Omori Yasuhiro 大森裕浩

… Alternative Names

OMORI Yasuhiro 大森裕浩

木森裕浩オオモリヤスヒロ

大森裕治オオモリヤスヒロ

大森裕浩オオモリヤスヒロ

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Researcher Number	60251188
Other IDs
External Links
Affiliation (Current)	2025: 東京大学, 大学院経済学研究科(経済学部), 教授
Affiliation (based on the past Project Information) *help	2016 – 2024: 東京大学, 大学院経済学研究科(経済学部), 教授 2015: 東京大学, 経済学研究科, 教授 2012 – 2015: 東京大学, 経済学研究科(研究院), 教授 2009 – 2011: The University of Tokyo, 大学院・経済学研究科, 教授 2007 – 2008: University of Tokyo, Graduate School of Economics, Associate Professor … More 2007: The University of Tokyo, 大学院・経済研究科, 准教授 2005 – 2006: 東京大学, 大学院経済学研究科, 助教授 2001 – 2006: 東京大学, 大学院・経済学研究科, 助教授 2005: 大学院, 経済学研究科, 助教授 2003: 東京大学, 経済学部, 助教授 2002: University of Tokyo, Graduate School of Economics, Associate Professor, 大学院経済学研究科, 教授 1996 – 2001: 東京都立大学, 経済学部, 助教授 1994: 千葉大学, 法経学部, 助教授 Less
Review Section/Research Field	Principal Investigator Economic statistics / Economic statistics / Medium-sized Section 7:Economics, business administration, and related fields / Statistical science Except Principal Investigator Economic statistics / Medium-sized Section 7:Economics, business administration, and related fields / Statistical science / Statistical science / Public finance/Monetary economics / Economic policy / Economic statistics
Keywords	Principal Investigator マルコフ連鎖モンテカルロ法 / 潜在変数 / 確率的ボラティリティ / 高頻度データ / 確率的ボラティリティ変動モデル / ベイズ統計学 / 生存解析 / ベイジアン・アプローチ / ボラティリティ / 実現ボラティリティ … More / 変量効果 / Markov chain Monte Carlo / ベイズ推定 / ポートフォリオ最適化 / Realized Volatility / 統計的学習 / 非線形計量経済モデル / 統計的リスク / 統計的リスク分析 / マルコフ連鎖モンテカルロ法統 / 高次元データ / リスク管理 / 因子モデル / ランダム回答法 / 統計的リスク管理 / Ultra high frequency data / Realized Volatjlity / Endogenous switching model / Sample selection model / Latent variable / Stochastic volatility / Bayesian Statistics / カウントデータ / ボラティリティ変動モデル / マルコフ切替モデル / 確率的フロンティアモデル / サンプル・セレクションモデル / 内生的スイッチングモデル / サンプルセレクションモデル / Random effect / Bayesian approach / Dynamic Model / Stochastic volatility model / latent variable / 非線形モデル / ダイナミックモデル / 確率的ボラティリティモデル / 長期記憶性 / マルコフスイッチング / 一般化双曲非対称t分布 / 極値 / 分位点回帰 / DSGEモデル / 計量経済学 / ペイズ統計学 / 信用リスク / Stochastic Volatility / 金融リスク / ベイズ分析 / モンテカルロ法 / マルコフ連鎖 / ニュースインパクト曲線 / 近似ベイズ計算 / 水道需要関数 / 計量ファイナンス / 分位点回帰モデル / ランダム効果 / 検出力 / ランダムエフェクト / 一様最強力不偏検定 / 持続時間 … More Except Principal Investigator マルコフ連鎖モンテカルロ法 / GARCH / ボラティリティ / ベイズ推定 / Realized Volatility / 高頻度データ / ディリクレ分布 / 多項分布 / 母集団一意 / 超母集団モデル / 金融・財政政策 / マクロ経済 / Multi-move sampler / マルコフ連鎖モンテカルロ / Asymptotic Expansions / Small Sample Properties / Empirical Likelihood Method / Generalized Method of Moments / 経験尤度法 / Dirichlet distribution / 官庁統計 / 非同時取引 / 資産収益率 / Realized Covariance / ARFIMA / オプション / ミクロ計量経済分析 / 金融 / 気候変動 / 新型コロナウイルス / テキストデータ / 金融市場 / 自然災害 / 不確実性 / 早期警戒指標 / 計量経済学 / マクロ経済学 / 資産価格の高頻度データ / DSGE / VAR / 財政政策 / 金融政策 / 経済予測 / マクロ計量分析 / 国際情報交流 / 家計調査の改善と応用 / 標本調査票 / 人口予測 / 統計の秘匿 / 地域統計 / SNA / 匿名化 / パネル・データ / 小地域統計 / パネルデータ / 季節調整 / 人口統計 / データの匿名化 / 標本調査 / 政府統計 / 経済統計 / 再帰的現象 / 希な現象 / 統計的リスク管理 / 社会・経済リスク / リスク尺度 / 高頻度金融データの統計学 / 保険の統計学 / 稀な現象と再帰的現象 / 統計学 / 確率過程 / 再起的事象 / 希な事象 / 保険リスク / 金融リスク / 経済リスク / Limited to subregion / Confidentiality of individual information / Time-series cross section / Rotation Sampling / Accuracy Evaluation of Survey / Official Statistics / 調査の制度評価 / 小地域限定 / 個別情報の秘匿 / 時系列断層 / ローテーションサンプリング / 調査の精度評価 / Trading Volume / Option / Bayesian Estimation / Markov Chain Monte Carlo / Stochastic Volatility Model / Volatility / 取引高 / 確率的ボラティリティ変動モデル / Asymptotic Theory / Limited Information Maximum Likelihood Method / Micro-econometrics / 制限情報最尤法 / 小標本・大標本理論 / 制限情報尤法 / 一般化モーメント法 / セミ・パラメトリック法 / state space model / panel data analysis / model selection / Markov chain Monte Carlo Method / hierarchical model / Bayes estimation / spatio-temporal model / latent variable model / 隠れマルコフモデル / 多変量GARCHモデル / ダイナック・ファクター・モデル / マーケッティング・モデル / 状態空間モデル / パネルデータ分析 / モデル選択 / 階層モデル / 時空間モデル / 潜在変数モデル / local suppression / multinomial distribution / population unique / superpopulation model / デイリクレ分布 / 局所秘匿 / Semiparametric Econometrics / 生存時間解析 / 質的変量分析 / ノンパラメトリック分析 / セミパラメトリック分析 / 計量ファイナンス / 計量経済分析 / 漸新展開 / 計量経済モデル / ノンパラメトリック法 / 漸近展開 / 小標本分布 / GMM法 / セミパラメトリック法 / Multinomial distribution / Population unique / Superpopulation model / 統計数学 / 経済統計学 / ベイズ統計 / 高次元データ / ベイズ統計学 / 秘匿方法 / 表形式データ / 多重指標 / 統計法 / 分割表 / 秘匿措置 / 多重寸法指標 / 寸法指標 / リスク評価 / 個票データ / 長期記徳性 / ARFINA / Realized Vblatility / 構造変化 / マイクロストラクチャ・ノイズ / 非同期取引 / 長期記憶性 / パネル計量経済モデル / 公益産業 / 開発経済 / ミクロ金融市場 / 産業組織 / ノンパラメトリック実証分析 / プログラム政策評価 / ミクロ計量経済モデル / (5) パネル・データ分析 / (4) セミ・パラメトリック法 / (3) 政策プログラム評価問題 / (2) ミクロ・データ解析 / (1) ミクロ計量経済学 / Bootstrop / Microdata / Pisclosura Control Less

New developments in nonlinear econometric models using statistical learning and their applications to risk evaluationsPrincipal Investigator
- Principal Investigator
  
  大森裕浩
- Project Period (FY)
  2024 – 2026
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Review Section
  
  Medium-sized Section 7:Economics, business administration, and related fields
- Research Institution
  The University of Tokyo
The construction of new uncertainty indicators and theoretical and econometric analysis of their impact on financial markets and the macroeconomy
- Principal Investigator
  
  渡部敏明
- Project Period (FY)
  2023 – 2027
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Review Section
  
  Medium-sized Section 7:Economics, business administration, and related fields
- Research Institution
  Hitotsubashi University
Econometric analysis of risk of asset price fluctuations and business cycles using big and high-frequency data
- Principal Investigator
  
  WATANABE Toshiaki
- Project Period (FY)
  2020 – 2022
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Review Section
  
  Medium-sized Section 7:Economics, business administration, and related fields
- Research Institution
  Hitotsubashi University
New developments in high dimensional data modeling and statistical risk analysisPrincipal Investigator
- Principal Investigator
  
  Omori Yasuhiro
- Project Period (FY)
  2019 – 2023
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Review Section
  
  Medium-sized Section 7:Economics, business administration, and related fields
- Research Institution
  The University of Tokyo
Building New Macroeconometric Models with Applications to Economic Forecasting Using Big Data
- Principal Investigator
  
  WATANABE Toshiaki
- Project Period (FY)
  2017 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic policy
- Research Institution
  Hitotsubashi University
Proposals for economic and official statistics in the perspective of theoretical statistics and applications
- Principal Investigator
  
  Yamamoto Taku
- Project Period (FY)
  2015 – 2018
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University
  The Institute of Statistical Research
Bayesian modeling of multivariate economic and financial data and Probabilistic evaluation of policy and behaviorPrincipal Investigator
- Principal Investigator
  
  Omori Yasuhiro
- Project Period (FY)
  2014 – 2018
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  The University of Tokyo
Bayesian econometric analysis of high-dimensional data
- Principal Investigator
  
  KOZUMI Hideo
- Project Period (FY)
  2013 – 2017
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Kwansei Gakuin University
  Kobe University
New Developments in Statistics of Economic Risk and Financial Risk
- Principal Investigator
  
  naoto kunitomo
- Project Period (FY)
  2013 – 2016
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Meiji University
  The University of Tokyo
Bayesian econometric analysis of financial risk and economic behaviorPrincipal Investigator
- Principal Investigator
  
  OMORI YASUHIRO
- Project Period (FY)
  2009 – 2013
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  The University of Tokyo
Disclosure risk assessment for microdata sets and its application to the official statistics
- Principal Investigator
  
  SAI Shido
- Project Period (FY)
  2007 – 2009
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Statistical science
- Research Institution
  Okayama Shoka University
New Developments in Microeconometrics : Theories and Applications
- Principal Investigator
  
  KUNITOMO Naoto
- Project Period (FY)
  2006 – 2008
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  The University of Tokyo
Econometric Analysis of Securities Markets in Japan Using High-frequency Data
- Principal Investigator
  
  WATANABE Toshiaki
- Project Period (FY)
  2006 – 2008
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Hitotsubashi University
高頻度データを用いた日本の証券市場の計量分析
- Principal Investigator
  
  渡部敏明
- Project Period (FY)
  2006 – 2008
- Research Institution
  Hitotsubashi University
Bayesian econometric analysis of semiparametirc modelPrincipal Investigator
- Principal Investigator
  
  OMORI Yasuhiro
- Project Period (FY)
  2006 – 2007
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Economic statistics
- Research Institution
  The University of Tokyo
Research of theoretical problems for collecting, disclosing, and utilizing official statistics
- Principal Investigator
  
  INABA Yoshiyuki, 加納悟
- Project Period (FY)
  2004 – 2007
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University
Statistical Analysis of Structure using Latent Variable Model
- Principal Investigator
  
  WAGO Hajime
- Project Period (FY)
  2003 – 2006
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Statistical science
- Research Institution
  Nagoya University
Statistical inference for nonlinear dynamic model by Markov chain Monte Carlo methodPrincipal Investigator
- Principal Investigator
  
  OMORI Yasuhiro
- Project Period (FY)
  2003 – 2004
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Statistical science
- Research Institution
  The University of Tokyo
Theory and Applications of Micro-econometrics
- Principal Investigator
  
  KUNITOMO Naoto
- Project Period (FY)
  2003 – 2004
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  The University of Tokyo
Econometric Analysis of Stock Markets in Japan using Models of Changing Volatility
- Principal Investigator
  
  WATANABE Toshiaki
- Project Period (FY)
  2003 – 2004
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Tokyo Metropolitan University
Studies on disclosure control of microdata and statistical analysis of disclosed data
- Principal Investigator
  
  TAKEMURA Akimichi
- Project Period (FY)
  2002 – 2005
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Statistical science
- Research Institution
  The University of Tokyo
Semiparametric Econometrics
- Principal Investigator
  
  KUNITOMO Naoto
- Project Period (FY)
  2001 – 2002
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  University of Tokyo
離散持続時間の経済分析Principal Investigator
- Principal Investigator
  
  大森裕浩
- Project Period (FY)
  2000 – 2001
- Research Category
  
  Grant-in-Aid for Encouragement of Young Scientists (A)
- Research Field
  
  Economic statistics
- Research Institution
  Tokyo Metropolitan University
Local disclosure control techniques of statistical microdata sets
- Principal Investigator
  
  TAKEMURA Akimichi
- Project Period (FY)
  1999 – 2001
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Statistical science
- Research Institution
  The University of Tokyo
統計データの個票開示における開示制限の決定理論的評価
- Principal Investigator
  
  竹村彰通
- Project Period (FY)
  1997
- Research Category
  
  Grant-in-Aid for Scientific Research on Priority Areas
- Research Institution
  The University of Tokyo
多次元生存時間・持続時間解析におけるランダム効果の影響Principal Investigator
- Principal Investigator
  
  大森裕浩
- Project Period (FY)
  1997 – 1998
- Research Category
  
  Grant-in-Aid for Encouragement of Young Scientists (A)
- Research Field
  
  Economic statistics
- Research Institution
  Tokyo Metropolitan University
統計データの個票開示における開示制限の決定理論的評価
- Principal Investigator
  
  TAKEMURA Akimichi
- Project Period (FY)
  1996
- Research Category
  
  Grant-in-Aid for Scientific Research on Priority Areas
- Research Institution
  The University of Tokyo
ランダム効果とマルコフ連鎖のモンテカルロ法Principal Investigator
- Principal Investigator
  
  大森裕浩
- Project Period (FY)
  1996
- Research Category
  
  Grant-in-Aid for Encouragement of Young Scientists (A)
- Research Field
  
  Economic statistics
- Research Institution
  Tokyo Metropolitan University
生存時間・持続時間の統計的解析とその経済分析への応用Principal Investigator
- Principal Investigator
  
