← All authors Yasuhiro Omori The University of Tokyo (from arXiv:2011.06909, 2020) · ORCID · OpenAlex
48 papers in scope · 45 published · 5 on the econ.EM arXiv · 10,320 citations · h-index 14 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Daichi Hiraki Yuta Yamauchi Siddhartha Chib Ilya Archakov Peter Reinhard Hansen Chen Tong Didier Nibbering Tong Chen Rubén Loaiza-Maya Asger Lunde Xinxian Chen Yiyao Luo Victor H. Aguiar Christopher D. Walker Nail Kashaev Zhuo Huang K. B. Gubbels Andre Lucas Kenichi Shimizu John Gardner Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (6 of 48)
working paper 2026 · arXiv
working paper 2026 · arXiv
A multivariate randomized response model for mixed-type data
published 2025 · Journal of Applied Statistics
published 2025 · Journal of Econometrics · 1 citations · first circulated 2024
working paper 2024 · arXiv
published 2023 · Econometric Reviews · 1 citations · first circulated 2020
Particle rolling MCMC with double-block sampling
published 2022 · Japanese Journal of Statistics and Data Science · first circulated 2017
with Naoki Awaya
A Multivariate Randomized Response Model for Sensitive Binary Data
published 2022 · Econometrics and Statistics · 2 citations
Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility
published 2021 · Econometrics and Statistics · 3 citations
published 2019 · Journal of Business and Economic Statistics · 17 citations
Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity
published 2018 · Econometrics and Statistics · 2 citations
Special issue on Bayesian methods in statistics and econometrics
published 2017 · Econometrics and Statistics
with Taeryon Choi, Michael S. Smith, Stephen G. Walker
Cholesky realized stochastic volatility model
published 2016 · Econometrics and Statistics · 20 citations · first circulated 2015
Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage
published 2016 · Japanese Economic Review · 12 citations
with Tsunehiro Ishihara
Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria
published 2016 · Japanese Economic Review · first circulated 2014
with Yuko Onishi
Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes
published 2016 · Journal of Applied Statistics · 10 citations · first circulated 2015
with Jouchi Nakajima, Tsuyoshi Kunihama
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems
published 2016 · Computational Economics · 6 citations · first circulated 2012
with Shinya Sugawara
Special issue on Bayesian econometrics
published 2016 · Computational Statistics & Data Analysis
Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
published 2016 · International Journal of Forecasting · 44 citations · first circulated 2014
A discrete/continuous choice model on a nonconvex budget set
published 2015 · Econometric Reviews · 2 citations · first circulated 2010
Dynamic equicorrelation stochastic volatility
published 2015 · Computational Statistics & Data Analysis
Matrix exponential stochastic volatility with cross leverage
published 2014 · Computational Statistics & Data Analysis · 4 citations
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
Realized stochastic volatility with leverage and long memory
published 2013 · Computational Statistics & Data Analysis · 45 citations · first circulated 2012
with Shinichiro Shirota, Takayuki Hizu
Exact Estimation of Demand Functions under Block-Rate Pricing
published 2013 · Econometric Reviews · 10 citations · first circulated 2006
with Koji Miyawaki, Akira Hibiki
News impact curve for stochastic volatility models
published 2013 · Economics Letters · 17 citations · first circulated 2012
Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline
published 2012 · JOURNAL OF THE JAPAN STATISTICAL SOCIETY · 1 citations
DUOPOLY IN THE JAPANESE AIRLINE MARKET: BAYESIAN ESTIMATION FOR THE ENTRY GAME*
published 2011 · Japanese Economic Review · 6 citations
with Shinya Sugawara
Efficient estimation and particle filter for max‐stable processes
published 2011 · Journal of Time Series Analysis · 18 citations · first circulated 2010
with Tsuyoshi Kunihama, Zhengjun Zhang
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
published 2011 · Computational Statistics & Data Analysis · 4 citations
PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH*
published 2011 · Japanese Economic Review · 25 citations · first circulated 2010
with Koji Miyawaki, Akira Hibiki
GH skew Student's t-distribution in stochastic volatility model with application to stock returns
published 2010 · CARF F-Series
with Jouchi Nakajima
no link
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t -distribution
published 2010 · Computational Statistics & Data Analysis · 109 citations · first circulated 2009
with Jouchi Nakajima
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
published 2010 · Computational Statistics & Data Analysis · 38 citations · first circulated 2009
with Tsunehiro Ishihara
Tobit model with covariate dependent thresholds
published 2009 · Computational Statistics & Data Analysis
with Koji Miyawaki
Estimating stochastic volatility models using daily returns and realized volatility simultaneously
published 2008 · Computational Statistics & Data Analysis · 14 citations · first circulated 2007
Leverage, heavy-tails and correlated jumps in stochastic volatility models
published 2008 · Computational Statistics & Data Analysis · 100 citations · first circulated 2007
with Jouchi Nakajima
Special Issue on Statistical and Computational Methods in Finance
published 2008 · Computational Statistics & Data Analysis · 7 citations
with Alessandra Amendola, David A. Belsley, Erricos John Kontoghiorghes, Herman K. van Dijk, Eric Zivot
Block sampler and posterior mode estimation for asymmetric stochastic volatility models
published 2007 · Computational Statistics & Data Analysis · 3 citations
Efficient Gibbs sampler for Bayesian analysis of a sample selection model
published 2007 · Statistics & Probability Letters · 16 citations
Multivariate Factor Stochastic Volatility Model
published 2007 · Econometric Reviews
no link
Stochastic volatility with leverage: Fast and efficient likelihood inference
published 2006 · Journal of Econometrics · 475 citations · first circulated 2004
Estimation for unequally spaced time series of counts with serially correlated random effects
published 2003 · Statistics & Probability Letters · 6 citations
Discrete Duration Model Having Autoregressive Random Effects with Application to Japanese Diffusion Index
published 2003 · JOURNAL OF THE JAPAN STATISTICAL SOCIETY · 5 citations
Influence of random effects on bivariate and trivariate survival models
published 1999 · Journal of nonparametric statistics · 2 citations
with Richard A. Johnson
Comparing two means in count models having random effects - a UMPU test
published 1997 · Statistics & Probability Letters · 1 citations
Continuous Univariate Distributions.
published 1995 · Journal of the American Statistical Association · 9273 citations
with Norman L. Johnson, S. Kotz, N. Balakrishnan
The influence of random effects on the unconditional hazard rate and survival functions
published 1993 · Biometrika · 21 citations
with Richard A. Johnson
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