10
H index
10
i10 index
558
Citations
University of Tokyo | 10 H index 10 i10 index 558 Citations RESEARCH PRODUCTION: 26 Articles 79 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Yasuhiro Omori. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Computational Statistics & Data Analysis | 10 |
Statistics & Probability Letters | 3 |
The Japanese Economic Review | 3 |
Econometric Reviews | 2 |
Year | Title of citing document |
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2020 | Dynamic 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. Full description at Econpapers || Download paper |
2020 | Bayesian prediction of jumps in large panels of time series data. (2019). Papaspiliopoulos, Omiros ; Dellaportas, Petros ; Alexopoulos, Angelos. In: Papers. RePEc:arx:papers:1904.05312. Full description at Econpapers || Download paper |
2021 | Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123. Full description at Econpapers || Download paper |
2020 | Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Ibrahim, Boulis M ; Byrne, Joseph P ; Zong, Xiaoyu. In: Papers. RePEc:arx:papers:2006.14023. Full description at Econpapers || Download paper |
2020 | Dynamic factor, leverage and realized covariances in multivariate stochastic volatility. (2020). Omori, Yasuhiro ; Yamauchi, Yuta. In: Papers. RePEc:arx:papers:2011.06909. Full description at Econpapers || Download paper |
2020 | A New Parametrization of Correlation Matrices. (2020). Hansen, Peter Reinhard ; Archakov, Ilya . In: Papers. RePEc:arx:papers:2012.02395. Full description at Econpapers || Download paper |
2020 | A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708. Full description at Econpapers || Download paper |
2020 | Understanding 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2020 | Trend, 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. Full description at Econpapers || Download paper |
2020 | Sequential 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. Full description at Econpapers || Download paper |
2020 | Horizon-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. Full description at Econpapers || Download paper |
2021 | Mixed-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. Full description at Econpapers || Download paper |
2020 | Leverage 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. Full description at Econpapers || Download paper |
2020 | Multiple-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. Full description at Econpapers || Download paper |
2020 | Asymmetric 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. Full description at Econpapers || Download paper |
2020 | Realized 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. Full description at Econpapers || Download paper |
2020 | On 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2021 | Potential 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. Full description at Econpapers || Download paper |
2020 | Forecasting 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. Full description at Econpapers || Download paper |
2020 | Forecasting 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. Full description at Econpapers || Download paper |
2020 | Bayesian 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2020 | Time-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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2020 | Can 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. Full description at Econpapers || Download paper |
2021 | Forecasting 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. Full description at Econpapers || Download paper |
2020 | Stock 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. Full description at Econpapers || Download paper |
2020 | Posterior 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. Full description at Econpapers || Download paper |
2020 | Using 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. Full description at Econpapers || Download paper |
2020 | Endogenous 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. Full description at Econpapers || Download paper |
2020 | Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Byrne, Joseph ; Zong, Xiaoyu ; Ibrahim, Boulis Maher. In: MPRA Paper. RePEc:pra:mprapa:101781. Full description at Econpapers || Download paper |
2020 | Bayesian 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. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2020 | Models 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. Full description at Econpapers || Download paper |
2020 | Dynamic Factor, Leverage and Realized Covariances in Multivariate Stochastic Volatility. (2020). Omori, Yasuhiro ; Yamauchi, Yuta. In: CIRJE F-Series. RePEc:tky:fseres:2020cf1158. Full description at Econpapers || Download paper |
2020 | Prediction regions for intervalâ€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. Full description at Econpapers || Download paper |
2020 | Labor Market and Financial Shocks: A Timeâ€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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2011 | PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH In: The Japanese Economic Review. [Full Text][Citation analysis] | article | 15 |
2010 | Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach.(2010) In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2010 | Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach.(2010) In: CIRJE F-Series. [Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2010 | Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach.(2010) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2012 | DUOPOLY IN THE JAPANESE AIRLINE MARKET: BAYESIAN ESTIMATION FOR THE ENTRY GAME In: The Japanese Economic Review. [Full Text][Citation analysis] | article | 4 |
2010 | Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game.(2010) In: CIRJE F-Series. [Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2011 | Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game.(2011) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2017 | Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage In: The Japanese Economic Review. [Full Text][Citation analysis] | article | 6 |
2012 | Efficient estimation and particle filter for maxâ€stable processes In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 3 |