  大森裕浩
- Project Period (FY)
  1994
- Research Category
  
  Grant-in-Aid for Encouragement of Young Scientists (A)
- Research Field
  
  Economic statistics
- Research Institution
  Chiba University

[Book] Stochastic Volatility and Realized Stochastic Volatility Models2023
- Author(s)
  Makoto Takahashi, Yasuhiro Omori and Toshiaki Watanabe
- Total Pages
  113
- Publisher
  Springer
- ISBN
  9789819909346
- Data Source
  KAKENHI-PROJECT-19H00588
[Book] Stochastic Volatility and Realized Stochastic Volatility Models2023
- Author(s)
  Makoto Takahashi、Yasuhiro Omori、 Toshiaki Watanabe
- Total Pages
  113
- Publisher
  Springer
- ISBN
  9819909341
- Data Source
  KAKENHI-PROJECT-23H00048
[Book] 『経済リスクの統計学の新展開：稀な事象と再起的事象2016』2017
- Author(s)
  国友直人・大森裕浩共編
- Total Pages
  236
- Publisher
  東京大学経済学研究科日本経済国際共同研究センター
- Data Source
  KAKENHI-PROJECT-25245033
[Book] コア・テキスト計量経済学2017
- Author(s)
  大森裕浩
- Total Pages
  362
- Publisher
  新世社 : サイエンス社
- ISBN
  4883842649
- Data Source
  KAKENHI-PROJECT-25245035
[Book] コア・テキスト計量経済学2017
- Author(s)
  大森裕浩
- Total Pages
  362
- Publisher
  新世社
- Data Source
  KAKENHI-PROJECT-15H01943
[Book] コア・テキスト計量経済学2017
- Author(s)
  大森裕浩
- Total Pages
  362
- Publisher
  新世社 : サイエンス社
- ISBN
  4883842649
- Data Source
  KAKENHI-PROJECT-26245028
[Book] 「マルコフ連鎖モンテカルロ法」竹村編『数理科学事典』第2版2009
- Author(s)
  大森裕浩
- Publisher
  丸善(印刷中)
- Data Source
  KAKENHI-PROJECT-18203901
[Book] 数理科学事典第2版(5部門6章2節モンテカルロ法, 5部門6章2節マルコフ連鎖モンテカルロ法の項)2009
- Author(s)
  大森裕浩(発刊予定)
- Publisher
  丸善
- Data Source
  KAKENHI-PROJECT-19300098
[Book] 「モンテカルロ法」竹村編『数理科学事典』第2版2009
- Author(s)
  大森裕浩
- Publisher
  丸善(印刷中)
- Data Source
  KAKENHI-PROJECT-18203901
[Book] 計算統計学の方法一ブートストラップ、EMアルゴリズム、MCMC2008
- Author(s)
  小西貞則, 越智義道, 大森裕浩
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-19300098
[Book] 計算統計学の方法-ブートストラップ、EMアルゴリズム、MCMC2008
- Author(s)
  小西貞則・越智義道・大森裕浩
- Total Pages
  223
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-18203013
[Book] 計算統計学の方法-ブートストラップ、EMアルゴリズム、MCMC2008
- Author(s)
  小西貞則・越智義道・大森裕浩
- Total Pages
  240
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-18330039
[Book] MCMCとその確率的ボラティリティ変動モデルへの応用(第9章), 21世紀の統計科学I社会・経済と統計科学2008
- Author(s)
  大森裕浩, 渡部敏明
- Publisher
  東京大学出版会
- Data Source
  KAKENHI-PROJECT-19300098
[Book] 計算統計学の方法-ブートストラップ、EMアルゴリズム、MCMC2008
- Author(s)
  小西貞則・越智義道・大森裕浩
- Total Pages
  240
- Publisher
  朝倉書店
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Book] 計算統計学の方法-ブートストラップ、EMアルゴリズム、MCMC2008
- Author(s)
  小西貞則,越智義道,大森裕浩
- Total Pages
  223
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-18203901
[Book] 計算統計学の方法-ブートストラップ、EMアルゴリズム、MCMC2008
- Author(s)
  小西貞則, 越智義道, 大森裕浩(3月刊行予定)
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-18203013
[Book] 計算統計学の方法-ブートストラップ, EMアルゴリズム, MCMC2008
- Author(s)
  小西貞則, 越智義道, 大森裕浩
- Publisher
  朝倉書店3月発行予定
- Data Source
  KAKENHI-PROJECT-19300098
[Book] 計算統計学の方法ーブートストラップ、EM アルゴリズム、MCMC2008
- Author(s)
  小西貞則・越智義道・大森裕浩
- Total Pages
  223
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-18203013
[Book] 計量経済学ハンドブック2007
- Author(s)
  大森裕浩
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-19300098
[Book] 数学辞典第4版2007
- Author(s)
  大森裕浩
- Publisher
  岩波書店
- Data Source
  KAKENHI-PROJECT-19300098
[Book] 計算統計II--マルコフ連鎖モンテカルロ法とその周辺--2005
- Author(s)
  伊庭幸人, 種村正美, 大森裕浩, 和合肇, 佐藤整尚, 高橋明彦
- Total Pages
  358
- Publisher
  岩波書店
- Data Source
  KAKENHI-PROJECT-16203014
[Book] マルコフ連鎖モンテカルロ法を用いた応用計量分析2005
- Author(s)
  和合肇編(大森:第1, 2, 5章、渡部:第9章、大鋸:第11章)
- Publisher
  東洋経済新報社(未定)(近刊)
- Data Source
  KAKENHI-PROJECT-15530221
[Book] マルコフ連鎖モンテカルロ法を用いた応用計量分析2005
- Author(s)
  和合肇編(1, 2, 5章:大森, 9章:渡部, 11章:大鋸)
- Publisher
  東洋経済新報社(仮題)
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2023
- Author(s)
  Yamauchi Yuta、Omori Yasuhiro
- Journal Title
  
  Econometric Reviews
  
  Volume: 42 Issue: 6 Pages: 513-539
- DOI
  10.1080/07474938.2023.2209007
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22K13376, KAKENHI-PROJECT-19H00588, KAKENHI-PROJECT-23H00048
[Journal Article] A Multivariate Randomized Response Model for Sensitive Binary Data2022
- Author(s)
  Chu Amanda M.Y.、Omori Yasuhiro、So Hing-yu、So Mike K.P.
- Journal Title
  
  Econometrics and Statistics
  
  Volume: ー Pages: 16-35
- DOI
  10.1016/j.ecosta.2022.01.003
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073, KAKENHI-PROJECT-19H00588, KAKENHI-PROJECT-23H00048
[Journal Article] Particle rolling MCMC with double-block sampling2022
- Author(s)
  Awaya Naoki、Omori Yasuhiro
- Journal Title
  
  Japanese Journal of Statistics and Data Science
  
  Volume: ー Issue: 1 Pages: 305-335
- DOI
  10.1007/s42081-022-00170-2
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20H00073, KAKENHI-PROJECT-19H00588, KAKENHI-PROJECT-23H00048
[Journal Article] Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility2021
- Author(s)
  Takahashi Makoto、Watanabe Toshiaki、Omori Yasuhiro
- Journal Title
  
  Econometrics and Statistics
  
  Volume: ー Pages: 34-56
- DOI
  10.1016/j.ecosta.2021.08.002
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20H00073, KAKENHI-PROJECT-19H00588
[Journal Article] Realized stochastic volatilityモデル－拡張と日本の株価指数への応用－2020
- Author(s)
  高橋慎、渡部敏明、大森裕浩
- Journal Title
  
  統計数理
  
  Volume: 68 Pages: 65-85
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-20H00073
[Journal Article] Realized Stochastic Volatilityモデルー拡張と日本の株価指数への応用ー2020
- Author(s)
  高橋慎、渡部敏明、大森裕浩
- Journal Title
  
  統計数理
  
  Volume: 68 Pages: 65-85
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19H00588
[Journal Article] 多変量ボラティリティモデルのベイズ推定2019
- Author(s)
  大森裕浩
- Journal Title
  
  日本統計学会誌
  
  Volume: 48(2) Pages: 177-198
- NAID
  130007724449
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19H00588
[Journal Article] 多変量ボラティリティモデルのベイズ推定2019
- Author(s)
  大森裕浩
- Journal Title
  
  『日本統計学会誌』シリーズJ
  
  Volume: 48(2) Pages: 177-198
- NAID
  130007724449
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26245028
[Journal Article] Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations2019
- Author(s)
  Yuta Yamauchi and Yasuhiro Omori
- Journal Title
  
  Journal of Business and Economic Statistics
  
  Volume: 印刷中 Issue: 4 Pages: 839-855
- DOI
  10.1080/07350015.2019.1602048
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17J04715, KAKENHI-PROJECT-19H00588
[Journal Article] 多変量ボラティリティモデルのベイズ推定2019
- Author(s)
  大森裕浩
- Journal Title
  
  『日本統計学会誌』シリーズJ
  
  Volume: 48(2) Pages: 177-198
- NAID
  130007724449
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17H00985
[Journal Article] Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity2019
- Author(s)
  Kurose Yuta、Omori Yasuhiro
- Journal Title
  
  Econometrics and Statistics
  
  Volume: 印刷中 Pages: 46-68
- DOI
  10.1016/j.ecosta.2018.03.003
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15H01943, KAKENHI-PROJECT-17H00985, KAKENHI-PROJECT-26245028, KAKENHI-PROJECT-19H00588, KAKENHI-PROJECT-20H00073
[Journal Article] 多変量ボラティリティモデルのベイズ推定2019
- Author(s)
  大森裕浩
- Journal Title
  
  日本統計学会誌
  
  Volume: 48 Pages: 177-198
- NAID
  130007724449
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15H01943
[Journal Article] Cholesky Realized Stochastic Volatility Model2017
- Author(s)
  Shirota Shinichiro、Omori Yasuhiro、F. Lopes Hedibert.、Piao Haixiang
- Journal Title
  
  Econometrics and Statistics
  
  Volume: 3 Pages: 34-59
- DOI
  10.1016/j.ecosta.2016.08.003
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H01943, KAKENHI-PROJECT-17H00985, KAKENHI-PROJECT-25245035, KAKENHI-PROJECT-26245028
[Journal Article] Portfolio optimization using dynamic factor and stochastic volatility: Evidence on fat-tailed error and leverage2017
- Author(s)
  Tsunehiro Ishihara and Yasuhiro Omori
- Journal Title
  
  Japanese Economic Review
  
  Volume: 68 Issue: 1 Pages: 63-94
- DOI
  10.1111/jere.12114
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245035, KAKENHI-PROJECT-26245028
[Journal Article] Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value distributions with latent stochastic processes2017
- Author(s)
  Nakajima Jouchi、Kunihama Tsuyoshi、Omori Yasuhiro
- Journal Title
  
  Journal of Applied Statistics
  
  Volume: 44 Pages: 1248-1268
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15H01943
[Journal Article] Bayesian modeling of dynamic extreme values: Extension of　generalized extreme value distributions with latent stochastic　processes2017
- Author(s)
  Jouchi Nakajima, Tsuyoshi Kunihama and Yasuhiro Omori
- Journal Title
  
  Journal of Applied Statistics
  
  Volume: 印刷中 Issue: 7 Pages: 1248-1268
- DOI
  10.1080/02664763.2016.1201796
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26245028, KAKENHI-PROJECT-17H00985, KAKENHI-PROJECT-25245035
[Journal Article] An econometric analysis of insurance markets with separate identification for moral hazard and selection2017
- Author(s)
  Shinya Sugawara and Yasuhiro Omori
- Journal Title
  
  Computational Economics
  
  Volume: 印刷中 Issue: 3 Pages: 473-502
- DOI
  10.1007/s10614-016-9594-z
- Peer Reviewed / Acknowledgement Compliant / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028, KAKENHI-PROJECT-15K17070, KAKENHI-PROJECT-15H01943, KAKENHI-PROJECT-25245035
[Journal Article] Discrete/Continuous choice model on the nonconvex budget set2016
- Author(s)
  Koji Miyawaki, Yasuhiro Omori and Akira Hibiki
- Journal Title
  
  Econometric Reviews
  
  Volume: 印刷中 Issue: 2 Pages: 89-113
- DOI
  10.1080/07474938.2015.1032166
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25245035, KAKENHI-PROJECT-26245028, KAKENHI-PROJECT-15H01943
[Journal Article] Dynamic Equicorrelation Stochastic Volatility2016
- Author(s)
  Yuta Kurose and Yasuhiro Omori
- Journal Title
  
  Computational Statistics and Data Analysis
  
  Volume: 印刷中 Pages: 795-813
- DOI
  10.1016/j.csda.2015.01.013
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26245028, KAKENHI-PROJECT-25245035
[Journal Article] "Matrix exponential stochastic volatility with cross leverage,"2016
- Author(s)
  Tsunehiro Ishihara, Yasuhiro Omori and Manabu Asai
- Journal Title
  
  Computational Statistics and Data Analysis
  
  Volume: 2
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-25245033
[Journal Article] Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution2016
- Author(s)
  Makoto Takahashi, Toshiaki Watanabe and Yasuhiro Omori
- Journal Title
  
  International Journal of Forecasting
  
  Volume: 32 Issue: 2 Pages: 437-457
- DOI
  10.1016/j.ijforecast.2015.07.005
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25245034, KAKENHI-PROJECT-25245035, KAKENHI-PROJECT-25245037, KAKENHI-PROJECT-26245028
[Journal Article] "Dynamic equicorrelation stochastic volatility,"2016
- Author(s)
  Yuta Kurose and Yasuhiro Omori
- Journal Title
  
  Computational Statistics and Data Analysis
  
  Volume: 3
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-25245033
[Journal Article] "Bayesian estimation of entry games with multiple players and multiple equilibria,"2016
- Author(s)
  Yuko Onishi and Yasuhiro Omori
- Journal Title
  
  Japanese Economic Review
  
  Volume: 4 Issue: 4 Pages: 418-440
- DOI
  10.1111/jere.12108
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-25245033, KAKENHI-PROJECT-25245035, KAKENHI-PROJECT-26245028
[Journal Article] "Volatility and quantile forecasts by realized stochastic volatility　models with generalized hyperbolic distribution, "2016
- Author(s)
  Makoto Takahashi, Toshiaki Watanabe and Yasuhiro Omori
- Journal Title
  
