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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility

Econometric reviews, 2023, Vol.42 (6), p.513-539

2023

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Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility

Econometrics and statistics, 2024-10, Vol.32, p.34-56

2024

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

Computational statistics & data analysis, 2009-04, Vol.53 (6), p.2335-2353

2009

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Pseudomonas rhodesiae HAI-0804 suppresses Pythium damping off and root rot in cucumber by its efficient root colonization promoted by amendment with glutamate

Frontiers in microbiology, 2024-11, Vol.15

2024

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Estimating stochastic volatility models using daily returns and realized volatility simultaneously

Computational statistics & data analysis, 2009-04, Vol.53 (6), p.2404-2426

2009

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Block sampler and posterior mode estimation for asymmetric stochastic volatility models

Computational statistics & data analysis, 2008-02, Vol.52 (6), p.2892-2910

2008

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Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage

Japanese economic review (Oxford, England), 2017-03, Vol.68 (1), p.63-94

2017

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Stochastic Volatility and Realized Stochastic Volatility Models

1st ed. 2023., 2023

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Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations

Journal of business & economic statistics, 2020-10, Vol.38 (4), p.839-855

2020

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

Computational statistics & data analysis, 2012-11, Vol.56 (11), p.3690-3704

2012

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Exact Estimation of Demand Functions under Block-Rate Pricing

Econometric reviews, 2016-03, Vol.35 (3), p.311-343

2016

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News impact curve for stochastic volatility models

Economics letters, 2013-07, Vol.120 (1), p.130-134

2013

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Efficient Gibbs sampler for Bayesian analysis of a sample selection model

Statistics & probability letters, 2007-07, Vol.77 (12), p.1300-1311

Omori, Yasuhiro

2007

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Alternative lengthening of telomeres frequently occurs in mismatch repair system‐deficient gastric carcinoma

Cancer science, 2009-03, Vol.100 (3), p.413-418

2009

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Particle rolling MCMC with double-block sampling

Japanese journal of statistics and data science, 2023-06, Vol.6 (1), p.305-335

2023

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Efficient estimation and particle filter for max-stable processes

Journal of time series analysis, 2012-01, Vol.33 (1), p.61-80

2012

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PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH

Japanese economic review (Oxford, England), 2011-09, Vol.62 (3), p.365-386

2011

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Isothermal Transformation in Fe^|^ndash;N Hypereutectoid Alloy

ISIJ international, 2013, Vol.53 (1), p.139-144

2013

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Isothermal Transformation in Fe–N Hypereutectoid Alloy

ISIJ International, 2013, Vol.53(1), pp.139-144

2013

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Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity

Econometrics and statistics, 2020-01, Vol.13, p.46-68

2020

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Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution

International journal of forecasting, 2016-04, Vol.32 (2), p.437-457

2016

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

Computational statistics & data analysis, 2012-11, Vol.56 (11), p.3674-3689

2012

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Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline

JOURNAL OF THE JAPAN STATISTICAL SOCIETY, 2012/09/04, Vol.42(1), pp.23-46

2012

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An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems

Computational economics, 2017-10, Vol.50 (3), p.473-502

2017

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Stochastic volatility with leverage: Fast and efficient likelihood inference

Journal of econometrics, 2007-10, Vol.140 (2), p.425-449

2007

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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility

Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility

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

Pseudomonas rhodesiae HAI-0804 suppresses Pythium damping off and root rot in cucumber by its efficient root colonization promoted by amendment with glutamate

Estimating stochastic volatility models using daily returns and realized volatility simultaneously

Block sampler and posterior mode estimation for asymmetric stochastic volatility models

Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage

Stochastic Volatility and Realized Stochastic Volatility Models

Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations

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

Exact Estimation of Demand Functions under Block-Rate Pricing

News impact curve for stochastic volatility models

Efficient Gibbs sampler for Bayesian analysis of a sample selection model

Alternative lengthening of telomeres frequently occurs in mismatch repair system‐deficient gastric carcinoma

Particle rolling MCMC with double-block sampling

Efficient estimation and particle filter for max-stable processes

PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH

Isothermal Transformation in Fe^|^ndash;N Hypereutectoid Alloy

Isothermal Transformation in Fe–N Hypereutectoid Alloy

Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity

Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution

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

Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline

An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems

Stochastic volatility with leverage: Fast and efficient likelihood inference

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