Tsunehiro Ishihara : Citation Profile

Osaka University of Economics

4

H index

4

i10 index

103

Citations

RESEARCH PRODUCTION:

5

Articles

12

Papers

RESEARCH ACTIVITY:

   9 years (2008 - 2017). See details.
   Cites by year: 11
   Journals where Tsunehiro Ishihara has often published
   Relations with other researchers
   Recent citing documents: 15.    Total self citations: 6 (5.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pis204
   Updated: 2026-08-29    RAS profile: 2026-08-22    
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Relations with other researchers

Works with:

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

Is cited by:

Omori, Yasuhiro (27)

Asai, Manabu (16)

Nakajima, Jouchi (6)

Kastner, Gregor (5)

Caporin, Massimiliano (5)

Yu, Jun (4)

Hansen, Peter (4)

Chang, Chia-Lin (4)

Santos, André (4)

Moura, Guilherme (4)

Archakov, Ilya (3)

Cites to:

Omori, Yasuhiro (15)

Asai, Manabu (12)

Shephard, Neil (9)

Yu, Jun (9)

CHIB, SIDDHARTHA (6)

Nakajima, Jouchi (4)

Ruiz, Esther (3)

Kirby, Chris (3)

Engle, Robert (3)

Caporin, Massimiliano (2)

Edison, Hali (2)

Main data

Where Tsunehiro Ishihara has published?

Journals with more than one article published# docs
Economic Review2
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo7
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo3

Recent works citing Tsunehiro Ishihara (2025 and 2024)

YearTitle of citing document
2025A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2024Bayesian modelling of VAR precision matrices using stochastic block networks. (2024). Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Scheckel, Tobias. In: Papers. RePEc:arx:papers:2407.16349.

Full description at Econpapers || Download paper

2024Bundle Choice Model with Endogenous Regressors: An Application to Soda Tax. (2024). Sun, Tao. In: Papers. RePEc:arx:papers:2412.05794.

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2026Dynamic Factor Stochastic Volatility-in-Mean VAR for Large Macroeconomic Panels. (2026). Omori, Yasuhiro ; Chib, Siddhartha ; Hiraki, Daichi. In: Papers. RePEc:arx:papers:2604.04529.

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2026Multivariate Stochastic Volatility Model with Block Correlations. (2026). Yu, Jun ; Fei, Yijie ; Chen, Han. In: Working Papers. RePEc:boa:wpaper:202638.

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2026Asymmetric Correlation Propagationin Factor Stochastic Volatility Models. (2026). Romero, Eva ; Marn, Juan Miguel ; Veiga, Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:50310.

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2025Regularizing stock return covariance matrices via multiple testing of correlations. (2025). Luger, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400099x.

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2025Multivariate stochastic volatility models based on generalized Fisher transformation. (2025). Yu, Jun ; Fei, Yijie ; Chen, Han. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625000958.

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2026A multivariate realized GARCH model. (2026). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Journal of Econometrics. RePEc:eee:econom:v:254:y:2026:i:pa:s0304407625000946.

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2025Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model. (2025). de Khoo, Zhi ; Ng, Kok Haur ; Koh, You Beng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000398.

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2024Bayesian forecasting in economics and finance: A modern review. (2024). Maheu, John ; Huber, Florian ; Koop, Gary ; Martin, Gael M ; Nibbering, Didier ; Frazier, David T ; Panagiotelis, Anastasios ; Maneesoonthorn, Worapree ; Loaiza-Maya, Ruben. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

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2024Test of Volatile Behaviors with the Asymmetric Stochastic Volatility Model: An Implementation on Nasdaq-100. (2024). Suleymanov, Elchin ; Yagubov, Ulvi ; Gubadli, Magsud. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:5:p:76-:d:1388278.

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2025Bayesian Analysis of Business Cycles in Japan by Extending the Markov Switching Model. (2025). ワタナベ, トシアキ, ; 渡部, 敏明, ; Watanabe, Toshiaki. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-148.

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2026Sequential estimation of multivariate factor stochastic volatility models. (2026). Calzolari, Giorgio ; Halbleib, Roxana ; McHer, Christian. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:110:y:2026:i:1:d:10.1007_s10182-025-00536-3.

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2024Global uncertainty and potential shelters: gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets. (2024). Bogobska, Joanna ; Szczepocki, Piotr ; Feder-Sempach, Ewa. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00589-w.

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Works by Tsunehiro Ishihara:

YearTitleTypeCited
2017Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage In: The Japanese Economic Review.
[Full Text][Citation analysis]		article11
2009Multivariate Stochastic Volatility with Cross Leverage In: CARF F-Series.
[Citation analysis]		paper31
2009Multivariate Stochastic Volatility with Cross Leverage.(2009) In: CIRJE F-Series.
[Citation analysis]
This paper has nother version. Agregated cites: 31		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]		paper24
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 nother version. Agregated cites: 24		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 nother version. Agregated cites: 24		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 nother version. Agregated cites: 24		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 nother version. Agregated cites: 24		paper
2008Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach- In: CARF J-Series.
[Full Text][Citation analysis]		paper1
2016Matrix exponential stochastic volatility with cross leverage In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article34
2011Matrix Exponential Stochastic Volatility with Cross Leverage.(2011) In: CIRJE F-Series.
[Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2013Matrix Exponential Stochastic Volatility with Cross Leverage.(2013) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2014Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2014Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2015Estimation of Generalized Realized Stochastic Volatility Model: An Application to Calendar Effect of Nikkei 225 In: Economic Review.
[Full Text][Citation analysis]		article0
2015Econometric Analysis of Business Cycles: A Survey with the Application to the Composite Index in Japan In: Economic Review.
[Full Text][Citation analysis]		article1
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

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