  International Journal　of Forecasting
  
  Volume: 1
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-25245033
[Journal Article] Stochastic volatility and realized stochastic volatility models2015
- Author(s)
  Omori, Y. and Watanabe, T.
- Journal Title
  
  Current Trends in Bayesian Methodology with Applications (eds S. K. Upadhyay, U. Singh, D. K. Deyand A. Loganathan), Chapman & Hall/CRC Press
  
  Volume: 印刷中
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245035
[Journal Article] Discrete/Continuous choice model on the nonconvex budget set2015
- Author(s)
  Miyawaki, K., Omori, Y., and Hibiki, A.
- Journal Title
  
  Econometric Reviews
  
  Volume: 印刷中
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245035
[Journal Article] Matrix exponential stochastic volatility with cross leverage2015
- Author(s)
  Tsunehiro Ishihara, Yasuhiro Omori and Manabu Asai
- Journal Title
  
  Computational Statistics & Data Analysis
  
  Volume: 印刷中 Pages: 331-350
- DOI
  10.1016/j.csda.2014.10.012
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-24243031, KAKENHI-PROJECT-26780134, KAKENHI-PROJECT-25245035, KAKENHI-PROJECT-26245028
[Journal Article] Dynamic equicorrelation stochastic volatility2015
- Author(s)
  Kurose, Y. and Omori, Y.
- Journal Title
  
  Computational Statistics and Data Analysis
  
  Volume: 印刷中
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245035
[Journal Article] Stochastic volatility and realized stochastic volatility models2015
- Author(s)
  Yasuhiro Omori and Toshiaki Watanabe
- Journal Title
  
  Current Trends in Bayesian Methodology with Applications (eds S. K. Upadhyay, U. Singh, D. K. Deyand A. Loganathan), Chapman & Hall/CRC Press
  
  Volume: ― Pages: 435-456
- DOI
  10.1201/b18502-22
- ISBN
  9780429172373
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245035, KAKENHI-PROJECT-26245028
[Journal Article] Exact estimation of demand functions under block rate pricing2014
- Author(s)
  Koji Miyawaki, Yasuhiro Omori and Akira Hibiki
- Journal Title
  
  Econometric Reviews
  
  Volume: 印刷中 Issue: 3 Pages: 311-343
- DOI
  10.1080/07474938.2013.806857
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018, KAKENHI-PROJECT-25380325, KAKENHI-PROJECT-25245035, KAKENHI-PROJECT-26245028
[Journal Article] Realized stochastic volatility with leverage and long memory2014
- Author(s)
  Shinichiro Shirota, Takayuki Hizu and Yasuhiro Omori
- Journal Title
  
  Computational Statistics and Data Analysis
  
  Volume: 印刷中 Pages: 618-641
- DOI
  10.1016/j.csda.2013.08.013
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018, KAKENHI-PROJECT-25245035, KAKENHI-PROJECT-26245028
[Journal Article] News　 impact curve for stochastic volatility models2013
- Author(s)
  Makoto Takahashi, Yasuhiro Omori and Toshiaki Watanabe
- Journal Title
  
  Economics Letters
  
  Volume: 120-1 Issue: 1 Pages: 130-134
- DOI
  10.1016/j.econlet.2013.03.001
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018, KAKENHI-PROJECT-22243021, KAKENHI-PROJECT-22243026, KAKENHI-PROJECT-25245035
[Journal Article] 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-2013
- Author(s)
  大森裕浩・渡部敏明
- Journal Title
  
  『日本統計学会誌』シリーズJ
  
  Volume: 42-2 Pages: 273-303
- NAID
  110009594892
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Efficient estimation and particle filter for max-stable processes2012
- Author(s)
  Tsuyoshi Kunihama, Yasuhiro Omori and Zhengjun Zhang
- Journal Title
  
  Journal of Time Series Analysis
  
  Volume: Vol.33-1 Issue: 1 Pages: 61-80
- DOI
  10.1111/j.1467-9892.2011.00740.x
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018, KAKENHI-PROJECT-22300097
[Journal Article] Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution2012
- Author(s)
  Jouchi Nakajima and Yasuhiro Omori
- Journal Title
  
  Computational Statistics and Data Analysis
  
  Volume: 56-11 Issue: 11 Pages: 3690-3704
- DOI
  10.1016/j.csda.2010.07.012
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018, KAKENHI-PROJECT-22300097
[Journal Article] Multivariate Stochastic Volatility Model2012
- Author(s)
  Yasuhiro Omori and Tsunehiro Ishihara
- Journal Title
  
  Handbook of Volatility Models and Their Applications (eds L. Bauwens, C. Hafner and S. Laurent), Wiley
  
  Volume: なし Pages: 175-195
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Generalized extreme value distribution with time-dependence using the AR and MA models in state space form2012
- Author(s)
  Jouchi Nakajima, Tsuyoshi Kunihama, Yasuhiro Omori and Sylvia Frühwirth-Schnatter
- Journal Title
  
  Computational Statistics and Data Analysis
  
  Volume: 56-11 Issue: 11 Pages: 3241-3259
- DOI
  10.1016/j.csda.2011.04.017
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018, KAKENHI-PROJECT-22300097
[Journal Article] Efficient estimation and particle filter for max-stable processes2012
- Author(s)
  Tsuyoshi Kunihama, Yasuhiro Omori, Zhengjun Zhang
- Journal Title
  
  Journal of Time Series Analysis
  
  Volume: 33-1 Pages: 61-80
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors2012
- Author(s)
  Tsunehiro Ishihara and Yasuhiro Omori
- Journal Title
  
  Computational Statistics and Data Analysis
  
  Volume: 56-11 Issue: 11 Pages: 3674-3689
- DOI
  10.1016/j.csda.2010.07.015
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018, KAKENHI-PROJECT-22300097
[Journal Article] Duopoly in the Japanese airline market : Bayesian estimation for the entry game2012
- Author(s)
  Shinya Sugawara, Yasuhiro Omori
- Journal Title
  
  Japanese Economic Review
  
  Volume: VOL 63 Issue: 3 Pages: 310-332
- DOI
  10.1111/j.1468-5876.2011.00545.x
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-11J09741, KAKENHI-PROJECT-21243018, KAKENHI-PROJECT-22300097
[Journal Article] Bayesian analysis of time-varying quantiles using a smoothing spline2012
- Author(s)
  Yuta Kurose and Yasuhiro Omori
- Journal Title
  
  Journal of the Japan Statistical Society
  
  Volume: 42-1 Pages: 23-46
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] 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2011
- Author(s)
  中島上智・大森裕浩
- Journal Title
  
  日本統計学会誌
  
  Volume: 40-2 Pages: 61-88
- NAID
  110008513464
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Panel data analysis of Japanese residential water demand using a discrete/continuous choice approach2011
- Author(s)
  Koji Miyawaki, Yasuhiro Omori and Akira Hibiki
- Journal Title
  
  Japanese Economic Review
  
  Volume: Vol.62 Pages: 365-386
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] 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2011
- Author(s)
  石原庸博・大森裕浩
- Journal Title
  
  日本統計学会誌
  
  Volume: 41-1 Pages: 125-153
- NAID
  110008790499
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Panel data analysis of Japanese residential water demand using a discrete/continuous choice approach2011
- Author(s)
  Koji Miyawaki, Yasuhiro Omori, Akira Hibiki
- Journal Title
  
  Japanese Economic Review
  
  Volume: 62 Pages: 365-386
- DOI
  10.1111/j.1468-5876.2010.00532.x
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018, KAKENHI-PROJECT-22300097, KAKENHI-PROJECT-22330069
[Journal Article] Bayesian estimation of demand functions under block rate pricing2010
- Author(s)
  Koji Miyawaki, Yasuhiro Omori, Akira Hibiki
- Journal Title
  
  Discussion paper series, Faculty of Economics, University of Tokyo CIRJE-F-712
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Panel data analysis of Japanese residential water demand using a discrete/continuous choice approach2010
- Author(s)
  Koji Miyawaki, Yasuhiro Omori, Akira Hibiki
- Journal Title
  
  Discussion paper series, Faculty of Economics, University of Tokyo CIRJE-F-717
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Multivariate stochastic volatility model with cross leverage2010
- Author(s)
  Tsunehiro Ishihara, Yasuhiro Omori
- Journal Title
  
  Proceedings in Computational Statistics 2010 (COMPSTAT'2010)
  
  Pages: 315-323
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Tobit model with covariate dependent thresholds2010
- Author(s)
  Yasuhiro Omori, Koji Miyawaki
- Journal Title
  
  Computational Statistics and Data Analysis
  
  Volume: 54-11 Pages: 2736-2752
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Tobit model with covariate dependent thresholds2010
- Author(s)
  Yasuhiro Omori, Koji Miyawaki
- Journal Title
  
  Computational Statistics and Data Analysis (掲載確定)(印刷中)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article]2009
- Author(s)
  大森裕浩
- Journal Title
  
  現代数理科学事典第2版(モンテカルロ法, マルコフ連鎖モンテカルロ法の項)(丸善)
  
  Pages: 634-639
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] Estimating stochastic volatility models using daily returns and realized volatility simultaneously2009
- Author(s)
  Takahashi, M., Omori, Y., Watanabe, T.
- Journal Title
  
  Computational Statistics and Data Analysis Vol.53
  
  Pages: 2404-2426
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] Multivariate Stochastic Volatility2009
- Author(s)
  Chib, S., Omori, Y., Asai, M.
- Journal Title
  
  Handbook of Financial Time Series
  
  Pages: 365-402
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] Estimating stochastic volatility models using daily returns and realized volatility simultaneously2009
- Author(s)
  Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe
- Journal Title
  
  Computational Statistics and Data Analysis 53-6
  
  Pages: 2404-2426
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Estimating stochastic volatility models using daily returns and realized volatility simultaneously2009
- Author(s)
  M. Takahashi, Y. Omori andT. Watanabe
- Journal Title
  
  Computational Statistics and Data Analysis Vol.53No.6
  
  Pages: 2404-2426
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Estimating stochastic volatility models using daily returns and realized volatility simultaneously2009
- Author(s)
  Makoto Takahashi, Yasuhiro Omori and Toshiaki Watanabe
- Journal Title
  
  Computational Statistics and Data Analysis
  
  Volume: Vol.53-6 Pages: 2404-2426
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2009
- Author(s)
  Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe
- Journal Title
  
  Computational statistics and Data Analysis 53
  
  Pages: 2404-2426
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Efficient semiparametric Bayesian estimation of multivariate discrete proportional hazards model with random effects2009
- Author(s)
  Omori, Y., Johnson, R. A.
- Journal Title
  
  Communications in Statistics-Theory and Methods 38
  
  Pages: 29-41
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] マルコフ連鎖モンテカルロ法2009
- Author(s)
  大森裕浩
- Journal Title
  
  『第2版現代数理科学事典』(広中平祐編)
  
  Pages: 636-638
- NAID
  110000465821
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Multivariate Stochastic Volatility2009
- Author(s)
  Siddhartha Chib, Yasuhiro Omori, Manabu Asai
- Journal Title
  
  Handbook of Financial Time Series (eds T.G.Andersen, R.A.Davis, Jens-Peter Kreiss and T.Mikosch)
  
  Pages: 365-400
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Leverage, heavy-tails and correlated jumps in stochastic volatility models2009
- Author(s)
  Jouchi Nakajima, Yasuhiro Omori
- Journal Title
  
  Computational Statistics and Data Analysis 53-6
  
  Pages: 2335-2353
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Leverage, heavy-tails and correlated jumps in stochastic volatility models2009
- Author(s)
  Nakajima, J., Omori, Y.
- Journal Title
  
  Computational Statistics and Data Analysis 53
  
  Pages: 2335-2353
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] Leverage, Heavy-tails and Correlated Jumps in Stochastic Volatility Models2009
- Author(s)
  Jouchi Nakajima, Yasuhiro Omori
- Journal Title
  
  Computational Statistics and Data Analysis 53
  
  Pages: 2335-2353
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Tobit model With covariate dependent thresholds2009
- Author(s)
  Y. Omori and K. Miyawaki
- Journal Title
  
  Computational Statistics and Data Analysis (掲載決定)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Multivariate stochastic Volatility2009
- Author(s)
  Siddhartha Chib, Yasuhiro Omori, Manabu Asai
- Journal Title
  
  Handbook of Financial Time Series (eds T. G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Mikosch) (近刊)
  
  Pages: 365-400
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] モンテカルロ法2009
- Author(s)
  大森裕浩
- Journal Title
  
  『第2版現代数理科学事典』(広中平祐編)
  
  Pages: 634-635
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Efficient semiparametric Bayesian estimation of multivariate discrete proportional hazards model with random effects2009
- Author(s)
  Omori, Y., Johnson, R.A.
- Journal Title
  
  Communications in Statistics-Theory and Methods Vol.38
  
  Pages: 29-41
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] Tobit model with covariate dependent thresholds2009
- Author(s)
  Y. Omori and K. Miyawaki
- Journal Title
  
  Computational Statistics and Data Analysis (掲載決定)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Efficient Semiparametric Bayesian Estimation of Multivariate Discrete Proportional Hazards Model with Random Effects2009
- Author(s)
  Yasuhiro Omori, Richard A. Johnson
- Journal Title
  
  Communications in Statistics-Theory and Methods 38
  
  Pages: 29-41
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Leverage, heavy-tails and correlated jumps in stochastic volatility models2009
- Author(s)
  J. Nakajima and Y. Omori
- Journal Title
  
  J. Nakajima and Y. Omori Vol.53No.6
  
  Pages: 2335-2353
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Estimating stochastic volatility models using daily returns and realized volatility simultaneously2009
- Author(s)
  Takahashi, M., Omori, Y., Watanabe, T.
- Journal Title
  
  Computational Statistics and Data Analysis 53
  
  Pages: 2404-2426
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution2009
- Author(s)
  Jouchi Nakajima, Yasuhiro Omori
- Journal Title
  
  Discussion paper series, Faculty of Economics, University of Tokyo CIRJE-F-701
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2009
- Author(s)
  Makoto Takahashi, Yasuhiro Omori and Toshiaki Watanabe
- Journal Title
  
  Computational Statistics and Data Analysis Volume 53, Issue 6
  
  Pages: 2404-2426
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors2009
- Author(s)
  Tsunehiro Ishihara, Yasuhiro Omori
- Journal Title
  
  Discussion paper series, Faculty of Economics, University of Tokyo CIRJE-F-700
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Generalized extreme value distribution with time-dependence using the AR and MA models in state space form2009
- Author(s)
  Jouchi Nakajima, Tsuyoshi Kunihama, Yasuhiro Omori, Svlvia Fruhwirth-Schnatter
- Journal Title
  