2011 | Efficient estimation and particle filter for max-stable processes.(2011) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2004 | Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in Journal of Econometrics, 140, 425-449, 2007. ) In: CARF F-Series. [Full Text][Citation analysis] | paper | 0 |
2007 | Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in Handbook of Financial Time Series (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Miko In: CARF F-Series. [Full Text][Citation analysis] | paper | 0 |
2007 | Block 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. [Full Text][Citation analysis] | paper | 0 |
2007 | Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors In: CARF F-Series. [Full Text][Citation analysis] | paper | 1 |
2003 | Block Sampler and Posterior Mode Estimation for a Nonlinear and Non-Gaussian State-Space Model with Correlated Errors.(2003) In: CIRJE F-Series. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2007 | Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-space Model with Correlated Errors.(2007) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2007 | Leverage, Heavy-Tails and Correlated Jumps in Stochastic Volatility Models (Revised in January 2008; Published in Computational Statistics and Data Analysis, 53-6, 2335-2353. April 2009. ) In: CARF F-Series. [Full Text][Citation analysis] | paper | 0 |
2007 | Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously ( Revised in March 2008; Published in Computational Statistics and Data Analysis, 53-6, 2404-2426. Ap In: CARF F-Series. [Full Text][Citation analysis] | paper | 0 |
2009 | Multivariate Stochastic Volatility with Cross Leverage In: CARF F-Series. [Citation analysis] | paper | 21 |
2009 | Multivariate Stochastic Volatility with Cross Leverage.(2009) In: CIRJE F-Series. [Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2009 | Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors In: CARF F-Series. [Full Text][Citation analysis] | paper | 8 |
2010 | Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors.(2010) In: CARF F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2012 | Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors.(2012) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2009 | Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors.(2009) In: CIRJE F-Series. [Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2010 | Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors.(2010) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2009 | Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Students t-distribution In: CARF F-Series. [Citation analysis] | paper | 28 |
2010 | Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution.(2010) In: CARF F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
2012 | Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution.(2012) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | article | |
2010 | Stochastic 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] This paper has another version. Agregated cites: 28 | paper | |
2009 | Stochastic 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: 28 | paper | |
2007 | Markov chain Monte Carlo method and its application to the stochastic volatility model In: CARF J-Series. [Full Text][Citation analysis] | paper | 0 |
2008 | Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach- In: CARF J-Series. [Full Text][Citation analysis] | paper | 1 |
2010 | GH skew Students t-distribution in stochastic volatility model with application to stock returns In: CARF J-Series. [Full Text][Citation analysis] | paper | 0 |
2016 | Matrix exponential stochastic volatility with cross leverage In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 18 |
2011 | Matrix Exponential Stochastic Volatility with Cross Leverage.(2011) In: CIRJE F-Series. [Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2013 | Matrix Exponential Stochastic Volatility with Cross Leverage.(2013) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2014 | Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2014 | Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2016 | Dynamic equicorrelation stochastic volatility In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 3 |
2013 | Dynamic Equicorrelation Stochastic Volatility.(2013) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2014 | Dynamic Equicorrelation Stochastic Volatility.(2014) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2008 | Block sampler and posterior mode estimation for asymmetric stochastic volatility models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 27 |
2007 | Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models.(2007) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
2009 | Leverage, heavy-tails and correlated jumps in stochastic volatility models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 28 |
2007 | Leverage, 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: 28 | paper | |
2009 | Estimating stochastic volatility models using daily returns and realized volatility simultaneously In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 77 |
2007 | Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously.(2007) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 77 | paper | |
2010 | Tobit model with covariate dependent thresholds In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 6 |
2008 | Tobit Model with Covariate Dependent Thresholds.(2008) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2012 | Generalized extreme value distribution with time-dependence using the AR and MA models in state space form In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 5 |
2009 | Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form.(2009) In: IMES Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2009 | Generalized 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 | |
2011 | Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form.(2011) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2014 | Realized stochastic volatility with leverage and long memory In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 7 |
2012 | Realized stochastic volatility with leverage and long memory.(2012) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2013 | Realized Stochastic Volatility with Leverage and Long Memory.(2013) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2013 | News impact curve for stochastic volatility models In: Economics Letters. [Full Text][Citation analysis] | article | 5 |
