Yasuhiro Omori

15 papers Journal 13Unranked 2
YearRankTypeTitle / Venue / Authors
2016 J jnl
Dynamic equicorrelation stochastic volatility.
Comput. Stat. Data Anal.
Yuta Kurose, Yasuhiro Omori
2016 J jnl
Matrix exponential stochastic volatility with cross leverage.
Comput. Stat. Data Anal.
Tsunehiro Ishihara, Yasuhiro Omori, Manabu Asai
2016 J jnl
Special issue on Bayesian econometrics.
Comput. Stat. Data Anal.
Luc Bauwens, Gary Koop, John M. Maheu, Yasuhiro Omori
2014 J jnl
CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue.
Comput. Stat. Data Anal.
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
2014 J jnl
Realized stochastic volatility with leverage and long memory.
Comput. Stat. Data Anal.
Shinichiro Shirota, Takayuki Hizu, Yasuhiro Omori
2012 J jnl
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors.
Comput. Stat. Data Anal.
Tsunehiro Ishihara, Yasuhiro Omori
2012 J jnl
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form.
Comput. Stat. Data Anal.
Jouchi Nakajima, Tsuyoshi Kunihama, Yasuhiro Omori, Sylvia Frühwirth-Schnatter
2012 J jnl
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution.
Comput. Stat. Data Anal.
Jouchi Nakajima, Yasuhiro Omori
2010 — conf
Multivariate Stochastic Volatility Model with Cross Leverage.
COMPSTAT
Tsunehiro Ishihara, Yasuhiro Omori
2010 J jnl
Tobit model with covariate dependent thresholds.
Comput. Stat. Data Anal.
Yasuhiro Omori, Koji Miyawaki
2009 J jnl
Estimating stochastic volatility models using daily returns and realized volatility simultaneously.
Comput. Stat. Data Anal.
Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe
2009 J jnl
Leverage, heavy-tails and correlated jumps in stochastic volatility models.
Comput. Stat. Data Anal.
Jouchi Nakajima, Yasuhiro Omori
2008 J jnl
Block sampler and posterior mode estimation for asymmetric stochastic volatility models.
Comput. Stat. Data Anal.
Yasuhiro Omori, Toshiaki Watanabe
2008 J jnl
Special Issue on Statistical and Computational Methods in Finance.
Comput. Stat. Data Anal.
Alessandra Amendola, David A. Belsley, Erricos John Kontoghiorghes, Herman K. van Dijk, Yasuhiro Omori, Eric Zivot
2001 — conf
Provably-Convergent Iterative Methods for Projective Structure from Motion.
CVPR (1)
Shyjan Mahamud, Martial Hebert, Yasuhiro Omori, Jean Ponce