  Discussion paper series, Faculty of Economics, University of Tokyo CIRJE-F-689
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Multivariate Stochastic Volatility2009
- Author(s)
  S. Chib, Y. Omori and M. Asai
- Journal Title
  
  書籍:Handbook of Financial Time Series (eds T. G. Andersen, R. A. Davis, Jens-Peter Kreiss and T. Mikosch) Springer-Verlag, New York (印刷中)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Efficient semiparametric Bayesian estimation of multivariate discrete proportional hazards model with random effects2009
- Author(s)
  Y. Omori and R. A. Johnson
- Journal Title
  
  Communications in Statisteics-Theory and Methods Vol.38No.1
  
  Pages: 29-41
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Tobit Model with Covariate Dependent Thresholds2009
- Author(s)
  Yasuhiro Omori, Koji Miyawaki
- Journal Title
  
  Computational statistics and Data Analysis (近刊)(in press)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Leverage, heavy-tails and correlated jumps in stochastic volatility models2009
- Author(s)
  Nakajima, J., Omori, Y.
- Journal Title
  
  Computational Statistics and Data Analysis Vol.53
  
  Pages: 2335-2353
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] 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-2008
- Author(s)
  石原庸博, 大森裕浩
- Journal Title
  
  現代ファイナンス 2 4
  
  Pages: 75-100
- NAID
  130007528300
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] Block sampler and posterior mode estimation for asymmetric stochastic volatility models2008
- Author(s)
  Omori, Y., Watanabe, T.
- Journal Title
  
  Computational Statistics and Data Analysis (採択済み)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] MCMC法とその確率的ボラティリティ変動モデルへの応用2008
- Author(s)
  大森裕浩, 波部敏明
- Journal Title
  
  『社会・経済と統計科学』(『21 世紀の統計科学I』)第9章 I
  
  Pages: 223-266
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Block sampler and posterior mode estimation for asymmetric stochastic volatilitymodels2008
- Author(s)
  Y. Omori and T. Watanabe
- Journal Title
  
  Computational Statistics and Data Analysis Vol.52No.6
  
  Pages: 2892-2910
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Block sampler and posterior mode estimation for asymmetric stochastic volatility models2008
- Author(s)
  Omori, Y., Watanabe, T.
- Journal Title
  
  Computational Statistics and Data Analysis Vol.52
  
  Pages: 2892-2910
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] Leverage, heavy-tails and correlated jumps in stochastic volatility models2008
- Author(s)
  Nakajima, J. and Y. Omori
- Journal Title
  
  Computational Statistics and Data Analysis (印刷中)
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Block sampler and posterior mode estimation for asymmetric stochastic volatility models2008
- Author(s)
  Yasuhiro, Omori
- Journal Title
  
  Computational Statistics and Data Analysis 52-6
  
  Pages: 2892-2910
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16203014
[Journal Article] MCMC法とその確率的ボラティリティ変動モデルへの応用2008
- Author(s)
  大森裕浩
- Journal Title
  
  『社会・経済と統計科学』(『21世紀の統計科学』)東京大学出版会印刷中
- Data Source
  KAKENHI-PROJECT-18303901
[Journal Article] Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models2008
- Author(s)
  Yasuhiro Omori, Toshiaki Watanabe
- Journal Title
  
  Computational statistics and Data Analysis 52-6
  
  Pages: 2892-2910
- NAID
  120000816334
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] 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-2008
- Author(s)
  石原庸博・大森裕浩
- Journal Title
  
  現代ファイナンス 24
  
  Pages: 75-100
- NAID
  130007528300
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] 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-2008
- Author(s)
  石原康博, 大森裕浩
- Journal Title
  
  現代ファイナンス 24
  
  Pages: 75-100
- NAID
  130007528300
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Block sampler and posterior mode estimation for asymmetric stochastic volatility models2008
- Author(s)
  Yasuhiro Omori
- Journal Title
  
  Computational Statistics and Data Analysis 52・6
  
  Pages: 2892-2910
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16203014
[Journal Article] Computational Statistics-bootstrap, EM algorithm and MCMC (in Japanese)2008
- Author(s)
  Konishi, S., Ochi, Y., Omori, Y.
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Block sampler and posterior mode estimation for asymmetric stochastic volatility models2008
- Author(s)
  Omori, Y. and T. Watanabe
- Journal Title
  
  Computational Statistics and Data Analysis 52-6
  
  Pages: 2892-2910
- NAID
  120000816334
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] MCMC法とその確率的ボラテイリテイ変動モデルへの応用2008
- Author(s)
  大森裕浩, 渡部敏明
- Journal Title
  
  『社会・経済と統計科学』(『21世紀の統計科学』)東京大学出版会(書籍) (掲載確定)
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Leverage, heavy-tails and correlated jumps in stochastic volatility models2008
- Author(s)
  Nakajima, J. and Y. Omori
- Journal Title
  
  Computational Statistics and Data Analysis
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Multivariate Stochastic Volatility2008
- Author(s)
  Chib, S., Omori, Y., Asai, M.
- Journal Title
  
  Handbook of Financial Time Series (印刷中)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] Block sampler and posterior mode estimation for asymmetricstochastic volatility models2008
- Author(s)
  Omori, Y. and Watanabe, T.(共著)
- Journal Title
  
  Computational Statistics and Data Analysis 52-6
  
  Pages: 2892-2910
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Block sampler and posterior mode estimation for asymmetric stochastic volatility models2008
- Author(s)
  Omori, Y.and T. Watanabe
- Journal Title
  
  Computational Statistics and Data Analysis 52-6
  
  Pages: 2892-2910
- NAID
  120000816334
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Leverage, heavy-tails and correlated jumps in stochastic volatility models2008
- Author(s)
  Nakajima, J., Y. Omori
- Journal Title
  
  Computational Statistics and Data Analysis (in press)
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models2008
- Author(s)
  Yasuhiro Omori
- Journal Title
  
  Computational Statistics & Data Analysis 52・6
  
  Pages: 2892-2910
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16203014
[Journal Article] Leverage,heavy-tails and correlated jumps in stochasticvolatility models2008
- Author(s)
  Nakajima, J. and Omori, Y
- Journal Title
  
  Computational Statistics and Data Analysis (掲載確定)
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] MCMCとその確率的ボラティリティ変動モデルへの応用2008
- Author(s)
  大森裕浩・渡部敏明
- Journal Title
  
  書籍「21世紀の統計科学I社会・経済と統計科学」国友直人・山本拓編東大出版会 1
  
  Pages: 223-266
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Block sampler and posterior mode estimation for asymmetric stochastic volatility models2008
- Author(s)
  Omori, Y., Watanabe, T.
- Journal Title
  
  Computational Statistics and Data Analysis 52
  
  Pages: 2892-2910
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models2008
- Author(s)
  Yasuhiro Omori
- Journal Title
  
  Computational Statistics & Data Analysis 52・6
  
  Pages: 2892-2910
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18303901
[Journal Article] Block sampler and posterior mode estimation for asymmetric stochastic volatility models2008
- Author(s)
  Omori, Y., T. watanabe
- Journal Title
  
  Computational Statistics and Data Analysis 52-6
  
  Pages: 2892-2910
- NAID
  120000816334
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] 多変量因子確率的ボラティリティ変動モデル2007
- Author(s)
  大森裕浩
- Journal Title
  
  経済研究一橋大学 58・4
  
  Pages: 335-351
- NAID
  120005252927
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16203014
[Journal Article] 多変量因子確率的ボラティリティ変動モデル2007
- Author(s)
  大森裕浩
- Journal Title
  
  経済研究 58巻
  
  Pages: 335-351
- NAID
  120005252927
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] Leverage,heavy-tails and correlated jumps in stochastic volatility models2007
- Author(s)
  Nakajima, J., Omori, Y.
- Journal Title
  
  CIRJE-F-514, Discussion paper series, Faculty of Economics, University of Tokyo 514
  
  Pages: 1-33
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] 非線形状態空間モデルのベイズ分析2007
- Author(s)
  大森裕浩
- Journal Title
  
  経済学論集 72・3
  
  Pages: 21-68
- NAID
  40015393539
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] 非線形状態空間モデルのベイズ分析2007
- Author(s)
  大森裕浩
- Journal Title
  
  経済学論集 72・3
  
  Pages: 21-68
- NAID
  40015393539
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Efficient Gibbs sampler for Bayesian analysis of a sample selection model2007
- Author(s)
  Omori, Y
- Journal Title
  
  Statistics and Probability Letters 77-42
  
  Pages: 1300-1311
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] マルコフ連鎖モンテカルロ法2007
- Author(s)
  大森裕浩
- Journal Title
  
  蓑谷・縄田・和合編『計量経済学ハンドブック』朝倉書店
  
  Pages: 699-723
- NAID
  110000465821
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Estimating stochastic volatility models using daily-returns and realized volatility simultaneously2007
- Author(s)
  Takahashi, M., Omori, Y., Watanabe, T.
- Journal Title
  
  CIRJE-F-515, Discussion paper series, Faculty of Economics, University of Tokyo 515
  
  Pages: 1-28
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] マルコフ連鎖モンテカルロ法2007
- Author(s)
  大森裕浩
- Journal Title
  
  蓑谷・縄田・和合編『計量経済学ハンドブック』朝倉書店
  
  Pages: 699-723
- NAID
  110000465821
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] マルコフ連鎖モンテカルロ法2007
- Author(s)
  大森裕浩
- Journal Title
  
  蓑谷千凰彦・縄田和満・和合肇編『計量経済学ハンドブック』朝倉書店
  
  Pages: 699-723
- NAID
  110000465821
- Data Source
  KAKENHI-PROJECT-18303901
[Journal Article] Efficient Gibbs sampler for Bayesian analysis of a sample selection model2007
- Author(s)
  Omori, Y.
- Journal Title
  
  Statistics and Probability Letters 掲載決定
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Efficient Gibbs sampler for Bayesian analysis of a sample selection model2007
- Author(s)
  Yasuhiro Omori
- Journal Title
  
  Statistics and Probability Letters 77・12
  
  Pages: 1300-1311
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16203014
[Journal Article] "Stochastic volatility model with leverage: fast likelihood inference"2007
- Author(s)
  Omori, Y., Chib, S., Shephard, N. and Nakajima, J.(共著)
- Journal Title
  
  Journal of Econometrics (掲載決定)
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Duality-based analysis of residential gas demand underdecreasing block rate pricing2007
- Author(s)
  Miyawaki, K. and Omori, Y.(共著)
- Journal Title
  
  Discussion paper series F-506
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Efficient Gibbs sampler for Bayesian analysis of a sample selection model2007
- Author(s)
  Yasuhiro Omori
- Journal Title
  
  Statistics and Probability Letters 77-12
  
  Pages: 1300-1311
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Duality-based analysis of residential gas demand under decreasing blockrate pricing2007
- Author(s)
  Miyawaki, K., Omori, Y.
- Journal Title
  
  CIRJE-F-506, Discussion paper series, Faculty of Economics, University of Tokyo 506
  
  Pages: 1-24
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] "Efficient Gibbs sampler for Bayesian analysis of a sample selection model"2007
- Author(s)
  Omori, Y.
- Journal Title
  
  Statistics and Probability Letters (掲載決定)
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Efficient Gibbs sampler for Bayesian analysis of a sample selection model2007
- Author(s)
  Yasuhiro Omori
- Journal Title
  
  Statistics and Probability Letters 77・12
  
  Pages: 1300-1311
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18303901
[Journal Article] 多変量因子確率的ボラティリティ変動モデル2007
- Author(s)
  大森裕浩
- Journal Title
  
  経済研究一橋大学経済研究所 58・4
  
  Pages: 335-351
- NAID
  120005252927
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18303901
[Journal Article] Efficient Gibbs sampler for Bayesian analysis of a sample selection model2007
- Author(s)
  Omori, Y
- Journal Title
  
  CIRJ E Discussion paper series, Faculty of Economics, University of Tokyo F-481 (forthcoming)
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Multivariate factor stochastic volatility model. (in Japanese)2007
- Author(s)
  Omori, Y.
- Journal Title
  
  The Economic Review (Keizai Kenkyu) 58-4
  
  Pages: 335-351
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] マルコフ連鎖モンテカルロ法2007
- Author(s)
  大森裕浩
- Journal Title
  
  計量経済学ハンドブック(箕谷・縄田・和合編)(朝倉書店)
  
  Pages: 706-731
- NAID
  110000465821
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Stochastic volatility model with leverage : fast likelihood inference2007
- Author(s)
  Omori, Y., Chib, S., Shephard, N., Nakajima, J.
- Journal Title
  
  Journal of Econometrics 140-2
  
  Pages: 425-449
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Stochastic volatility model with leverage:fast likelihood inference2007
- Author(s)
  Omori, Y., Chib, S., Shephard, N. and Nakajima, J.
- Journal Title
  
  Journal of Econometrics 140-2
  
  Pages: 425-449
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Stochastic volatility model with leverage : fast likelihood nference2007
- Author(s)
  Omori, Y., Chib, S., Shephard, N., Nakajima, J.
- Journal Title
  
  Journal of Econometrics 掲載決定
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] マルコフ連鎖モンテカルロ法2007
- Author(s)
  大森裕浩
- Journal Title
  
  日本数学会編『数学辞典』第4版岩波書店
  
  Pages: 1031-1032
- NAID
  110000465821
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Markov chain Monte Carlo method (in Japanese)2007
- Author(s)
  Omori, Y.
- Journal Title
  
  Handbook of Econometrics
  
  Pages: 699-723
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Efficient Gibbs sampler for Bayesian analysis of a sample selection model2007
- Author(s)
  Omori, Y.
- Journal Title
  
  Statistics and Probability Letters 77
  
  Pages: 1300-1311
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] Stochastic volatility model with leverage : fast likelihood inference2007
- Author(s)
  Omori, Y
- Journal Title
  
  Journal of Econometrics (forthcoming)
- Data Source
  KAKENHI-PROJECT-16203014
[Journal Article] Efficient Gibbs sampler for Bayesian analysis of a sample selection model2007
- Author(s)
  Omori, Y.
- Journal Title
  
  Statistics and Probability Letters Vol.77
  
  Pages: 1300-1311
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] 多変量因子確率的ボラティリティ変動モデル2007
- Author(s)
  大森裕浩
- Journal Title
  
