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Yasuhiro Omori
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2010 – 2019
- 2016
- [j13]Tsunehiro Ishihara
, Yasuhiro Omori
Matrix exponential stochastic volatility with cross leverage. Comput. Stat. Data Anal. 100: 331-350 (2016) - [j12]Luc Bauwens, Gary Koop, John M. Maheu, Yasuhiro Omori
Special issue on Bayesian econometrics. Comput. Stat. Data Anal. 100: 794 (2016) - [j11]Yuta Kurose, Yasuhiro Omori
Dynamic equicorrelation stochastic volatility. Comput. Stat. Data Anal. 100: 795-813 (2016) - 2014
- [j10]Erricos John Kontoghiorghes
CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue. Comput. Stat. Data Anal. 76: 1-3 (2014) - [j9]Shinichiro Shirota, Takayuki Hizu, Yasuhiro Omori
Realized stochastic volatility with leverage and long memory. Comput. Stat. Data Anal. 76: 618-641 (2014) - 2012
- [j8]Jouchi Nakajima, Tsuyoshi Kunihama, Yasuhiro Omori
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form. Comput. Stat. Data Anal. 56(11): 3241-3259 (2012) - [j7]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): 3674-3689 (2012) - [j6]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): 3690-3704 (2012) - 2010
- [j5]Yasuhiro Omori
Tobit model with covariate dependent thresholds. Comput. Stat. Data Anal. 54(11): 2736-2752 (2010) - [c2]Tsunehiro Ishihara, Yasuhiro Omori:
Multivariate Stochastic Volatility Model with Cross Leverage. COMPSTAT 2010: 315-323
2000 – 2009
- 2009
- [j4]Jouchi Nakajima, Yasuhiro Omori
Leverage, heavy-tails and correlated jumps in stochastic volatility models. Comput. Stat. Data Anal. 53(6): 2335-2353 (2009) - [j3]Makoto Takahashi
Estimating stochastic volatility models using daily returns and realized volatility simultaneously. Comput. Stat. Data Anal. 53(6): 2404-2426 (2009) - 2008
- [j2]Alessandra Amendola
Special Issue on Statistical and Computational Methods in Finance. Comput. Stat. Data Anal. 52(6): 2842-2845 (2008) - [j1]Yasuhiro Omori
Block sampler and posterior mode estimation for asymmetric stochastic volatility models. Comput. Stat. Data Anal. 52(6): 2892-2910 (2008) - 2001
- [c1]Shyjan Mahamud, Martial Hebert, Yasuhiro Omori, Jean Ponce:
Provably-Convergent Iterative Methods for Projective Structure from Motion. CVPR (1) 2001: 1018-1025
Coauthor Index
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