| Publication | Date of Publication | Type |
|---|
Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Econometric Reviews | 2023-09-18 | Paper |
Particle rolling MCMC with double-block sampling
Japanese Journal of Statistics and Data Science | 2023-07-25 | Paper |
Exact estimation of demand functions under block-rate pricing
Econometric Reviews | 2022-06-07 | Paper |
A discrete/continuous choice model on a nonconvex budget set
Econometric Reviews | 2022-02-24 | Paper |
| scientific article; zbMATH DE number 7387555 (Why is no real title available?) | 2021-08-27 | Paper |
Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes
Journal of Applied Statistics | 2020-12-04 | Paper |
Multivariate stochastic volatility model with cross leverage
Proceedings of COMPSTAT'2010 | 2020-07-14 | Paper |
Realized stochastic volatility with leverage and long memory
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Matrix exponential stochastic volatility with cross leverage
Computational Statistics and Data Analysis | 2018-08-15 | Paper |
Dynamic equicorrelation stochastic volatility
Computational Statistics and Data Analysis | 2018-08-15 | Paper |
Efficient estimation and particle filter for max-stable processes
Journal of Time Series Analysis | 2014-11-20 | Paper |
Efficient semiparametric Bayesian estimation of multivariate discrete proportional hazards model with random effects
Communications in Statistics: Theory and Methods | 2014-07-30 | Paper |
Tobit model with covariate dependent thresholds
Computational Statistics and Data Analysis | 2014-04-14 | Paper |
News impact curve for stochastic volatility models
Economics Letters | 2014-03-27 | Paper |
Realized stochastic volatility model. Bayesian analysis using Markov chain Monte Carlo
Journal of the Japan Statistical Society | 2013-11-26 | Paper |
Bayesian analysis of asymmetric multivariate stochastic volatility models with applications to TOPIX sector indices
Journal of the Japan Statistical Society | 2013-11-26 | Paper |
Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline
JOURNAL OF THE JAPAN STATISTICAL SOCIETY | 2013-04-11 | Paper |
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
Computational Statistics and Data Analysis | 2012-12-30 | Paper |
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
Computational Statistics and Data Analysis | 2012-12-30 | Paper |
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
Computational Statistics and Data Analysis | 2012-12-30 | Paper |
Stochastic volatility with leverage: fast and efficient likelihood inference
Journal of Econometrics | 2012-09-23 | Paper |
Leverage, heavy-tails and correlated jumps in stochastic volatility models
Computational Statistics and Data Analysis | 2010-03-30 | Paper |
Estimating stochastic volatility models using daily returns and realized volatility simultaneously
Computational Statistics and Data Analysis | 2010-03-30 | Paper |
Multivariate Stochastic Volatility
Handbook of Financial Time Series | 2009-11-27 | Paper |
Block sampler and posterior mode estimation for asymmetric stochastic volatility models
Computational Statistics and Data Analysis | 2009-06-12 | Paper |
A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)
Biometrika | 2008-04-08 | Paper |
Efficient Gibbs sampler for Bayesian analysis of a sample selection model
Statistics & Probability Letters | 2007-08-23 | Paper |
The Influence of Random Effects on Univariate and Bivariate Discrete Proportional Hazards Models
Communications in Statistics: Theory and Methods | 2007-02-15 | Paper |
Estimation for unequally spaced time series of counts with serially correlated random effects.
Statistics & Probability Letters | 2004-02-14 | Paper |
Discrete Duration Model Having Autoregressive Random Effects with Application to Japanese Diffusion Index
JOURNAL OF THE JAPAN STATISTICAL SOCIETY | 2003-11-04 | Paper |
| scientific article; zbMATH DE number 1406067 (Why is no real title available?) | 2001-03-11 | Paper |
Influence of random effects on bivariate and trivariate survival models
Journal of Nonparametric Statistics | 2000-05-29 | Paper |
Comparing two means in count models having random effects -- a UMPU test
Statistics & Probability Letters | 1998-11-17 | Paper |
The influence of random effects on the unconditional hazard rate and survival functions
Biometrika | 1994-09-26 | Paper |