  経済研究 58
  
  Pages: 335-351
- NAID
  120005252927
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] Markov chain Monte Carlo method (in Japanese)2007
- Author(s)
  Omori, Y.
- Journal Title
  
  Dictionary of Mathematics, 4th ed, Iwanami Shoten
  
  Pages: 1031-1032
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Block Sampler and posterior mode estimation for a nonlinear and non-Gaussian state-space model with correlated errors2007
- Author(s)
  Omori, Y., Watanabe, T.
- Journal Title
  
  CIRJE-F-508, Discussion paper series, Faculty of Economics, University of Tokyo 508
  
  Pages: 1-34
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] 多変量因子確率的ボラティリティ変動モデル2007
- Author(s)
  大森裕浩
- Journal Title
  
  一橋大学『経済研究』 58-4
  
  Pages: 335-351
- NAID
  120005252927
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] 多変量因子確率的ボラティリティ変動モデル2007
- Author(s)
  大森裕浩
- Journal Title
  
  一橋大学『経済研究』 58-4
  
  Pages: 335-351
- NAID
  120005252927
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Stochastic volatility model with leverage: fast likelihood inference2007
- Author(s)
  Omori, Y., Chib, S., Shephard, N. and Nakajima, J.
- Journal Title
  
  Journal of Econometrics 140-2
  
  Pages: 425-449
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Stochastic volatility model with leverage: fast and efficient likelihood inference2007
- Author(s)
  Omori, Y., et. al.
- Journal Title
  
  Journal of Econometrics 140
  
  Pages: 425-449
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] Efficient Gibbs sampler for Bayesian analysis of a sample selection model2007
- Author(s)
  Omori, Y
- Journal Title
  
  CIRJE-Discussion paper series Faculty of Economics. University of Tokyo F-481(forthcoming)
- Data Source
  KAKENHI-PROJECT-16203014
[Journal Article] Stochastic volatility model with leverage : fast likelihood inference2007
- Author(s)
  Omori, Y
- Journal Title
  
  Journal of Econometrics (forthcoming)
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] MCMC法とその確率的ボラティリティ変動モデルへの応用2007
- Author(s)
  大森裕浩
- Journal Title
  
  CIRJE Discussion Paper Series Faculty of Economics, University of Tokyo J-173
  
  Pages: 1-42
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Efficient Gibbs sampler for Bayesian analysis of a sample selection model2007
- Author(s)
  Omori, Y.
- Journal Title
  
  Statistics and Probability Letters 77-12
  
  Pages: 1300-1311
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Efficient Gibbs sampler for Bayesian analysis of a sample selection model2007
- Author(s)
  Omori, Y
- Journal Title
  
  Statistics and Probability Letters Vol.77No.12,1
  
  Pages: 1300-1311
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Stochastic volatility model with leverage: fast and efficient likelihood inference2007
- Author(s)
  Yasuhiro Omori
- Journal Title
  
  Journal of Econometrics 140・2
  
  Pages: 425-449
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18303901
[Journal Article] Efficient Gibbs sampler for Bayesian analysis of a sample selection model2007
- Author(s)
  Yasuhiro, Omori
- Journal Title
  
  Statistics and Probability Letters 77-12
  
  Pages: 1300-1311
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16203014
[Journal Article] マルコフ連鎖モンテカルロ法2007
- Author(s)
  大森裕浩
- Journal Title
  
  日本数学会編『数学辞典』第4版岩波書店
  
  Pages: 1031-1032
- NAID
  110000465821
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Stochastic volatility model with leverage:fast and efficientlikelihood inference2007
- Author(s)
  Omori, Y. Chib, S., Shephard, N. and Nakajima, J.(共著)
- Journal Title
  
  Journal of Econometrics 140-2
  
  Pages: 425-449
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Stochastic volatility model with leverage: fast and efficient likelihood inference2007
- Author(s)
  Omori, Y., et al.
- Journal Title
  
  Journal of Econometrics Vol.140
  
  Pages: 425-449
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] 多変量因子確率的ボラティリティ変動モデル2007
- Author(s)
  大森裕浩
- Journal Title
  
  一橋大学『経済研究』 88
  
  Pages: 335-351
- NAID
  120005252927
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] The influences of random effects on univariate and bivariate discrete proportional hazards models2006
- Author(s)
  Omori, Y., Johnson, R. A.
- Journal Title
  
  Communications in Statistics-Theory and Methods 35-2
  
  Pages: 1757-1764
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Bayesian analysis of nonlinear state space model (in Japanese)2006
- Author(s)
  Omori, Y.
- Journal Title
  
  The Journal of Economics, University of Tokyo 72-3
  
  Pages: 21-68
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] 非線形状態空間モデルのベイズ分析2006
- Author(s)
  大森裕浩
- Journal Title
  
  東京大学『経済学論集』 72-3
  
  Pages: 21-68
- NAID
  40015393539
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] マルコフ連鎖モンテカルロ法2006
- Author(s)
  大森裕浩
- Journal Title
  
  日本バイオインフォマテイクス学会編『バイオインフォマティクス事典』共立出版
  
  Pages: 65-67
- NAID
  110000465821
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] The influences of random effects on univariate and bivariate discrete proportional hazards models2006
- Author(s)
  Omori, Y. and Johnson, R. A.
- Journal Title
  
  Communications in Statistics-Theory and Methods 35
  
  Pages: 1757-1764
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] The influences of random effects on univariate and bivariate discrete proportional hazards models2006
- Author(s)
  Omori, Y. and Johnson,R.A
- Journal Title
  
  Communications in Statistics-Theory and Methods Vol.35
  
  Pages: 1757-1764
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Stochastic volatility model with leverage : fast likelihood inference2006
- Author(s)
  Omori, Y., Chib, S., Shephard, N., Nakajima, J.
- Journal Title
  
  Journal of Econometrics (forthcoming)
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15200022
[Journal Article] Markov chain Monte Carlo method (in Japanese)2006
- Author(s)
  Omori, Y.
- Journal Title
  
  dictionary of Bioinformatics, Kyoritsu Shuppan
  
  Pages: 65-67
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] The influences of random effects on univariate and Bivariate discrete proportional hazards models2006
- Author(s)
  Omori, Y., Chib, S., Shephard, N., Nakajima, J.
- Journal Title
  
  Journal of Econometrics (forthcoming)
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15200022
[Journal Article] The influences of random effects on univariate and bivariate discrete proportional hazards models2006
- Author(s)
  Omori, Y
- Journal Title
  
  Statistics-Theory and Methods. 35
  
  Pages: 1757-1764
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] The influences of random effects on univariate and bivariate discrete proportional hazards models"2006
- Author(s)
  Omori, Y, and Johnson, R.A.(共著)
- Journal Title
  
  Communications in Statistics-Theory and Methods 35
  
  Pages: 1757-1764
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] "Bayesian estimation of demand functions under block rate pricing"2006
- Author(s)
  Miyawaki, K., Omori, Y. and Hibiki, A.(共著)
- Journal Title
  
  CIRJE Discussion Paper F-424
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] The influences of random effects on univariate and bivariate discrete proportional hazards models2006
- Author(s)
  Omori, Y., Johnson, R.A.
- Journal Title
  
  Communications in Statistics-Theory and Methods 35
  
  Pages: 1757-1764
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] The influences of random effects on univariate and Bivariate discrete proportional hazards models2006
- Author(s)
  Omori, Y., Johnson, R.A.
- Journal Title
  
  Communications in Statistics-Theory and Methods 35
  
  Pages: 1757-1764
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15200022
[Journal Article] The influences of random effects on univariate and bivariate discrete proportional hazards models2006
- Author(s)
  Omori, Y
- Journal Title
  
  Communications in Statistics-Theory and Methods 35
  
  Pages: 1757-1764
- Data Source
  KAKENHI-PROJECT-16203014
[Journal Article] マルコフ連鎖モンテカルロ法とその応用2005
- Author(s)
  大森裕浩, 和合肇
- Journal Title
  
  ベイズ計量経済分析-マルコフ連鎖モンテカルロ法とその応用
  
  Pages: 39-99
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] 計量経済分析へのベイズ統計学の応用2005
- Author(s)
  和合肇, 大森裕浩
- Journal Title
  
  ベイズ計量経済分析東洋経済第1章
  
  Pages: 1-37
- Data Source
  KAKENHI-PROJECT-15200022
[Journal Article] 景気動向指数の継続時間分析2005
- Author(s)
  大森裕浩
- Journal Title
  
  ベイズ計量経済分析-マルコフ連鎖モンテカルロ法とその応用
  
  Pages: 151-174
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] Duration analysis of Diffusion Indexes of Business Conditions2005
- Author(s)
  Omori, Y.
- Journal Title
  
  Bayesian Econometrics (in Japanese) Chapter 5
  
  Pages: 151-174
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] マルコフ連鎖モンテカルロ法とその応用2005
- Author(s)
  大森裕浩, 和合肇
- Journal Title
  
  マルコフ連鎖モンテカルロ法を用いた応用計量分析
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] 景気動向指数の接続時間分析2005
- Author(s)
  大森裕浩
- Journal Title
  
  ベイズ計量済分析(和田肇(編))(東洋経済新報社)
  
  Pages: 151-174
- Data Source
  KAKENHI-PROJECT-16203014
[Journal Article] 景気動向指数の継続時間分析2005
- Author(s)
  大森裕浩
- Journal Title
  
  マルコフ連鎖モンテカルロ法を用いた応用計量分析
  
  Pages: 151-174
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] Markov chain Monte Carlo method and its applications2005
- Author(s)
  Omori, Y., Wago, H.
- Journal Title
  
  Bayesian Econometrics (in Japanese) Chapter 2
  
  Pages: 39-99
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] 計量経済分析へのベイズ統計学の応用2005
- Author(s)
  和合肇, 大森裕浩
- Journal Title
  
  マルコフ連鎖モンテカルロ法を用いた応用計量分析(和合肇, 大森裕浩) (近刊)
  
  Pages: 1-40
- Data Source
  KAKENHI-PROJECT-16203014
[Journal Article] 景気動向指数の継続時間分析2005
- Author(s)
  大森裕浩
- Journal Title
  
  ベイズ計量経済分析第5章,東洋経済.
  
  Pages: 151-174
- Data Source
  KAKENHI-PROJECT-15200022
[Journal Article] マルコフ連鎖モンテカルロ法とその周辺2005
- Author(s)
  大森裕浩
- Journal Title
  
  統計科学のフロンティア13巻:計算統計II マルコフ連鎖モンテカルロ法とその周辺(甘利・竹内・竹村・伊庭編) 岩波書店
- Data Source
  KAKENHI-PROJECT-15200022
[Journal Article] マルコフ連鎖モンテカルロ法とその応用2005
- Author(s)
  大森裕浩, 和田肇
- Journal Title
  
  ベイズ計量経済分析(和田肇(編))(東洋経済新報社)
  
  Pages: 39-99
- Data Source
  KAKENHI-PROJECT-16203014
[Journal Article] マルコフ連鎖モンテカルロ法とその応用2005
- Author(s)
  大森裕浩, 和合肇
- Journal Title
  
  ベイズ計量経済分析東洋経済第2章
  
  Pages: 39-99
- Data Source
  KAKENHI-PROJECT-15200022
[Journal Article] Bayesian analysis of Econometrics2005
- Author(s)
  Wago, H., Omori, Y.
- Journal Title
  
  Bayesian Econometrics (in Japanese) Chapter 1
  
  Pages: 1-37
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] 計量経済分析へのベイズ統計学の応用2005
- Author(s)
  和合肇, 大森裕浩
- Journal Title
  
  ベイズ計量経済分析-マルコフ連鎖モンテカルロ法とその応用
  
  Pages: 1-37
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] 景気動向指数の継続時間分析2005
- Author(s)
  大森裕浩
- Journal Title
  
  マルコフ連鎖モンテカルロ法を用いた応用計量今析(和合肇, 大森裕浩) (近刊)
  
  Pages: 153-176
- Data Source
  KAKENHI-PROJECT-16203014
[Journal Article] A multi-move sampler for estimating non-Gaussian times series models : Comments on Shephard and Pitt (1997)2004
- Author(s)
  T.Watanabe, Y.Omori
- Journal Title
  
  Biometrika Vol.91
  
  Pages: 246-248
- Data Source
  KAKENHI-PROJECT-14208023
[Journal Article] A multi-move sampler for estimating non-Gaussian times series models : Comments on Shephard and Pitt (1997)2004
- Author(s)
  Watanabe, T., Omori, Y.
- Journal Title
  
  Biometrika 91
  
  Pages: 246-248
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] A Multi-move Sampler for Estimating Non-Gaussian Time Series Models Comments on Shephard and Pitt (1997)2004
- Author(s)
  Watanabe, T., Omori, Y.
- Journal Title
  
  Biometrika 91
  
  Pages: 246-248
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] Stochastic volatility model with leverage : fast likelihood inference2004
- Author(s)
  Omori, Y., Chib, S., Shephard, N., Nakajima, J.
- Journal Title
  
  Discussion paper series, Faculty of Economics, University of Tokyo CIRJE-F-297
  
  Pages: 1-24
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] A multi-move sampler for estimating non-Gaussian times series models : Comments on Shephard and Pitt (1997)2004
- Author(s)
  Watanabe, T., Omori, Y.
- Journal Title
  
  Biometrika 91
  
  Pages: 246-248
- Data Source
  KAKENHI-PROJECT-16203014
[Journal Article] Stochastic volatility model with leverage : fast likelihood inference2004
- Author(s)
  Omori, Y., Chib, S., Shephard, N., Naka j ima, J.
- Journal Title
  
  Discussion paper series, Faculty of Economics, University of Tokyo. CIRJE-F-297
  
  Pages: 1-24
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] A multi-move sampler for estimating non-Gaussian time series models : Comments on Shephard and Pitt (1997)2004
- Author(s)
  Watanabe, T, Omori, Y.
- Journal Title
  
  Biometrika 91
  
  Pages: 246-248
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] A multi-move sampler for estimating non-Gaussian times series models : Comments on Shephard and Pitt(1997)2004
- Author(s)
  Watanabe, T., Omori, Y
- Journal Title
  
  Biometrika 91
  
  Pages: 246-248
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] A multi-move sampler for estimating non-Gaussian times series models : Comments on Shephard and Pitt (1997)2004
- Author(s)
  Watanabe, T., Omori, Y.
- Journal Title
  
