stochastic Volatility with Cross Leverage.(2009) In: CIRJE F-Series.
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2009Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors In: CARF F-Series.
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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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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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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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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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2009Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Students t-distribution In: CARF F-Series.
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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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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.
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2009Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Students t-Distribution.(2009) In: CIRJE F-Series.
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2007Markov chain Monte Carlo method and its application to the stochastic volatility model In: CARF J-Series.
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2008Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach- In: CARF J-Series.
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2010GH skew Students t-distribution in stochastic volatility model with application to stock returns In: CARF J-Series.
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2016Matrix exponential stochastic volatility with cross leverage In: Computational Statistics & Data Analysis.
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2011Matrix Exponential Stochastic Volatility with Cross Leverage.(2011) In: CIRJE F-Series.
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2013Matrix Exponential Stochastic Volatility with Cross Leverage.(2013) In: CIRJE F-Series.
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2014Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series.
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2014Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series.
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2016Dynamic equicorrelation stochastic volatility In: Computational Statistics & Data Analysis.
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2013Dynamic Equicorrelation Stochastic Volatility.(2013) In: CIRJE F-Series.
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2014Dynamic Equicorrelation Stochastic Volatility.(2014) In: CIRJE F-Series.
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2008Block sampler and posterior mode estimation for asymmetric stochastic volatility models In: Computational Statistics & Data Analysis.
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article27
2007Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models.(2007) In: CIRJE F-Series.
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2009Leverage, heavy-tails and correlated jumps in stochastic volatility models In: Computational Statistics & Data Analysis.
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2007Leverage, heavy-tails and correlated jumps in stochastic volatility models.(2007) In: CIRJE F-Series.
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2009Estimating stochastic volatility models using daily returns and realized volatility simultaneously In: Computational Statistics & Data Analysis.
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article77
2007Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously.(2007) In: CIRJE F-Series.
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2010Tobit model with covariate dependent thresholds In: Computational Statistics & Data Analysis.
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2008Tobit Model with Covariate Dependent Thresholds.(2008) In: CIRJE F-Series.
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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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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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2009Generalized extreme value distribution with time-dependence using the AR and MA models in state space form.(2009) In: CIRJE F-Series.
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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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2014Realized stochastic volatility with leverage and long memory In: Computational Statistics & Data Analysis.
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2012Realized stochastic volatility with leverage and long memory.(2012) In: CIRJE F-Series.
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2013Realized Stochastic Volatility with Leverage and Long Memory.(2013) In: CIRJE F-Series.
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2013News impact curve for stochastic volatility models In: Economics Letters.
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2012News Impact Curve for Stochastic Volatility Models.(2012) In: Global COE Hi-Stat Discussion Paper Series.
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2007Stochastic volatility with leverage: Fast and efficient likelihood inference In: Journal of Econometrics.
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2017Cholesky realized stochastic volatility model In: Econometrics and Statistics.
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2015Cholesky Realized Stochastic Volatility Model.(2015) In: CIRJE F-Series.
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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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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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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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2007Efficient Gibbs sampler for Bayesian analysis of a sample selection model In: Statistics & Probability Letters.
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2007Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model.(2007) In: CIRJE F-Series.
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2007Multivariate Factor Stochastic Volatility Model In: Economic Review.
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2017An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems In: Computational Economics.
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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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2004Stochastic Volatility with Leverage: Fast Likelihood Inference.(2004) In: CIRJE F-Series.
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2016Exact Estimation of Demand Functions under Block-Rate Pricing In: Econometric Reviews.
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2018A discrete/continuous choice model on a nonconvex budget set In: Econometric Reviews.
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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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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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2007Duality-Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing In: CIRJE F-Series.
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2008Bayesian Estimation of Entry Games with Application to Japanese Airline Data In: CIRJE F-Series.
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2010Bayesian Estimation and Particle Filter for Max-Stable Processes 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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2012Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline In: CIRJE F-Series.
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2013An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection In: CIRJE F-Series.
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2014Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria In: CIRJE F-Series.
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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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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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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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2010GH skew Students t-distribution in stochastic volatility model with application to stock returns (in Japanese) In: CIRJE J-Series.
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