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    
   Missing citations? Add them    Incorrect content? Let us know

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Modeling 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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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..

Full description at Econpapers || Download paper

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..

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Bayesian Dynamic Modeling of High-Frequency Integer Price Changes. (2018). Koopman, Siem Jan ; Barra, Istvan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160028.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

Works by Yasuhiro Omori:

YearTitleTypeCited
2011PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH In: The Japanese Economic Review.
[Full Text][Citation analysis]		article14
2010Panel 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: 14		paper
2010Panel 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: 14		paper
2010Panel 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: 14		paper
2012DUOPOLY IN THE JAPANESE AIRLINE MARKET: BAYESIAN ESTIMATION FOR THE ENTRY GAME In: The Japanese Economic Review.
[Full Text][Citation analysis]		article3
2010Duopoly 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: 3		paper
2011Duopoly 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: 3		paper
2017Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage In: The Japanese Economic Review.
[Full Text][Citation analysis]		article3
2012Efficient estimation and particle filter for max‐stable processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2011Efficient estimation and particle filter for max-stable processes.(2011) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		paper0
2007Block 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]		paper1
2003Block 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
2007Block 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
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.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		paper0
2009Multivariate Stochastic Volatility with Cross Leverage In: CARF F-Series.
[Citation analysis]		paper18
2009Multivariate Stochastic Volatility with Cross Leverage.(2009) In: CIRJE F-Series.
[Citation analysis]
This paper has another version. Agregated cites: 18		paper
2009Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors In: CARF F-Series.
[Full Text][Citation analysis]		paper6
2010Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors.(2010) In: CARF F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2012Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors.(2012) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
2009Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors.(2009) In: CIRJE F-Series.
[Citation analysis]
This paper has another version. Agregated cites: 6		paper
2010Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors.(2010) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2009Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Students t-distribution In: CARF F-Series.
[Citation analysis]		paper22
2010Stochastic 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: 22		paper
2012Stochastic 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: 22		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]
This paper has another version. Agregated cites: 22		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: 22		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.
[Full Text][Citation analysis]		article10
2011Matrix Exponential Stochastic Volatility with Cross Leverage.(2011) In: CIRJE F-Series.
[Citation analysis]
This paper has another version. Agregated cites: 10		paper
2013Matrix Exponential Stochastic Volatility with Cross Leverage.(2013) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2014Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2014Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2016Dynamic equicorrelation stochastic volatility In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article1
2013Dynamic Equicorrelation Stochastic Volatility.(2013) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2014Dynamic Equicorrelation Stochastic Volatility.(2014) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2008Block sampler and posterior mode estimation for asymmetric stochastic volatility models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article20
2007Block 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: 20		paper
2009Leverage, heavy-tails and correlated jumps in stochastic volatility models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article25
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: 25		paper
2009Estimating stochastic volatility models using daily returns and realized volatility simultaneously In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article61
2007Estimating 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: 61		paper
2010Tobit model with covariate dependent thresholds In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article5
2008Tobit Model with Covariate Dependent Thresholds.(2008) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2012Generalized 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]		article4
2009Generalized 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: 4		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: 4		paper
2011Generalized 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: 4		paper
2014Realized stochastic volatility with leverage and long memory In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article5
2012Realized stochastic volatility with leverage and long memory.(2012) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2013Realized Stochastic Volatility with Leverage and Long Memory.(2013) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2013News impact curve for stochastic volatility models In: Economics Letters.
[Full Text][Citation analysis]		article3
2012News 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: 3		paper
2007Stochastic volatility with leverage: Fast and efficient likelihood inference In: Journal of Econometrics.
[Full Text][Citation analysis]		article122
2017Cholesky realized stochastic volatility model In: Econometrics and Statistics.
[Full Text][Citation analysis]		article3
2015Cholesky Realized Stochastic Volatility Model.(2015) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2016Cholesky Realized Stochastic Volatility Model.(2016) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2016Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution In: International Journal of Forecasting.
[Full Text][Citation analysis]		article7
2014Volatility 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: 7		paper
2014Volatility 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: 7		paper
2015Volatility 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: 7		paper
1997Comparing two means in count models having random effects - a UMPU test In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article0
2003Estimation for unequally spaced time series of counts with serially correlated random effects In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article1
2007Efficient Gibbs sampler for Bayesian analysis of a sample selection model In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article5
2007Efficient 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
2007Multivariate Factor Stochastic Volatility Model In: Economic Review.
[Full Text][Citation analysis]		article1
2017An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems In: Computational Economics.
[Full Text][Citation analysis]		article0
2012An 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
2004Stochastic volatility with leverage: fast likelihood inference In: Economics Papers.
[Full Text][Citation analysis]		paper6
2004Stochastic Volatility with Leverage: Fast Likelihood Inference.(2004) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2016Exact Estimation of Demand Functions under Block-Rate Pricing In: Econometric Reviews.
[Full Text][Citation analysis]		article2
2018A discrete/continuous choice model on a nonconvex budget set In: Econometric Reviews.
[Full Text][Citation analysis]		article0
2014A 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
2017Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes In: Journal of Applied Statistics.
[Full Text][Citation analysis]		article0
2015Bayesian 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: 0		paper
2015Bayesian 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: 0		paper
2006Bayesian Estimation of Demand Functions under Block Rate Pricing In: CIRJE F-Series.
[Citation analysis]		paper2
2008Bayesian Estimation of Demand Functions under Block Rate Pricing.(2008) In: CIRJE F-Series.
[Citation analysis]
This paper has another version. Agregated cites: 2		paper
2009Bayesian 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
2010Bayesian 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
2007Multivariate stochastic volatility In: CIRJE F-Series.
[Full Text][Citation analysis]		paper77
2007Duality-Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing In: CIRJE F-Series.
[Full Text][Citation analysis]		paper0
2008Bayesian Estimation of Entry Games with Application to Japanese Airline Data In: CIRJE F-Series.
[Citation analysis]		paper0
2010Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Students t-Distribution Models In: CIRJE F-Series.
[Full Text][Citation analysis]		paper1
2010Bayesian Estimation and Particle Filter for Max-Stable Processes In: CIRJE F-Series.
[Full Text][Citation analysis]		paper0
2010Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set In: CIRJE F-Series.
[Full Text][Citation analysis]		paper0
2011Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline In: CIRJE F-Series.
[Citation analysis]		paper0
2012Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline In: CIRJE F-Series.
[Full Text][Citation analysis]		paper0
2013A Discrete/Continuous Choice Model on the Nonconvex Budget Set In: CIRJE F-Series.
[Full Text][Citation analysis]		paper0
2013An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection In: CIRJE F-Series.
[Full Text][Citation analysis]		paper1
2014Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria In: CIRJE F-Series.
[Full Text][Citation analysis]		paper0
2016Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity In: CIRJE F-Series.
[Full Text][Citation analysis]		paper0
2016Multiple-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: 0		paper
0000Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity.(0000) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2016Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations In: CIRJE F-Series.
[Full Text][Citation analysis]		paper0
2017Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach In: CIRJE F-Series.
[Full Text][Citation analysis]		paper0
2018Particle 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
2007Markov chain Monte Carlo method and its application to the stochastic volatility model(in Japanese) In: CIRJE J-Series.
[Full Text][Citation analysis]		paper0
2008Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach-(in Japanese) In: CIRJE J-Series.
[Full Text][Citation analysis]		paper1
2010GH skew Students t-distribution in stochastic volatility model with application to stock returns (in Japanese) In: CIRJE J-Series.
[Full Text][Citation analysis]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team