  Biometrika 91
  
  Pages: 246-248
- Data Source
  KAKENHI-PROJECT-15200022
[Journal Article] A multi-move sampler for estimating non-Gaussian times series models : Comments on Shephard and Pitt (1997)2004
- Author(s)
  Watanabe, T., Omori, Y.
- Journal Title
  
  Biometrika 91・1
  
  Pages: 246-248
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] A multi-move sampler for estimating non-Gaussian times series models : Comments on Shephard and Pitt (1997)2004
- Author(s)
  Watanabe, T., Omori, Y.
- Journal Title
  
  Biometrika 91
  
  Pages: 246-248
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] A Multi-move sampler for estimating non-Gaussian times series models : Comments on Shepherd and Pitt (1997)2004
- Author(s)
  Watanabe, T., Omori, Y.
- Journal Title
  
  Biometrika Vol.91
  
  Pages: 246-248
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] A Multi-move Sampler for Estimating Non-Gaussian Time Series Models : Comments on Shephard and Pitt (1997)2004
- Author(s)
  Watanabe, T., Omori, Y.
- Journal Title
  
  Biometrika 91
  
  Pages: 246-248
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] Stochastic volatility model with leverage fast likelihood inference2004
- Author(s)
  Omori, Y., Club, S., Shepherd, N., Nakajima, J.
- Journal Title
  
  CIRJE-F-297 (Faculty of Economics, University of Tokyo)
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] Stochastic volatility model with leverage : fast likelihood inference2004
- Author(s)
  Omori, Y., Chib, S., Shephard, N., Nakajima, J
- Journal Title
  
  Discussion paper series, Faculty of Economics, University of Tokyo. CIRJE-F-297
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] A multi-move sampler for estimating non-Gaussian times series models : Comments on Shephard and Pitt(1997)2004
- Author(s)
  Watanabe, T., Omori, Y.
- Journal Title
  
  Biometrika 91
  
  Pages: 246-248
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] Stochastic Volatility Model with Leverage : Fast Likelihood Inference2004
- Author(s)
  Omori, Y., Chib, S., Shephard, N., Nakajima, J.
- Journal Title
  
  Discussion paper series, Faculty of Economics, University of Tokyo CIRJE-F-297
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] Estimation for unequally spaced time series of counts with serially correlated random effect2003
- Author(s)
  Omori, Y.
- Journal Title
  
  Statistics and Probability Letters 63
  
  Pages: 1-12
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] Mikuro de-ta niokeru bosyudan ichiisei no jigo kakuritsu2003
- Author(s)
  Omori Yasuhiro
- Journal Title
  
  Toukei suuri Vol.51
  
  Pages: 223-239
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] Block sampler and posterior mode estimation for a nonlinear and non-Gaussian state-space model with correlated errors2003
- Author(s)
  Omori, Y, Watanabe, T.
- Journal Title
  
  CIRJE-F-221 (Faculty of Economics University of Tokyo)
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] Discrete duration model having autoregressive random effects with application to Japanese diffusion index2003
- Author(s)
  Omori, Y.
- Journal Title
  
  Journal of the Japan Statistical Society 33
  
  Pages: 1-22
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] Estimation for unequally spaced time series of counts with serially correlated random effects2003
- Author(s)
  Y.Omori
- Journal Title
  
  Statistics and Probability Letters Vol.63
  
  Pages: 1-12
- Data Source
  KAKENHI-PROJECT-14208023
[Journal Article] Estimation for unequally spaced time series of counts with serially correlated random effects2003
- Author(s)
  Omori, Y.
- Journal Title
  
  Statistics and Probability Letters 63
  
  Pages: 1-12
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] Posterior probability of population uniqueness in microdata2003
- Author(s)
  Omori, Y.
- Journal Title
  
  Proceedings of the Institute of Statistical Mathematics (in Japanese) 51-2
  
  Pages: 223-239
- NAID
  120006019131
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] ミクロデータにおける母集団一意性の事後確率2003
- Author(s)
  大森裕浩
- Journal Title
  
  統計数理第51巻
  
  Pages: 223-239
- NAID
  120006019131
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] Discrete duration model having autoregressive random effects with application to Japanese diffusion index2003
- Author(s)
  Omori, Y.
- Journal Title
  
  Journal of the Japan Statistical Society 33
  
  Pages: 1-22
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] ミクロデータにおける母集団一意性の事後確率2003
- Author(s)
  大森裕浩
- Journal Title
  
  統計数理 51
  
  Pages: 223-239
- NAID
  120006019131
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] Discrete Duration Model Having Autoregressive Random Effects with Application to Japanese Diffusion Index2003
- Author(s)
  Omori, Y.
- Journal Title
  
  Forthcoming in Journal of Japan Statistical Society
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-13630026
[Journal Article] Estimation for unequally spaced time series of counts with serially correlated random effects2003
- Author(s)
  Omori, Y
- Journal Title
  
  Statistics and Probability Letters Vol.63
  
  Pages: 1-12
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] Discrete Duration Model Having Autoregressive Random Effects with Application to Japanese Diffusion Index2003
- Author(s)
  Omori, Y.
- Journal Title
  
  Journal of Japan Statistical Society (Forthcoming)
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-13630026
[Journal Article] Estimation for unequally spaced time series of counts with serially correlated random effects2003
- Author(s)
  Omori, Y.
- Journal Title
  
  Statistics and Probability Letters (Forthcoming)
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-13630026
[Journal Article] Estimation for unequally spaced time series of counts with serially correlated random effects2003
- Author(s)
  Omori, Y.
- Journal Title
  
  Statistics and Probability Letters 63
  
  Pages: 1-12
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] Estimation for unequally spaced time series of counts with serially correlated random effects2003
- Author(s)
  Omori, Y.
- Journal Title
  
  Forthcoming in Statistics and Probability Letters
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-13630026
[Journal Article] Discrete duration model having autoregressive random effects with application to Japanese diffusion index2003
- Author(s)
  Omori, Y
- Journal Title
  
  Journal of the Japan Statistical Society Vol.33
  
  Pages: 1-22
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] 景気動向指数の継続時間分析
- Author(s)
  大森裕浩
- Journal Title
  
  マルコフ連鎖モンテカルロ法を用いた応用計量分析(東洋経済) 第5章(近刊)
  
  Pages: 153-176
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] MCMCの基礎と統計科学への応用
- Author(s)
  大森裕浩
- Journal Title
  
  計算統計 II-マルコフ連鎖モンテカルロ法とその周辺(岩波書店) (近刊)
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] 計量経済分析へのベイズ統計学の応用
- Author(s)
  和合肇, 大森裕浩
- Journal Title
  
  マルコフ連鎖モンテカルロ法を用いた応用計量分析第1章(東洋経済) (近刊)
  
  Pages: 1-40
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] 景気動向指数の継続時間分析
- Author(s)
  大森裕浩
- Journal Title
  
  マルコフ連鎖モンテカルロ法を用いた応用計量分析第5章(東洋経済) (近刊)
  
  Pages: 153-176
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] マルコフ連鎖モンテカルロ法の計量経済分析への応用
- Author(s)
  大森裕浩, 和合肇
- Journal Title
  
  マルコフ連鎖モンテカルロ法を用いた応用計量分析(東洋経済) 第2章(近刊)
  
  Pages: 41-102
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] Tobit model with covariate dependent thresholds
- Author(s)
  Omori, Y., Miyawaki, K.
- Journal Title
  
  Computational Statistics and Data Analysis (未定)(採択済み)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19300098
[Journal Article] MCMCの基礎と統計科学への応用
- Author(s)
  大森裕浩
- Journal Title
  
  計算統計II-マルコフ連鎖モンテカルロ法とその周辺(岩波書店) (近刊)
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] keiki doukou shisuu no keizoku jikan bunseki
- Author(s)
  Omori Yasuhiro
- Journal Title
  
  marukohu rensa montemarurohou wo mochiita ouyoukeiryoubunseki (Touyoukeizaishinpousya) (kinkann)
  
  Pages: 153-176
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] 計量経済分析へのベイズ統計学の応用
- Author(s)
  和合肇, 大森裕浩
- Journal Title
  
  マルコフ連鎖モンテカルロ法を用いた応用計量分析(東洋経済) 第1章(近刊)
  
  Pages: 1-40
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] marukohu rensa montekaruro no keiryou keiza ibunseki heno ouyou
- Author(s)
  Omori Yasuhiro, Wago Hajime
- Journal Title
  
  marukohu rensa montemarurohou wo mochiita ouyoukeiryoubunseki (Touyoukeizaishinpousya) (kinkann)
  
  Pages: 41-102
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] keiryou keizai bunseki heno beizu toukeigaku no ouyou
- Author(s)
  Wago Hajime, Omori Yasuhiro
- Journal Title
  
  marukohu rensa montemarurohou wo mochiita ouyoukeiryoubunseki (Touyoukeizaishinpousya) (kinkann)
  
  Pages: 1-40
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] マルコフ連鎖モンテカルロ法の計量経済分析べの応用
- Author(s)
  大森裕浩, 和合肇
- Journal Title
  
  マルコフ連鎖モンテカルロ法を用いた応用計量分析第2章(東洋経済) (近刊)
  
  Pages: 41-102
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] 多変量因子確率的ボラティリティ変動モデル
- Author(s)
  大森裕浩
- Journal Title
  
  経済研究一橋大学 58・4
- NAID
  120005252927
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16203014
[Journal Article] MCMC no kiso to toukei kagaku keno ouyou
- Author(s)
  Omori Yasuhiro
- Journal Title
  
