Yasuhiro Omori

Publication Activity (10 Years)

Years Active: 2001-2016
Publications (10 Years): 3

Top Topics

Bayesian Estimation

Generalized Gaussian

Top Venues

Comput. Stat. Data Anal.

Publications

Tsunehiro Ishihara, Yasuhiro Omori, Manabu Asai
Matrix exponential stochastic volatility with cross leverage. Comput. Stat. Data Anal. 100 (2016)
Luc Bauwens, Gary Koop, John M. Maheu, Yasuhiro Omori
Special issue on Bayesian econometrics. Comput. Stat. Data Anal. 100 (2016)
Yuta Kurose, Yasuhiro Omori
Dynamic equicorrelation stochastic volatility. Comput. Stat. Data Anal. 100 (2016)
Erricos John Kontoghiorghes, Herman K. van Dijk, David A. Belsley, Tim Bollerslev, Francis X. Diebold, Jean-Marie Dufour, Robert F. Engle, Andrew Harvey, Siem Jan Koopman, Hashem Pesaran, Peter C. B. Phillips, Richard J. Smith, Mike West, Qiwei Yao, Alessandra Amendola, Monica Billio, Cathy W. S. Chen, Carl Chiarella, Ana Colubi, Manfred Deistler, Christian Francq, Marc Hallin, Eric Jacquier, Kenneth Judd, Gary Koop, Helmut Lütkepohl, James G. MacKinnon, Stefan Mittnik, Yasuhiro Omori, D. S. G. Pollock, Tommaso Proietti, Jeroen V. K. Rombouts, Olivier Scaillet, Willi Semmler, Mike K. P. So, Mark F. J. Steel, Robert Taylor, Elias Tzavalis, Jean-Michel Zakoian, H. Peter Boswijk, Alessandra Luati, John M. Maheu
CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue. Comput. Stat. Data Anal. 76 (2014)
Shinichiro Shirota, Takayuki Hizu, Yasuhiro Omori
Realized stochastic volatility with leverage and long memory. Comput. Stat. Data Anal. 76 (2014)
Tsunehiro Ishihara, Yasuhiro Omori
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors. Comput. Stat. Data Anal. 56 (11) (2012)
Jouchi Nakajima, Tsuyoshi Kunihama, Yasuhiro Omori, Sylvia Frühwirth-Schnatter
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form. Comput. Stat. Data Anal. 56 (11) (2012)
Jouchi Nakajima, Yasuhiro Omori
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution. Comput. Stat. Data Anal. 56 (11) (2012)
Tsunehiro Ishihara, Yasuhiro Omori
Multivariate Stochastic Volatility Model with Cross Leverage. COMPSTAT (2010)
Yasuhiro Omori, Koji Miyawaki
Tobit model with covariate dependent thresholds. Comput. Stat. Data Anal. 54 (11) (2010)
Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe
Estimating stochastic volatility models using daily returns and realized volatility simultaneously. Comput. Stat. Data Anal. 53 (6) (2009)
Jouchi Nakajima, Yasuhiro Omori
Leverage, heavy-tails and correlated jumps in stochastic volatility models. Comput. Stat. Data Anal. 53 (6) (2009)
Yasuhiro Omori, Toshiaki Watanabe
Block sampler and posterior mode estimation for asymmetric stochastic volatility models. Comput. Stat. Data Anal. 52 (6) (2008)
Alessandra Amendola, David A. Belsley, Erricos John Kontoghiorghes, Herman K. van Dijk, Yasuhiro Omori, Eric Zivot
Special Issue on Statistical and Computational Methods in Finance. Comput. Stat. Data Anal. 52 (6) (2008)
Shyjan Mahamud, Martial Hebert, Yasuhiro Omori, Jean Ponce
Provably-Convergent Iterative Methods for Projective Structure from Motion. CVPR (1) (2001)