2012 | News Impact Curve for Stochastic Volatility Models.(2012) In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2007 | Stochastic volatility with leverage: Fast and efficient likelihood inference In: Journal of Econometrics. [Full Text][Citation analysis] | article | 156 |
2017 | Cholesky realized stochastic volatility model In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 6 |
2015 | Cholesky Realized Stochastic Volatility Model.(2015) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2016 | Cholesky Realized Stochastic Volatility Model.(2016) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2016 | Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 16 |
2014 | Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution.(2014) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2014 | Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution.(2014) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2015 | Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution.(2015) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
1997 | Comparing two means in count models having random effects - a UMPU test In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
2003 | Estimation for unequally spaced time series of counts with serially correlated random effects In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 1 |
2007 | Efficient Gibbs sampler for Bayesian analysis of a sample selection model In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 5 |
2007 | Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model.(2007) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2007 | Multivariate Factor Stochastic Volatility Model In: Economic Review. [Full Text][Citation analysis] | article | 1 |
2017 | An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
2012 | An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems.(2012) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2004 | Stochastic volatility with leverage: fast likelihood inference In: Economics Papers. [Full Text][Citation analysis] | paper | 6 |
2004 | Stochastic Volatility with Leverage: Fast Likelihood Inference.(2004) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2016 | Exact Estimation of Demand Functions under Block-Rate Pricing In: Econometric Reviews. [Full Text][Citation analysis] | article | 4 |
2018 | A discrete/continuous choice model on a nonconvex budget set In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
2013 | A Discrete/Continuous Choice Model on the Nonconvex Budget Set.(2013) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2014 | A Discrete/Continuous Choice Model on a Nonconvex Budget Set.(2014) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2017 | Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes In: Journal of Applied Statistics. [Full Text][Citation analysis] | article | 1 |
2015 | Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes .(2015) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2015 | Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes .(2015) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2006 | Bayesian Estimation of Demand Functions under Block Rate Pricing In: CIRJE F-Series. [Citation analysis] | paper | 2 |
2008 | Bayesian Estimation of Demand Functions under Block Rate Pricing.(2008) In: CIRJE F-Series. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2009 | Bayesian Estimation of Demand Functions under Block Rate Pricing.(2009) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2010 | Bayesian Estimation of Demand Functions under Block-Rate Pricing.(2010) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2007 | Multivariate stochastic volatility In: CIRJE F-Series. [Full Text][Citation analysis] | paper | 93 |
2007 | Duality-Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing In: CIRJE F-Series. [Full Text][Citation analysis] | paper | 0 |
2008 | Bayesian Estimation of Entry Games with Application to Japanese Airline Data In: CIRJE F-Series. [Citation analysis] | paper | 0 |
2010 | Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Students t-Distribution Models In: CIRJE F-Series. [Full Text][Citation analysis] | paper | 1 |
2010 | Bayesian Estimation and Particle Filter for Max-Stable Processes In: CIRJE F-Series. [Full Text][Citation analysis] | paper | 0 |
2010 | Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set In: CIRJE F-Series. [Full Text][Citation analysis] | paper | 0 |
2011 | Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline In: CIRJE F-Series. [Citation analysis] | paper | 0 |
2012 | Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline In: CIRJE F-Series. [Full Text][Citation analysis] | paper | 0 |
2013 | An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection In: CIRJE F-Series. [Full Text][Citation analysis] | paper | 1 |
2014 | Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria In: CIRJE F-Series. [Full Text][Citation analysis] | paper | 0 |
2016 | Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity In: CIRJE F-Series. [Full Text][Citation analysis] | paper | 1 |
2016 | Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity.(2016) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2018 | Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity.(2018) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2016 | Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations In: CIRJE F-Series. [Full Text][Citation analysis] | paper | 0 |
2017 | Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach In: CIRJE F-Series. [Full Text][Citation analysis] | paper | 0 |
2018 | Particle rolling MCMC with double block sampling: conditional SMC update approach.(2018) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2007 | Markov chain Monte Carlo method and its application to the stochastic volatility model(in Japanese) In: CIRJE J-Series. [Full Text][Citation analysis] | paper | 0 |
2008 | Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-(in Japanese) In: CIRJE J-Series. [Full Text][Citation analysis] | paper | 1 |
2010 | GH skew Students t-distribution in stochastic volatility model with application to stock returns (in Japanese) In: CIRJE J-Series. [Full Text][Citation analysis] | paper | 0 |
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