  Keisan toukei II marukohu rensa montekarurohou to sono syuuhen (Iwanami)
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Presentation] Particle rolling MCMC with double block sampling2023
- Author(s)
  Naoki Awaya、Yasuhiro Omori
- Organizer
  The 6th International Conference on Econometrics and Statistics (EcoSta2023)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23H00048
[Presentation] Realized stochastic volatility models with skew-t distributions2023
- Author(s)
  Makoto Takahashi、Yuta Yamauchi、Toshiaki Watanabe、Yasuhiro Omori
- Organizer
  Webinar of Bayesian Econometrics 2023
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Realized stochastic volatility with skewed t distribution2023
- Author(s)
  高橋慎・大森裕浩・渡部敏明・山内雄太
- Organizer
  Webinar of Bayesian Econometrics 2023
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Particle rolling MCMC with double block sampling2023
- Author(s)
  Naoki Awaya and Yasuhiro Omori
- Organizer
  6th International Conference on Econometrics and Statistics (EcoSta2023)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Multivariate randomized response for a mixed-type data2022
- Author(s)
  Amanda M.Y. Chu、Yasuhiro Omori、Hing-yu So、Mike K.P. So
- Organizer
  6th Eastern Asia Chapter of International Society for Bayesian Analysis (EAC-ISBA2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Realized stochastic volatility models with skew-t distributions2022
- Author(s)
  Makoto Takahashi、Yuta Yamauchi、Toshiaki Watanabe、Yasuhiro Omori
- Organizer
  The 5th International Conference on Econometrics and Statistics (EcoSta 2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Multivariate randomized response for a mixed-type data2022
- Author(s)
  Amanda Chu, Yasuhiro Omori and Mike So, Hing-yu So
- Organizer
  6th Eastern Asia Chapter of International Society for Bayesian Analysis (EAC-ISBA2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Multivariate randomized response for binary and ordinal data2022
- Author(s)
  Amanda Chu, Yasuhiro Omori and Mike So, Hing-yu So
- Organizer
  The 11th Conference of the IASC-ARS (The Asian Regional Section of the International Association for Statistical Computing, IASC-ARS2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Stochastic volatility and realized stochastic volatility models2022
- Author(s)
  大森裕浩
- Organizer
  5th International Conference on Econometrics and Statistics (EcoSta2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Stochastic volatility and realized stochastic volatility models2022
- Author(s)
  Yasuhiro Omori
- Organizer
  5th International Conference on Econometrics and Statistics (EcoSta2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Realized stochastic volatility with skewed t distribution2022
- Author(s)
  高橋慎・大森裕浩・渡部敏明・山内雄太
- Organizer
  24th International Conference on Computational Statistics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Bayesian estimation of multivariate stochastic volatility models using dynamic factors2022
- Author(s)
  大森裕浩
- Organizer
  5th International Conference on Econometrics and Statistics (EcoSta2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Realized stochastic volatility with skewed t distribution2022
- Author(s)
  高橋慎・大森裕浩・渡部敏明・山内雄太
- Organizer
  6th Eastern Asia Chapter of International Society for Bayesian Analysis (EAC-ISBA2022)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2022
- Author(s)
  山内雄太・大森裕浩
- Organizer
  6th Eastern Asia Chapter of International Society for Bayesian Analysis (EAC-ISBA2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Realized stochastic volatility with skewed t distribution2022
- Author(s)
  高橋慎・大森裕浩・渡部敏明・山内雄太
- Organizer
  5th International Conference on Econometrics and Statistics (EcoSta2022)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Bayesian estimation of multivariate stochastic volatility models using dynamic factors2022
- Author(s)
  Yasuhiro Omori
- Organizer
  5th International Conference on Econometrics and Statistics (EcoSta2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2022
- Author(s)
  Yuta Yamauchi、Yasuhiro Omori
- Organizer
  6th Eastern Asia Chapter of International Society for Bayesian Analysis (EAC-ISBA2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2021
- Author(s)
  Yuta Yamauchi、Yasuhiro Omori
- Organizer
  NBER-NSF Seminar Seminar on Bayesian Inference in Econometrics and Statistics (SBIES)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2021
- Author(s)
  Yuta Yamauchi, Yasuhiro Omori
- Organizer
  NBER-NSF Seminar Seminar on Bayesian Inference in Econometrics and Statistics (SBIES)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Realized stochastic volatility with skewed t distribution2021
- Author(s)
  Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe, Yuta Yamauchi
- Organizer
  15th International Conference on Computational and Financial Econometrics (CFE2021)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Multivariate randomized response for binary and ordinal data2021
- Author(s)
  Amanda Chu、Yasuhiro Omori、Mike So、Hing-yu So
- Organizer
  The 11th Conference of the IASC-ARS The Asian Regional Section of the International Association for Statistical Computing (IASC-ARS2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2021
- Author(s)
  山内雄太、大森裕浩
- Organizer
  2021年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2021
- Author(s)
  Yuta Yamauchi、Yasuhiro Omori
- Organizer
  The 15th International Conference on Computational and Financial Econometrics (CFE2021)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Realized stochastic volatility with skewed t distribution2021
- Author(s)
  Makoto Takahashi、Yasuhiro Omori、Toshiaki Watanabe、Yuta Yamauchi
- Organizer
  The 15th International Conference on Computational and Financial Econometrics (CFE2021)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Multivariate randomized response for binary and ordinal data2021
- Author(s)
  Amanda Chu, Yasuhiro Omori, Mike So, Hing-yu So
- Organizer
  5th International Conference on Econometrics and Statistics (EcoSta2021)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2021
- Author(s)
  山内雄太、大森裕浩
- Organizer
  2021年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2021
- Author(s)
  Yuta Yamauchi, Yasuhiro Omori
- Organizer
  15th International Conference on Computational and Financial Econometrics (CFE2021)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Multivariate randomized response for binary and ordinal data2021
- Author(s)
  Amanda Chu、Yasuhiro Omori、Mike So、Hing-yu So
- Organizer
  The 4th International Conference on Econometrics and Statistics (EcoSta 2021)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] A multivariate randomized response model for sensitive binary data2020
- Author(s)
  Amanda Chu, Yasuhiro Omori, Hing-yu So, Mike So
- Organizer
  14th International Conference on Computational and Financial Econometrics (CFE 2020)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2020
- Author(s)
  Yuta Yamauchi, Yasuhiro Omori
- Organizer
  Webinar of Bayesian Econometrics 2020
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2020
- Author(s)
  Yuta Yamauchi、Yasuhiro Omori
- Organizer
  Webinar of Bayesian Econometrics 2020
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Realized stochastic volatility with skewed t distribution2019
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  ベイズ計量経済学研究集会
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations2019
- Author(s)
  Yuta Yamauchi and Yasuhiro Omori
- Organizer
  HSI2019-5th Hitotsubashi Summer Institute
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Particle rolling MCMC2019
- Author(s)
  Naoki Awaya and Yasuhiro Omori
- Organizer
  28th South Taiwan Statistics Conference
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Particle learning for stochastic volatility with leverage2019
- Author(s)
  Naoki Awaya and Yasuhiro Omori
- Organizer
  4th Eastern Asia Chapter Meeting on Bayesian Statistics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Factor multivariate realized stochastic volatility model2019
- Author(s)
  Yuta Yamauchi and Yasuhiro Omori
- Organizer
  13th International Conference on Computational and Financial Econometrics (CFE2019)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Factor multivariate realized stochastic volatility model2019
- Author(s)
  山内雄太、大森裕浩
- Organizer
  13th International Conference on Computational and Financial Econometrics (CFE2019)
- Invited
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Multivariate Realized Stochastic Volatility with Dynamic Pairwise Correlations2019
- Author(s)
  Yamauchi Yuta、Omori Yasuhiro
- Organizer
  科学研究プロジェクト「経済統計・政府統計の理論と応用」研究集会
- Data Source
  KAKENHI-PROJECT-15H01943
[Presentation] Multivariate Realized Stochastic Volatility with Dynamic Pairwise Correlations2019
- Author(s)
  大森裕浩・山内雄太
- Organizer
  科研プロジェクト「経済統計・政府統計の理論と応用からの提言」研究集会
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations2019
- Author(s)
  山内雄太・大森裕浩
- Organizer
  HSI2019-The 5th Hitotsubashi Summer Institute “Macro- and Financial Econometrics”
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Particle rolling MCMC2019
- Author(s)
  粟屋直・大森裕浩
- Organizer
  South Taiwan Statistics Conference (STSC2019)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Particle Learning for stochastic volatility with leverage2019
- Author(s)
  粟屋直・大森裕浩
- Organizer
  4th Eastern Asia Meeting on Bayesian Statistics (EAC-ISBA 2019)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Realized stochastic volatility with skewed t distribution2019
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  ベイズ計量経済学研究集会
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Realized stochastic volatility with skewed t distribution2018
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  Workshop on Financial/Economic Analytics in 2018
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Realized stochastic volatility with skewed t distribution2018
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  12th International Conference on Computational and Financial Econometrics (CFE2018)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Filtering for stochastic volatility models with leverage by mixture approximation2018
- Author(s)
  Kaoru Irie, Naoki Awaya and Yasuhiro Omori
- Organizer
  12th International Conference on Computational and Financial Econometrics (CFE2018)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate factor realized stochastic volatility model2018
- Author(s)
  山内雄太・大森裕浩
- Organizer
  14th World Meeting of the International Society of Bayesian Analysis (ISBA2018)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate factor realized stochastic volatility model2018
- Author(s)
  山内雄太、大森裕浩
- Organizer
  一橋大学経済研究所共同利用・共同研究拠点プロジェクト研究集会「高頻度データを用いた資産価格の計量分析」
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] 多変量ボラティリティモデルのベイズ推定2018
- Author(s)
  大森裕浩
- Organizer
  2018年度統計関連学会連合大会
- Invited
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Realized Stochastic Volatility with Skewed t Distribution2018
- Author(s)
  Takahashi Makoto、Omori Yasuhiro、Watanabe Toshiaki
- Organizer
  ベイズ計量経済分析研究集会
- Data Source
  KAKENHI-PROJECT-15H01943
[Presentation] 多変量ボラティリティモデルのベイズ推定2018
- Author(s)
  大森裕浩
- Organizer
  2018年度統計関連学会連合大会
- Invited
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] MCMCと状態空間モデル2018
- Author(s)
  大森裕浩
- Organizer
  統計サマーセミナー
- Invited
- Data Source
  KAKENHI-PROJECT-15H01943
[Presentation] Multivariate factor realized stochastic volatility model2018
- Author(s)
  山内雄太・大森裕浩
- Organizer
  12th International Conference on Computational and Financial Econometrics (CFE2018)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Particle Rolling MCMC2018
- Author(s)
  Yasuhiro Omori and Nao Awaya
- Organizer
  12th International Conference on Computational and Financial Econometrics (CFE 2018)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Realized stochastic volatility with skewed t distribution2018
- Author(s)
  Takahashi Makoto、Omori Yasuhiro、Watanabe Toshiaki
- Organizer
  Workshop on Financial/Economic Analytics in 2018
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Realized stochastic volatility with skewed t distribution2018
- Author(s)
  大森裕浩
- Organizer
  Workshop “Financial/Economic Analytics”
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Particle rolling MCMC with double block sampling: Conditional SMC update approach2018
- Author(s)
  粟屋直、大森裕浩
- Organizer
  一橋大学経済研究所共同利用・共同研究拠点プロジェクト研究集会「高頻度データを用いた資産価格の計量分析」
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Particle Rolling MCMC with Double Block Sampling: Conditional SMC Update Approach2018
- Author(s)
  Yasuhiro Omori and Nao Awaya
- Organizer
  Bayesian Computation for High-Dimensional Statistical Models
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Particle rolling MCMC2018
- Author(s)
  粟屋直・大森裕浩
- Organizer
  12th International Conference on Computational and Financial Econometrics (CFE2018)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate factor realized stochastic volatility model2018
- Author(s)
  山内雄太・大森裕浩
- Organizer
  釧路公立大学研究集会「ファイナンス・経済統計の諸問題」
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate factor realized stochastic volatility model2018
- Author(s)
  山内雄太、大森裕浩
- Organizer
  釧路公立大学研究集会「ファイナンス・経済統計の諸問題」
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Particle rolling MCMC with double block sampling: conditional SMC update approach2018
- Author(s)
  粟屋直・大森裕浩
- Organizer
  14th World Meeting of the International Society of Bayesian Analysis (ISBA2018)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Particle rolling MCMC with double block sampling: conditional SMC update approach2018
- Author(s)
  粟屋直・大森裕浩
- Organizer
  Bayesian Computation for High-Dimensional Statistical Models
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] MCMCと状態空間モデル2018
- Author(s)
  大森裕浩
- Organizer
  統計サマーセミナー
- Invited
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2018
- Author(s)
  山内雄太・大森裕浩
- Organizer
  科研プロジェクト「経済統計・政府統計の理論と応用からの提言」研究集会
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate factor realized stochastic volatility model2018
- Author(s)
  山内雄太・大森裕浩
- Organizer
  一橋大学経済研究所共同利用・共同研究拠点プロジェクト研究集会「高頻度データを用いた資産価格の計量分析」
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Particle rolling MCMC with double block sampling: Conditional SMC update approach2018
- Author(s)
  粟屋直、大森裕浩
- Organizer
  釧路公立大学研究集会「ファイナンス・経済統計の諸問題」
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Particle rolling MCMC with double block sampling: conditional SMC update approach2018
- Author(s)
  粟屋直・大森裕浩
- Organizer
  釧路公立大学研究集会「ファイナンス・経済統計の諸問題」
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Comments on ‘Efficiently Combining Pseudo Marginal and Particle Gibbs Sampling’ by Kohn et al.2018
- Author(s)
  大森裕浩
- Organizer
  Computation and Econometrics Workshop
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Particle Rolling MCMC2018
- Author(s)
  Awaya Naoki、Omori Yasuhiro
- Organizer
  12th International Conference on Computational and Financial Econometrics (CFE2018)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H01943
[Presentation] Multivariate factor realized stochastic volatility model2018
- Author(s)
  山内雄太、大森裕浩
- Organizer
  研究集会「第19回ノンパラメトリック統計解析とベイズ統計」
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Particle Rolling MCMC with Double Block Sampling: Conditional SMC Update Approach2018
- Author(s)
  Awaya Naoki、Omori Yasuhiro
- Organizer
  Bayesian Computation for High-Dimensional Statistical Models
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H01943
[Presentation] Multivariate Factor Realized Stochastic Volatility Model2018
- Author(s)
  Yamauchi Yuta、Omori Yasuhiro
- Organizer
  14th World Meeting of the International Society of Bayesian Analysis (ISBA2018)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H01943
[Presentation] Multivariate factor realized stochastic volatility model2018
- Author(s)
  山内雄太・大森裕浩
- Organizer
  研究集会「第19回ノンパラメトリック統計解析とベイズ統計」
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Particle Rolling MCMC with Double Block Sampling: Conditional SMC Update Approach2018
- Author(s)
  粟屋直、大森裕浩
- Organizer
  14th World Meeting of the International Society of Bayesian Analysis (ISBA2018)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H01943
[Presentation] Realized Stochastic Volatility with Skewed t Distribution2018
- Author(s)
  Takahashi Makoto、Omori Yasuhiro、Watanabe Toshiaki
- Organizer
  12th International Conference on Computational and Financial Econometrics (CFE2018)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H01943
[Presentation] Multivariate Factor Realized Stochastic Volatility Model2018
- Author(s)
  Yamauchi Yuta、Omori Yasuhiro
- Organizer
  12th International Conference on Computational and Financial Econometrics (CFE2018)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H01943
[Presentation] Particle rolling MCMC with double block sampling: conditional SMC update approach2018
- Author(s)
  粟屋直・大森裕浩
- Organizer
  一橋大学経済研究所共同利用・共同研究拠点プロジェクト研究集会「高頻度データを用いた資産価格の計量分析」
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Comments on ‘Efficiently Combining Pseudo Marginal and Particle Gibbs Sampling’ by Kohn et al.2018
- Author(s)
  Omori Yasuhiro
- Organizer
  Computation and Econometrics Workshop
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H01943
[Presentation] 多変量ボラティリティモデルのベイズ推定2018
