研究業績(英文)
- 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
- Yasuhiro Omori (1993), "Asymptotic normality
of estimators for multiple time series count data with an application to
nonhomogeneous Poisson process," Economics Journal of Chiba
University. 8 (2-3), 101-134. December 1993.
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.
書評・その他
- 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.
研究業績(和文)
著書
論文
- 高橋慎・大森裕浩・渡部敏明 (2020)「Realized
Stochastic Volatilityモデル - 拡張と日本の株価指数への応用 -」『統計数理』,印刷中.
- 大森裕浩 (2019) 「多変量ボラティリティモデルのベイズ推定」『日本統計学会誌』
シリーズJ, 第48巻, 第2号, 177-198.
2019年3月.
- 大森裕浩・渡部敏明 (2013) 「Realized
Stochastic Volatilityモデル-マルコフ連鎖モンテカルロ法を用いたベイズ分析-」『日本統計学会誌』 シリーズJ, 第42巻, 第2号, 273-303. 2013年3月.
- 石原庸博・大森裕浩 (2011) 「非対称性のある多変量確率的ボラティリティ変動モデルのベイズ分析:東証業種別株価指数への応用」『日本統計学会誌』
シリーズJ, 第41巻, 第1号, 123-153.
2011年9月.
- 中島上智・大森裕浩 (2011) 「一般化双曲型非対称t分布を用いた確率的ボラティリティ変動モデルの推定と株価収益率データへの応用」」『日本統計学会誌』
シリーズJ, 第40巻, 第2号, 61-88.
2011年3月.
- 石原庸博・大森裕浩 (2008)「TOPIX収益率のマルコフ・スイッチング非対称確率的ボラティリティ変動モデルによる分析
−順列サンプラーによる探索−」 『現代ファイナンス』, 24, 75-100. 2008年9月.
- 大森裕浩・渡部敏明 (2008) 「MCMCとその確率的ボラティリティ変動モデルへの応用」『21世紀の統計科学I 社会・経済と統計科学』(国友直人・山本拓 監修・編)
第9章, 223-266. 東京大学出版会. 2008年7月
- 大森裕浩 (2007) 「多変量因子確率的ボラティリティ変動モデル」一橋大学『経済研究』, 58-4, 335-351. 2007年10月.
- 大森裕浩 (2006) 「非線形状態空間モデルのベイズ分析」東京大学『経済学論集』第72巻,第3号, 21-68.
2006年10月
- 和合肇・大森裕浩 (2005) 「計量経済分析へのベイズ統計学の応用」『ベイズ計量経済分析』第1章, 1-37. 東洋経済.
2005年6月.
- 大森裕浩・和合肇(2005) 「マルコフ連鎖モンテカルロ法とその応用」『ベイズ計量経済分析』第2章, 39-99. 東洋経済.
2005年6月.
- 大森裕浩 (2005) 「景気動向指数の継続時間分析」, 『ベイズ計量経済分析』第5章, 151-174. 東洋経済. 2005年6月.
- 大森裕浩 (2003), 「ミクロデータにおける母集団一意性の事後確率」『統計数理』,第51巻, 第2号, 223-239. 2003年12月
- 大森裕浩 (2001), 「マルコフ連鎖モンテカルロ法の最近の展開」『日本統計学会誌』,第31巻, 第3号,305-344. 2001年12月
- 渡部敏明・大森裕浩 (2000) 「日本の商品先物市場における価格と出来高の変動:動学的2変量分布混合モデルによる分析」『先物取引研究』,第5巻, 第1号, 111-130. 2000年9月
- 大森裕浩 (1999), 「Spatial
Gaussian Prior を用いた母集団一意性の事後確率」, 『経済と経済学』, 第88巻, 第1号, 57-66. 東京都立大学. 1999年7月
- 大森裕浩 (1998), 「多変量2標本検定に基づく個票秘匿の方法」, 『経済と経済学』, 第87巻, 第3号, 91-103. 東京都立大学.1998年3月
- 大森裕浩 (1996), 「マルコフ連鎖モンテカルロ法」,『千葉大学経済研究』, 第10巻, 第4号, 237-287. 1996年3月.
- 大森裕浩 (1994)「条件付指数型分布族のための一様最強力不偏検定とその応用」『千葉大学経済研究』第8巻 第4号,169-183,1994年3月
事典・辞典等
- 大森裕浩 (2009) 「マルコフ連鎖モンテカルロ法」 広中平祐編 『第2版 現代数理科学事典』, 636-638. 丸善. 2009年12月
- 大森裕浩 (2009) 「モンテカルロ法」 広中平祐編 『第2版 現代数理科学事典』, 634-635. 丸善. 2009年12月
- 大森裕浩 (2007) 「マルコフ連鎖モンテカルロ法」 蓑谷・縄田・和合編『計量経済学ハンドブック』699-723.
朝倉書店.
2007年10月
- 大森裕浩 (2007)「マルコフ連鎖モンテカルロ法」日本数学会編『数学辞典』第4版, 1031-1032. 岩波書店. 2007年3月.
- 大森裕浩 (2006) 「マルコフ連鎖モンテカルロ法」日本バイオインフォマティクス学会編 『バイオインフォマティクス事典』65-67.共立出版. 2006年6月.
書評・その他
- 大森裕浩 (2019) 書評「国友直人、山本拓編 統計と日本社会−データサイエンス時代の展開−」月刊『統計』2019年3月号 79-80.
- 大森裕浩・渡部敏明 (2018) 「ベイズ計量経済学へのいざない〜入門から実践へ」経済セミナー :第1回(データを使って学習する、4・5月号)、第2回(役に立つモデルとは、6・7月号)、第3回(シミュレーションで問題を解く、8・9月号)、第4回(さまざまなミクロ計量経済モデル、10・11月号)、第5回(ファイナンスやマクロ経済学への応用(1)、12・1月号) 、第6回(ファイナンスやマクロ経済学への応用(2)、2・3月号)
- 日本学術会議 数理科学委員会 数理統計学分科会 (2014) 提言「ビッグデータ時代における統計科学教育・研究の推進について」 2014年9月
- デイ・ラオ編 (2011) 繁桝 ・岸野 ・大森 監訳 「ベイズ統計分析ハンドブック」 朝倉書店
2011年6月.
- 統計関連学会連合 理事会・統計教育推進委員会 (2010) 「統計学分野の教育課程編成上の参照基準」 2010年8月
- 大森裕浩・真木和彦 (2007) 「統計学の現状と今後
: 統計的コンサルティング」, 日本統計学会会報, 131, 12-14.
- 大森裕浩 (2005)「統計学とアクチュアリー」アクチュアリージャーナル, 56, 1-16.
- 大森裕浩 (2004) "保険と統計モデル"
「アクチュアリーと統計モデル」アクチュアリージャーナル, 53, 41-52.
- マダラ・ラオ編 (2004) 小暮・森平監訳『ファイナンス統計学ハンドブック』朝倉書店. 翻訳分担 (第12章・第19章)
- 大森裕浩 (2002)「生存(継続)時間データの計量経済分析」 日本統計学会第70回大会, チュートリアルセミナー(第10回)『生存時間分析』