Yasuhiro Omori

According to our database, Yasuhiro Omori authored at least 15 papers between 2001 and 2016.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2016

Dynamic equicorrelation stochastic volatility.

Yuta Kurose, Yasuhiro Omori

Comput. Stat. Data Anal., 2016

Matrix exponential stochastic volatility with cross leverage.

Tsunehiro Ishihara, Yasuhiro Omori, Manabu Asai

Comput. Stat. Data Anal., 2016

Special issue on Bayesian econometrics.

Luc Bauwens, Gary Koop, John M. Maheu, Yasuhiro Omori

Comput. Stat. Data Anal., 2016

2014

Realized stochastic volatility with leverage and long memory.

Shinichiro Shirota, Takayuki Hizu, Yasuhiro Omori

Comput. Stat. Data Anal., 2014

CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue.

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

Comput. Stat. Data Anal., 2014

2012

Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution.

Jouchi Nakajima, Yasuhiro Omori

Comput. Stat. Data Anal., 2012

Generalized extreme value distribution with time-dependence using the AR and MA models in state space form.

Jouchi Nakajima, Tsuyoshi Kunihama, Yasuhiro Omori, Sylvia Frühwirth-Schnatter

Comput. Stat. Data Anal., 2012

Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors.

Tsunehiro Ishihara, Yasuhiro Omori

Comput. Stat. Data Anal., 2012

2010

Tobit model with covariate dependent thresholds.

Yasuhiro Omori, Koji Miyawaki

Comput. Stat. Data Anal., 2010

Multivariate Stochastic Volatility Model with Cross Leverage.

Tsunehiro Ishihara, Yasuhiro Omori

Proceedings of the 19th International Conference on Computational Statistics, 2010

2009

Estimating stochastic volatility models using daily returns and realized volatility simultaneously.

Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe

Comput. Stat. Data Anal., 2009

Leverage, heavy-tails and correlated jumps in stochastic volatility models.

Jouchi Nakajima, Yasuhiro Omori

Comput. Stat. Data Anal., 2009

2008

Block sampler and posterior mode estimation for asymmetric stochastic volatility models.

Yasuhiro Omori, Toshiaki Watanabe

Comput. Stat. Data Anal., 2008

Special Issue on Statistical and Computational Methods in Finance.

Alessandra Amendola, David A. Belsley, Erricos John Kontoghiorghes, Herman K. van Dijk, Yasuhiro Omori, Eric Zivot

Comput. Stat. Data Anal., 2008

2001

Provably-Convergent Iterative Methods for Projective Structure from Motion.

Shyjan Mahamud, Martial Hebert, Yasuhiro Omori, Jean Ponce

Proceedings of the 2001 IEEE Computer Society Conference on Computer Vision and Pattern Recognition (CVPR 2001), 2001