Selected Publications
- Yuta Yamauchi and Yasuhiro Omori (2020),
"Multivariate stochastic volatility model with realized volatilities
and pairwise realized correlations," Journal of Business and Economic Statistics, in press. April
2019. DOI:10.1080/07350015.2019.1602048
- Yuta Kurose and Yasuhiro Omori (2020),
"Multiple-block dynamic equicorrelations with realized measures,
leverage and endogeneity," Econometrics
and Statistics, 13, 46-68. January 2020. DOI:10.1016/j.ecosta.2018.03.003
- Koji Miyawaki, Yasuhiro Omori and Akira Hibiki
(2018), "Discrete/Continuous choice model on the nonconvex budget
set," Econometric Reviews,
37-2, 89-113. January 2018. DOI:10.1080/07474938.2015.1032166
- Shinya Sugawara and Yasuhiro Omori (2017),
"An econometric analysis of insurance markets with separate
identification for moral hazard and selection," Computational Economics, 50-3, 473–502. October 2017.
DOI:10.1007/s10614-016-9594-z
- Shinichiro Shirota, Yasuhiro Omori, Hedibert. F.
Lopes and Haixiang Piao (2017), "Cholesky realized stochastic
volatility model," Econometrics
and Statistics, 3, 34-59. July 2017 DOI: 10.1016/j.ecosta.2016.08.003
- Jouchi Nakajima, Tsuyoshi Kunihama and Yasuhiro
Omori (2017),
"Bayesian modeling of dynamic extreme values: Extension of generalized extreme value distributions with latent stochastic processes, " Journal
of Applied Statistics, 44-7, 1248—1268. April
2017. DOI:10.1080/02664763.2016.1201796.
- Tsunehiro Ishihara and Yasuhiro Omori (2017),
"Portfolio optimization using dynamic factor and stochastic
volatility: evidence on fat-tailed error and leverage, " Japanese
Economic Review, 68-1, 63-94. March 2017. DOI: 10.1111/jere.12114
- Yuko Onishi and Yasuhiro Omori (2016),
"Bayesian estimation of entry games with multiple players and
multiple equilibria," Japanese Economic Review, 67-4, 418–440. December 2016. DOI:
10.1111/jere.12108
- Yuta Kurose and Yasuhiro Omori (2016),
"Dynamic equicorrelation stochastic volatility," Computational
Statistics and Data Analysis, 100, 795-813. August 2016. DOI:10.1016/j.csda.2015.01.013
- Tsunehiro Ishihara, Yasuhiro Omori and Manabu
Asai (2016), "Matrix exponential stochastic volatility with cross
leverage," Computational Statistics and Data Analysis, 100,
331-350. August 2016. DOI: 10.1016/j.csda.2014.10.012
- Makoto Takahashi, Toshiaki Watanabe and Yasuhiro
Omori (2016), "Volatility and quantile forecasts by realized
stochastic volatility models with generalized hyperbolic distribution,
"International Journal of
Forecasting, 32-2, 437-457. April 2016. DOI:10.1016/j.ijforecast.2015.07.005
- Koji Miyawaki, Yasuhiro Omori and Akira Hibiki
(2016), "Exact estimation of demand functions under block rate
pricing," Econometric Reviews,
35-3, 311-343. February 2016. DOI:10.1080/07474938.2013.806857
- Yasuhiro Omori and Toshiaki Watanabe (2015),
"Stochastic volatility and realized stochastic volatility Models," Current Trends
in Bayesian Methodology with
Applications (eds S. K. Upadhyay, U. Singh, D. K. Deyand A. Loganathan), 435-456. Chapman & Hall/CRC
Press. May 2015. ISBN 9781482235111
- Shinichiro Shirota, Takayuki Hizu
and Yasuhiro Omori (2014), "Realized stochastic volatility with
leverage and long memory," Computational Statistics and Data
Analysis, 76, 618-641. August 2014. DOI: 10.1016/j.csda.2013.08.013
- Makoto Takahashi, Yasuhiro Omori and Toshiaki
Watanabe (2013), "News impact curve for stochastic volatility models," Economics Letters, 120-1, 130-134.
