Yasuhiro Omori - researchr alias

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Viewing Publication 1 - 16 from 16

2016

Special issue on Bayesian econometricsLuc Bauwens, Gary Koop, John M. Maheu, Yasuhiro Omori. csda, 100:794, 2016. [doi]

Matrix exponential stochastic volatility with cross leverageTsunehiro Ishihara, Yasuhiro Omori, Manabu Asai. csda, 100:331-350, 2016. [doi]

Dynamic equicorrelation stochastic volatilityYuta Kurose, Yasuhiro Omori. csda, 100:795-813, 2016. [doi]

2014

Realized stochastic volatility with leverage and long memoryShinichiro Shirota, Takayuki Hizu, Yasuhiro Omori. csda, 76:618-641, 2014. [doi]

2012

Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errorsTsunehiro Ishihara, Yasuhiro Omori. csda, 56(11):3674-3689, 2012. [doi]

Generalized extreme value distribution with time-dependence using the AR and MA models in state space formJouchi Nakajima, Tsuyoshi Kunihama, Yasuhiro Omori, Sylvia Frühwirth-Schnatter. csda, 56(11):3241-3259, 2012. [doi]

Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distributionJouchi Nakajima, Yasuhiro Omori. csda, 56(11):3690-3704, 2012. [doi]

2010

Multivariate Stochastic Volatility Model with Cross LeverageTsunehiro Ishihara, Yasuhiro Omori. compstat 2010: 315-323 [doi]

Tobit model with covariate dependent thresholdsYasuhiro Omori, Koji Miyawaki. csda, 54(11):2736-2752, 2010. [doi]

2009

Leverage, heavy-tails and correlated jumps in stochastic volatility modelsJouchi Nakajima, Yasuhiro Omori. csda, 53(6):2335-2353, 2009. [doi]

Estimating stochastic volatility models using daily returns and realized volatility simultaneouslyMakoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe. csda, 53(6):2404-2426, 2009. [doi]

2008

Special Issue on Statistical and Computational Methods in FinanceAlessandra Amendola, David A. Belsley, Erricos John Kontoghiorghes, Herman K. van Dijk, Yasuhiro Omori, Eric Zivot. csda, 52(6):2842-2845, 2008. [doi]

Block sampler and posterior mode estimation for asymmetric stochastic volatility modelsYasuhiro Omori, Toshiaki Watanabe. csda, 52(6):2892-2910, 2008. [doi]

2001

Provably-Convergent Iterative Methods for Projective Structure from MotionShyjan Mahamud, Martial Hebert, Yasuhiro Omori, Jean Ponce. cvpr 2001: 1018-1025 [doi]

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