Daichi Hiraki, Siddhartha Chib, Yasuhiro Omori. Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler. arXiv:2404.13986. 2024
Makoto Takahashi, Yuta Yamauchi, Toshiaki Watanabe, Yasuhiro Omori. Realized stochastic volatility model with skew-t distributions for improved volatility and quantile forecasting. arXiv:2401.13179. 2024
Makoto Takahashi, Toshiaki Watanabe, Yasuhiro Omori. Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility. Econometrics and Statistics. 2024
Yuta Yamauchi, Yasuhiro Omori. Dynamic factor, leverage and realized covariances in multivariate stochastic volatility. Econometric Reviews. 2023. 42. 6. 513-539
Naoki Awaya, Yasuhiro Omori. Particle rolling MCMC with double-block sampling. Japanese Journal of Statistics and Data Science. 2023. 6. 305-335
Luc Bauwens, Gary Koop, John Maheu, Yasuhiro Omori. Special issue on Bayesian econometrics. COMPUTATIONAL STATISTICS & DATA ANALYSIS. 2016. 100. 794-794
Erricos J. Kontoghiorghes, Herman K. Van Dijk, David A. Belsley, Tim Bollerslev, Francis X. Diebold, Jean-Marie Dufour, Robert Engle, Andrew Harvey, Siem Jan Koopman, Hashem Pesaran, et al. CFEnetwork: The Annals of Computational and Financial Econometrics 2nd Issue. COMPUTATIONAL STATISTICS & DATA ANALYSIS. 2014. 76. 1-3
Some Consequences of Random Effects in Multivariate Survival Models(共著)
Multirariate Analysis, Experimental Design and Surrey Sampling(Marcel Dekker) 1999
講演・口頭発表等 (120件):
Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler
(7th International Conference on Econometrics and Statistics (EcoSta2024) 2024)
Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting
(ISBA (International Society for Bayesian Analysis) World Meeting 2024 2024)
Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler
(Eastern Asia Chapter of ISBA Conference 2024 2024)
Particle rolling MCMC with double block sampling
(7th International Conference on Econometrics and Statistics (EcoSta2023) 2023)
Realized stochastic volatility with skewed t distribution
(24th International Conference on Computational Statistics (COMPSTAT2022) 2022)
2024/07 - International Society for Bayesian Analysis Zellner Medal
2018/09 - 日本統計学会 日本統計学会賞
2012/09 - 日本統計学会 研究業績賞
所属学会 (8件):
日本ファイナンス学会
, Institute of Mathematical Statistics
, American Statistical Association
, Econometric Society
, 日本保険・年金リスク学会
, International Society for Bayesian Analysis
, 日本経済学会
, 日本統計学会