July 2013. DOI:10.1016/j.econlet.2013.03.001
- Jouchi Nakajima, Tsuyoshi Kunihama, Yasuhiro
Omori and Sylvia Frühwirth-Schnatter (2012), "Generalized extreme
value distribution with time-dependence using the AR and MA models in
state space form," Computational Statistics and Data Analysis,
56-11, 3241-3259. November 2012. DOI:10.1016/j.csda.2011.04.017
- Tsunehiro Ishihara and Yasuhiro Omori (2012),
"Efficient Bayesian estimation of a multivariate stochastic
volatility model with cross leverage and heavy-tailed errors," Computational
Statistics and Data Analysis, 56-11, 3674-3689. November 2012. DOI: 10.1016/j.csda.2010.07.015
- Jouchi Nakajima and Yasuhiro Omori (2012),
"Stochastic volatility model with leverage and asymmetrically
heavy-tailed error using GH skew Student's t-distribution," Computational
Statistics and Data Analysis, 56-11, 3690-3704. November 2012. DOI: 10.1016/j.csda.2010.07.012
- Shinya Sugawara and Yasuhiro Omori (2012),
"Duopoly in the Japanese airline market: Bayesian estimation for the
entry game," Japanese Economic Review, 63-3, 310-332.
September 2012. DOI: 10.1111/j.1468-5876.2011.00545.x
- Yuta Kurose and Yasuhiro Omori (2012),
"Bayesian analysis of time-varying quantiles using a smoothing
spline," Journal of the Japan Statistical Society, 42-1,
23-46. June 2012. DOI: 10.14490/jjss.42.23
- Yasuhiro Omori and Tsunehiro Ishihara (2012),
"Multivariate Stochastic Volatility Model," in Handbook
of Volatility Models and Their Applications (eds L. Bauwens, C.
Hafner and S. Laurent), Wiley, 175-195. May 2012.
- Tsuyoshi Kunihama, Yasuhiro Omori and Zhengjun Zhang (2012), "Efficient estimation and
particle filter for max-stable processes," Journal of Time Series
Analysis, 33-1, 61-80. January 2012. DOI: 10.1111/j.1467-9892.2011.00740.x
- Koji Miyawaki, Yasuhiro Omori and Akira Hibiki
(2011), "Panel data analysis of Japanese residential water demand
using a discrete/continuous choice approach," Japanese Economic
Review, 62-3, 365-386. September 2011. DOI: 10.1111/j.1468-5876.2010.00532.x
- Yasuhiro Omori and Koji Miyawaki (2010),
"Tobit model with covariate dependent thresholds," Computational
Statistics and Data Analysis, 54-11, 2736-2752. November 2010. DOI:10.1016/j.csda.2009.02.005
- Siddhartha Chib, Yasuhiro Omori and Manabu Asai
(2009), "Multivariate Stochastic Volatility," Handbook of
Financial Time Series (eds T.G. Andersen, R.A. Davis,
Jens-Peter Kreiss and T. Mikosch), 365-400. Springer-Verlag: New York.
April 2009.
- Makoto Takahashi, Yasuhiro Omori and Toshiaki
Watanabe (2009), "Estimating stochastic volatility models using daily
returns and realized volatility simultaneously," Computational
Statistics and Data Analysis, 53-6, 2404-2426. April 2009. DOI:10.1016/j.csda.2008.07.039
- Jouchi Nakajima and Yasuhiro Omori (2009), "Leverage,
heavy-tails and correlated jumps in stochastic volatility models," Computational
Statistics and Data Analysis, 53-6, 2335-2353. April 2009. DOI: 10.1016/j.csda.2008.03.015
- Yasuhiro Omori and Richard A. Johnson (2009),
"Efficient semiparametric Bayesian estimation of multivariate
discrete proportional hazards model with random effects," Communications
in Statistics-Theory and Methods, 38-1, 29-41. January 2009. DOI: 10.1080/03610920802155478
- Yasuhiro Omori and Toshiaki Watanabe (2008),
"Block sampler and posterior mode estimation for asymmetric
stochastic volatility models," Computational Statistics and Data
Analysis, 52-6, 2892-2910. February 2008. DOI:
10.1016/j.csda.2007.09.001
- Yasuhiro Omori, Siddhartha Chib, Neil Shephard
and Jouchi Nakajima (2007), "Stochastic volatility model with
leverage: fast and efficient likelihood inference," Journal of
Econometrics, 140-2, 425-449. October 2007.Ox program DOI:10.1016/j.jeconom.2006.07.008
- Yasuhiro Omori (2007), "Efficient Gibbs
sampler for Bayesian analysis of a sample selection model," Statistics
and Probability Letters, 77-12, 1300-1311. July 2007. DOI:10.1016/j.spl.2007.03.015
- Yasuhiro Omori and Richard A. Johnson (2006),
"The influences of random effects on univariate and bivariate
discrete proportional hazards models," Communications in
Statistics-Theory and Methods, 35-9, 1757-1764. June 2006.
