Yasuhiro Omori

Available identifiers

zbMath Open omori.yasuhiroMaRDI QIDQ451247

List of research outcomes

Publication	Date of Publication	Type
Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations	2024-10-28	Paper
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility	2023-09-18	Paper
Particle rolling MCMC with double-block sampling	2023-07-25	Paper
Exact Estimation of Demand Functions under Block-Rate Pricing	2022-06-07	Paper
A discrete/continuous choice model on a nonconvex budget set	2022-02-24	Paper
https://portal.mardi4nfdi.de/entity/Q5011474	2021-08-27	Paper
Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes	2020-12-04	Paper
Multivariate Stochastic Volatility Model with Cross Leverage	2020-07-14	Paper
Realized stochastic volatility with leverage and long memory	2018-11-23	Paper
Matrix exponential stochastic volatility with cross leverage	2018-08-15	Paper
Dynamic equicorrelation stochastic volatility	2018-08-15	Paper
Efficient estimation and particle filter for max-stable processes	2014-11-20	Paper
Efficient Semiparametric Bayesian Estimation of Multivariate Discrete Proportional Hazards Model with Random Effects	2014-07-30	Paper
Tobit model with covariate dependent thresholds	2014-04-14	Paper
News impact curve for stochastic volatility models	2014-03-27	Paper
Realized stochastic volatility model. Bayesian analysis using Markov chain Monte Carlo	2013-11-26	Paper
Bayesian analysis of asymmetric multivariate stochastic volatility models with applications to TOPIX sector indices	2013-11-26	Paper
Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline	2013-04-11	Paper
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors	2012-12-30	Paper
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution	2012-12-30	Paper
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form	2012-12-30	Paper
Stochastic volatility with leverage: fast and efficient likelihood inference	2012-09-23	Paper
Leverage, heavy-tails and correlated jumps in stochastic volatility models	2010-03-30	Paper
Estimating stochastic volatility models using daily returns and realized volatility simultaneously	2010-03-30	Paper
Multivariate Stochastic Volatility	2009-11-27	Paper
Block sampler and posterior mode estimation for asymmetric stochastic volatility models	2009-06-12	Paper
A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)	2008-04-08	Paper
Efficient Gibbs sampler for Bayesian analysis of a sample selection model	2007-08-23	Paper
The Influence of Random Effects on Univariate and Bivariate Discrete Proportional Hazards Models	2007-02-15	Paper
Estimation for unequally spaced time series of counts with serially correlated random effects.	2004-02-14	Paper
Discrete Duration Model Having Autoregressive Random Effects with Application to Japanese Diffusion Index	2003-11-04	Paper
https://portal.mardi4nfdi.de/entity/Q4939081	2001-03-11	Paper
Influence of random effects on bivariate and trivariate survival models	2000-05-29	Paper
Comparing two means in count models having random effects -- a UMPU test	1998-11-17	Paper
The influence of random effects on the unconditional hazard rate and survival functions	1994-09-26	Paper

Research outcomes over time

This page was built for person: Yasuhiro Omori