Yasuhiro Omori : Citation Profile


Are you Yasuhiro Omori?

University of Tokyo

9

H index

9

i10 index

432

Citations

RESEARCH PRODUCTION:

26

Articles

79

Papers

RESEARCH ACTIVITY:

   21 years (1997 - 2018). See details.
   Cites by year: 20
   Journals where Yasuhiro Omori has often published
   Relations with other researchers
   Recent citing documents: 84.    Total self citations: 52 (10.74 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pom13
   Updated: 2019-10-15    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)

Miyawaki, Koji (3)

Sugawara, Shinya (2)

Kunihama, Tsuyoshi (2)

Nakajima, Jouchi (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 (68)

Asai, Manabu (47)

Caporin, Massimiliano (21)

Chang, Chia-Lin (15)

Veiga, Helena (11)

Kastner, Gregor (11)

Rodríguez, Gabriel (10)

Nakajima, Jouchi (10)

Deschamps, Philippe (9)

Ruiz, Esther (9)

Medeiros, Marcelo (9)

Cites to:

Shephard, Neil (82)

Asai, Manabu (31)

McAleer, Michael (30)

Yu, Jun (28)

Bollerslev, Tim (25)

Harvey, Andrew (22)

Nakajima, Jouchi (20)

Engle, Robert (19)

Andersen, Torben (18)

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
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
CIRJE J-Series / CIRJE, Faculty of Economics, University of Tokyo3
CARF J-Series / Center for Advanced Research in Finance, Faculty of Economics, The 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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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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2018Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. 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). Rego, Arthur T ; Dos, Thiago R. In: Papers. RePEc:arx:papers:1809.01501.

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2019Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2018). Yamauchi, Yuta ; Omori, Yasuhiro. In: Papers. RePEc:arx:papers:1809.09928.

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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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2018The global component of inflation volatility. (2018). Marcellino, Massimiliano ; Carriero, Andrea ; Corsello, Francesco. 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). Polanski, Arnold ; Stoja, Evarist. In: Bank of England working papers. RePEc:boe:boeewp:0660.

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

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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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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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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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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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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). Clark, Todd ; Mertens, Elmar ; McCracken, Michael W. In: Working Papers (New Series). RePEc:fip:fedcwq:171501.

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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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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). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. 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). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. 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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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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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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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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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). Virbickaite, Audrone ; Lopes, Hedibert F. 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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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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2017What has caused global business cycle decoupling: Smaller shocks or reduced sensitivity?. (2017). Berger, Tino ; Richter, Julia . In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:300.

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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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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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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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2012Efficient estimation and particle filter for max‐stable processes In: Journal of Time Series Analysis.
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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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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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