DOI:10.1080/03610920600683762
- Toshiaki Watanabe and Yasuhiro Omori (2004),
"A multi-move sampler for estimating non-Gaussian times series
models: Comments on Shephard and Pitt (1997)," Biometrika,
91-1, 246-248. March 2004. DOI: 10.1093/biomet/91.1.246
- Yasuhiro Omori (2003),"Discrete duration
model having autoregressive random effects with application to Japanese
diffusion index,” Journal of the Japan Statistical Society, 33-1, 1-22. June 2003. DOI: 10.14490/jjss.33.1
- Yasuhiro Omori (2003), "Estimation for
unequally spaced time series of counts with serially correlated random
effects," Statistics and Probability Letters, 63-1, 1-12. May
2003. DOI:10.1016/S0167-7152(02)00343-7
- Yasuhiro Omori and Richard A. Johnson (1999),
"Some consequences of random effects in multivariate survival
models," Multivariate
Analysis, Design of Experiments and Survey Sampling, edited by S.
Ghosh, New York: Marcel Dekker, 301-347. April 1999.
- Richard A. Johnson and Yasuhiro Omori (1999),
"The Influences of random effects on bivariate and trivariate survival models," Journal of
Nonparametric Statistics, 11-1, 137-159. January 1999. DOI: 10.1080/10485259908832778
- Yasuhiro Omori, (1997), "Comparing two means
in count models having random effects - A UMPU Test," Statistics
and Probability Letters, 34-3, 225-235. June 1997. DOI: 10.1016/S0167-7152(96)00185-X
- Yasuhiro Omori and Richard A
Johnson (1993), "The Influence of random effects on the unconditional
hazard rate and survival functions," Biometrika, 80-4,
910-914. December 1993. DOI:10.1093/biomet/80.4.910
Proceedings
- Tsunehiro Ishihara and Yasuhiro Omori (2010),
"Multivariate stochastic volatility model with cross leverage," Proceedings
in Computational Statistics 2010 (COMPSTAT'2010), 315-323. August
2010. DOI: 10.1007/978-3-7908-2604-3_29
- Yasuhiro Omori (1999), "Measuring
identification disclosure risk for categorical microdata by posterior
population uniqueness," in Statistical
data protection - Proceedings of the conference, Lisbon, 25 to 27 March
1998 - 1999 edition, Office for Official Publications of the
European Communities, Luxembourg, 59-76.
Reviews and others
- Taeryon Choi, Yasuhiro Omori, Michael Smith, Stephen G.
Walker (2017), “Special
issue on Bayesian methods in statistics and econometrics,” Econometrics and
Statistics, 3, 1-2. July 2017 DOI: 10.1016/j.ecosta.2017.05.003
- Luc Bauwens, Gary Koop, John Maheu
and Yasuhiro Omori (2016), “Special issue on Bayesian econometrics,” Computational Statistics & Data Analysis, 100, 794. August 2016. DOI:10.1016/j.csda.2016.02.007
- John Kontoghiorghes et
al. (2014), “CFEnetwork: The Annals of
Computational and Financial Econometrics 2nd Issue,” Computational Statistics & Data Analysis, 76, 1-3. August 2014. DOI: 10.1016/j.csda.2014.04.006
- Alessandra Amendola, David Belsley,
Erricos John Kontoghiorghes,
Herman K. van Dijk, Yasuhiro Omori and Eric Zivot
(2008), "Special Issue on Statistical and Computational Methods in
Finance," Computational Statistics & Data Analysis, 52-6,
2842-2845. February 2008. DOI:10.1016/j.csda.2007.12.010
- Yasuhiro Omori and Hajime Wago (2001)
"Bayesians in Japan," ISBA Bulletin, 8-3
, 16-18. September 2001.
- Yasuhiro Omori (2001), Review of "Miller
& Freund's Probability and Statistics for Engineers," by Johnson,
Richard A, IIE Transactions, 33-9 ,
823-824. September 2001. DOI:10.1080/07408170108936875
- Yasuhiro Omori (1995), Review of "Continuous
univariate distributions, Vol. 1 (2nd ed.)" Johnson, Kotz and Balakrishnan, Journal of the American
Statistical Association, 90 (432) ,
1490-1491. December
1995.