- Author(s)
  大森裕浩
- Organizer
  統計関連学会連合大会
- Invited
- Data Source
  KAKENHI-PROJECT-15H01943
[Presentation] Realized stochastic volatility with skewed t distribution2018
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  ベイズ計量経済分析研究集会
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] MCMCと状態空間モデル2018
- Author(s)
  大森裕浩
- Organizer
  統計サマーセミナー
- Invited
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2017
- Author(s)
  山内雄太・大森裕浩
- Organizer
  大阪大学大学院経済学研究科経営研究会
- Place of Presentation
  大阪大学(大阪府豊中市）
- Invited
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Particle rolling MCMC with double block sampling: conditional SMC update approach2017
- Author(s)
  粟屋直・大森裕浩
- Organizer
  11th International Conference on Computational and Financial Econometrics (CFE2017)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Realized Stochastic Volatility with Skewed t Distribution2017
- Author(s)
  Takahashi Makoto、Omori Yasuhiro、Watanabe Toshaki
- Organizer
  Workshop on Financial/Economic Analytics in 2018, The Hong Kong Polytechnic University
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H01943
[Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2017
- Author(s)
  大森裕浩
- Organizer
  統計関連学会連合大会
- Invited
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Particle rolling MCMC with double block sampling: Conditional SMC update approach2017
- Author(s)
  Awaya Naoki、Omori Yasuhiro
- Organizer
  11th International Conference on Computational and Financial Econometrics (CFE2017)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Multivariate Realized Stochastic Volatility with Dynamic Pairwise Correlations2017
- Author(s)
  山内雄太、大森裕浩
- Organizer
  2017年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-15H01943
[Presentation] Multivariate factor realized stochastic volatility model2017
- Author(s)
  山内雄太・大森裕浩
- Organizer
  11th International Conference on Computational and Financial Econometrics (CFE2017)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Particle rolling estimation with marginalized block sampling2017
- Author(s)
  粟屋直、大森裕浩
- Organizer
  2017年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Multivariate Realized Stochastic Volatility with Dynamic Pairwise Correlations2017
- Author(s)
  Yamauchi Yuta、Omori Yasuhiro
- Organizer
  1st International Conference on Econometrics and Statistics (EcoSta2017)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H01943
[Presentation] Particle rolling MCMC with double block sampling: conditional SMC update approach2017
- Author(s)
  粟屋直・大森裕浩
- Organizer
  International Workshop on Bayesian Econometric Analysis
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] New sequential Monte Carlo methods and extension to rolling window estimation2017
- Author(s)
  粟屋直・大森裕浩
- Organizer
  第18回ノンパラメトリック統計解析とベイズ統計
- Place of Presentation
  慶應大学（東京都港区）
- Year and Date
  2017-03-29
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2017
- Author(s)
  山内雄太・大森裕浩
- Organizer
  2017年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2017
- Author(s)
  山内雄太・大森裕浩
- Organizer
  広島大学セミナー
- Invited
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2017
- Author(s)
  山内雄太・大森裕浩
- Organizer
  ベイズ研究集会
- Place of Presentation
  東北学院大学（宮城県仙台市）
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Particle rolling estimation with marginalized block sampling2017
- Author(s)
  粟屋直・大森裕浩
- Organizer
  2017年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate Factor Realized Stochastic Volatility Model2017
- Author(s)
  山内雄太、大森裕浩
- Organizer
  2017年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-15H01943
[Presentation] Particle rolling MCMC with double block sampling: Conditional SMC update approach2017
- Author(s)
  Awaya Naoki、Omori Yasuhiro
- Organizer
  International Workshop on Bayesian Econometrics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2017
- Author(s)
  山内雄太・大森裕浩
- Organizer
  ベイズ研究集会
- Place of Presentation
  東北学院大学（宮城県仙台市）
- Year and Date
  2017-02-07
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] New sequential Monte Carlo methods and extension to rolling window estimation2017
- Author(s)
  粟屋直・大森裕浩
- Organizer
  ベイズ研究集会
- Place of Presentation
  東北学院大学（宮城県仙台市）
- Year and Date
  2017-02-07
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2017
- Author(s)
  Yamauchi Yuta、Omori Yasuhiro
- Organizer
  1st International Conference on Econometrics and Statistics (EcoSta2017)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Multivariate factor realized stochastic volatility model2017
- Author(s)
  Yamauchi Yuta、Omori Yasuhiro
- Organizer
  International Workshop on Bayesian Econometrics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Particle Rolling Estimation with Marginalized Block Sampling2017
- Author(s)
  粟屋直、大森裕浩
- Organizer
  2017年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-15H01943
[Presentation] Particle rolling MCMC with double block sampling: conditional SMC update approach2017
- Author(s)
  粟屋直・大森裕浩
- Organizer
  Workshop on spatial and spatio-temporal data
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2017
- Author(s)
  山内雄太・大森裕浩
- Organizer
  1st International Conference on Econometrics and Statistics (EcoSta2017)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2017
- Author(s)
  山内雄太、大森裕浩
- Organizer
  2017年度統計関連学会連合大会
- Invited
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Particle rolling MCMC with double block sampling: Conditional SMC update approach2017
- Author(s)
  Awaya Naoki、Omori Yasuhiro
- Organizer
  Workshop on Spatial and Spatio-Temporal Data Analysis
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] “Multivariate realized stochastic volatility with dynamic pairwise correlations”2017
- Author(s)
  大森裕浩
- Organizer
  大阪大学大学院経済学研究科経営研究会
- Place of Presentation
  大阪大学
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2017
- Author(s)
  山内雄太、大森裕浩
- Organizer
  広島大学セミナー
- Invited
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Multivariate Factor Realized Stochastic Volatility Model2017
- Author(s)
  Yamauchi Yuta、Omori Yasuhiro
- Organizer
  11th International Conference on Computational and Financial Econometrics (CFE2017)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H01943
[Presentation] New sequential Monte Carlo methods and extension to rolling window estimation2017
- Author(s)
  粟屋直・大森裕浩
- Organizer
  研究集会「第18回ノンパラメトリック統計解析とベイズ統計」
- Place of Presentation
  慶応大学（東京都港区)
- Year and Date
  2017-03-28
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate factor realized stochastic volatility model2017
- Author(s)
  山内雄太、大森裕浩
- Organizer
  2017年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Multivariate factor realized stochastic volatility model2017
- Author(s)
  山内雄太・大森裕浩
- Organizer
  2017年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate factor realized stochastic volatility model2017
- Author(s)
  Yamauchi Yuta、Omori Yasuhiro
- Organizer
  11th International Conference on Computational and Financial Econometrics (CFE2017)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Particle Rolling MCMC with Double Block Sampling: Conditional SMC Update Approach2017
- Author(s)
  Awaya Naoki、Omori Yasuhiro
- Organizer
  11th International Conference on Computational and Financial Econometrics (CFE2017)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H01943
[Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2017
- Author(s)
  山内雄太・大森裕浩
- Organizer
  大阪大学大学院経済学研究科経営研究会
- Place of Presentation
  大阪大学(大阪府豊中市）
- Year and Date
  2017-02-17
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2017
- Author(s)
  大森裕浩
- Organizer
  1st International Conference on Econometrics and Statistics (EcoSta2017)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] New sequential Monte Carlo methods and extension to rolling window estimation2017
- Author(s)
  粟屋直・大森裕浩
- Organizer
  ベイズ研究集会
- Place of Presentation
  東北学院大学（宮城県仙台市）
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate factor realized stochastic volatility model2017
- Author(s)
  山内雄太・大森裕浩
- Organizer
  International Workshop on Bayesian Econometric Analysis
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate stochastic volatility model with realized volatility and pairwise realized correlation2016
- Author(s)
  山内雄太・大森裕浩
- Organizer
  ベイズ研究集会「高次元・高頻度データのベイズ計量経済分析」
- Place of Presentation
  神戸大学（兵庫県神戸市）
- Year and Date
  2016-02-06
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Cholesky Realized Stochastic Volatility with leverage2016
- Author(s)
  城田慎一郎・大森裕浩・H Lopes・朴海香
- Organizer
  応用統計計量ワークショップ
- Place of Presentation
  東北大学（宮城県仙台市）
- Year and Date
  2016-01-21
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate Stochastic Volatility Model with Realized Volatility and Pairwise Realized Correlation2016
- Author(s)
  山内雄太・大森裕浩
- Organizer
  研究集会「第17回ノンパラメトリック統計解析とベイズ統計」
- Place of Presentation
  慶応大学（東京都港区）
- Year and Date
  2016-03-30
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2016
- Author(s)
  山内雄太・大森裕浩
- Organizer
  International Society for Bayesian Analysis 2016 World Meeting
- Place of Presentation
  Forte Village Resort Convention Center（イタリア、サルディーニャ）
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate stochastic volatility model with realized volatility and pairwise realized correlation2016
- Author(s)
  山内雄太・大森裕浩
- Organizer
  研究集会「第17回ノンパラメトリック統計解析とベイズ統計」
- Place of Presentation
  慶應大学（東京都港区）
- Year and Date
  2016-03-31
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2016
- Author(s)
  Yuta Yamauchi and Yasuhiro Omori
- Organizer
  10th International Conference on Computational and Financial Econometrics (CFE2016)
- Place of Presentation
  セビリア（スペイン）
- Year and Date
  2016-12-09
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2016
- Author(s)
  山内雄太・大森裕浩
- Organizer
  10th International Conference on Computational and Financial Econometrics (CFE2016)
- Place of Presentation
  University of Seville (スペイン、セビリア)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Rolling Monte Carlo sampler2016
- Author(s)
  粟屋直・大森裕浩
- Organizer
  2016年度統計関連学会連合大会
- Place of Presentation
  金沢大学（石川県金沢市）
- Year and Date
  2016-09-07
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Multivariate Stochastic Volatility Model with Realized Volatility and Pairwise Realized Correlation2016
- Author(s)
  山内雄太・大森裕浩
- Organizer
  ベイズ研究集会「高次元・高頻度データのベイズ計量経済分析」
- Place of Presentation
  神戸大学（兵庫県神戸市）
- Year and Date
  2016-02-06
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Rolling Monte Carlo sampler2016
- Author(s)
  粟屋直・大森裕浩
- Organizer
  2016年度統計関連学会連合大会
- Place of Presentation
  金沢大学（石川県金沢市）
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] ファクター多変量実現確率的ボラティリティ変動モデル2016
- Author(s)
  山内雄太・大森裕浩
- Organizer
  2016年度統計関連学会連合大会
- Place of Presentation
  金沢大学（石川県金沢市）
- Year and Date
  2016-09-05
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] ファクター多変量実現確率的ボラティリティ変動モデル2016
- Author(s)
  山内雄太・大森裕浩
- Organizer
  2016年度統計関連学会連合大会
- Place of Presentation
  金沢大学（石川県金沢市）
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Cholesky realized stochastic volatility with leverage2016
- Author(s)
  城田慎一郎・大森裕浩・H Lopes・朴海香
- Organizer
  応用統計計量ワークショップ
- Place of Presentation
  東北大学（宮城県仙台市）
- Year and Date
  2016-01-12
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Multivariate realized stochastic volatility model with leverage effects2015
- Author(s)
  石原庸博・大森裕浩
- Organizer
  一橋大学金融工学教育センター第3回研究集会「金融工学からERMへ」
- Place of Presentation
  一橋大学(東京都国立市)
- Year and Date
  2015-03-05
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] ペアワイズ実現相関係数を用いた多変量実現確率的ボラティリティ変動モデル2015
- Author(s)
  山内雄太・大森裕浩
- Organizer
  2015年度統計関連学会連合大会
- Place of Presentation
  岡山大学（岡山県岡山市）
- Year and Date
  2015-09-07
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2015
- Author(s)
  山内雄太・大森裕浩
- Organizer
  9th International Conference on Computational and Financial Econometrics (CFE2015)
- Place of Presentation
  ロンドン（英国）
- Year and Date
  2015-12-13
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] 多変量実現確率的ボラティリティモデルとレバレッジ効果について2015
- Author(s)
  黒瀬雄大・大森裕浩
- Organizer
  2015年度統計関連学会連合大会
- Place of Presentation
  岡山大学（岡山県岡山市）
- Year and Date
  2015-09-07
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Multivariate realized stochastic volatility model with leverage effects2015
- Author(s)
  石原庸博・大森裕浩
- Organizer
  Recent Developments on Bayesian Econometric Methods and Applications
- Place of Presentation
  慶応大学（東京都港区）
- Year and Date
  2015-02-08
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Multivariate realized stochastic volatility model with leverage effects2015
- Author(s)
  石原庸博・大森裕浩
- Organizer
  一橋大学金融工学教育センター第3回研究集会「金融工学からERMへ」
- Place of Presentation
  一橋大学(東京都国立市)
- Year and Date
  2015-03-04
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Cholesky Realized Stochastic Volatility with leverage2015
- Author(s)
  城田慎一郎・大森裕浩・H. Lopes・朴海香
- Organizer
  Seminar at Department of Statistics and Applied Probability (Joint Seminar with Econometric Reading Group)
- Place of Presentation
  National University of Singapore、シンガポール
- Year and Date
  2015-03-12
- Invited
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Matrix exponential realized stochastic volatility model2015
- Author(s)
  石原庸博・大森裕浩
- Organizer
  Hitotsubashi Summer Institute Workshop “Frontiers in Financial Econometrics”
- Place of Presentation
  一橋大学（東京都国立市）
- Year and Date
  2015-08-05
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Dynamic block-equicorrelation, realized stochastic volatility and cross leverage2015
- Author(s)
  黒瀬雄大・大森裕浩
- Organizer
  9th International Conference on Computational and Financial Econometrics (CFE2015)
- Place of Presentation
  ロンドン（英国）
- Year and Date
  2015-12-13
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Matrix exponential realized stochastic volatility model2015
- Author(s)
  石原庸博・大森裕浩
- Organizer
  Hitotsubashi Summer Institute Workshop “Frontiers in Financial Econometrics”
- Place of Presentation
  一橋大学（東京都国立市）
- Year and Date
  2015-08-05
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] ペアワイズ実現相関係数を用いた多変量実現確率的ボラティリティ変動モデル2015
- Author(s)
  山内雄太・大森裕浩
- Organizer
  2015年度統計関連学会連合大会
- Place of Presentation
  岡山大学（岡山県岡山市）
- Year and Date
  2015-09-07
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2015
- Author(s)
  山内雄太・大森裕浩
- Organizer
  9th International Conference on Computational and Financial Econometrics (CFE2015)
- Place of Presentation
  ロンドン（英国）
- Year and Date
  2015-12-13
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Dynamic block-equicorrelation, realized stochastic volatility and cross leverage2015
- Author(s)
  黒瀬雄大・大森裕浩
- Organizer
  9th International Conference on Computational and Financial Econometrics (CFE2015)
- Place of Presentation
  ロンドン（英国）
- Year and Date
  2015-12-13
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Realized stochastic volatility models with generalized hyperbolic distribution2015
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  9th International Conference on Computational and Financial Econometrics (CFE2015)
- Place of Presentation
  ロンドン（英国）
- Year and Date
  2015-12-13
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Cholesky realized stochastic volatility with leverage2015
- Author(s)
  城田慎一郎・大森裕浩・H. Lopes・朴海香
- Organizer
  Seminar at Department of Statistics and Applied Probability (Joint Seminar with Econometric Reading Group)
- Place of Presentation
  National University of Singapore、シンガポール
- Year and Date
  2015-03-12
- Invited
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Cholesky Realized Stochastic Volatility with leverage2015
- Author(s)
  城田慎一郎・大森裕浩・H Lopes・朴海香
- Organizer
  Hitotsubashi Summer Institute Workshop “Frontiers in Financial Econometrics”
- Place of Presentation
  一橋大学（東京都国立市）
- Year and Date
  2015-08-05
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Cholesky Realized Stochastic Volatility with leverage2015
- Author(s)
  城田慎一郎・大森裕浩・H Lopes・朴海香
- Organizer
  2015年度統計関連学会連合大会
- Place of Presentation
  岡山大学（岡山県岡山市）
- Year and Date
  2015-09-07
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Realized stochastic volatility models with generalized hyperbolic distribution2015
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  9th International Conference on Computational and Financial Econometrics (CFE2015)
- Place of Presentation
  ロンドン（英国）
- Year and Date
  2015-12-13
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Cholesky realized stochastic volatility with leverage2015
- Author(s)
  城田慎一郎・大森裕浩・H Lopes・朴海香
- Organizer
  2015年度統計関連学会連合大会
- Place of Presentation
  岡山大学（岡山県岡山市）
- Year and Date
  2015-09-07
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Multivariate realized stochastic volatility model: A matrix exponential specification2015
- Author(s)
  石原庸博・大森裕浩
- Organizer
  Recent Developments on Bayesian Econometric Methods and Applications
- Place of Presentation
  慶応大学（東京都港区）
- Year and Date
  2015-02-08
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] 多変量実現確率的ボラティリティモデルとレバレッジ効果について2015
- Author(s)
  黒瀬雄大・大森裕浩
- Organizer
  2015年度統計関連学会連合大会
- Place of Presentation
  岡山大学（岡山県岡山市）
- Year and Date
  2015-09-07
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Cholesky realized stochastic volatility with leverage2015
- Author(s)
  城田慎一郎・大森裕浩・H Lopes・朴海香
- Organizer
  Hitotsubashi Summer Institute Workshop “Frontiers in Financial Econometrics”
- Place of Presentation
  一橋大学（東京都国立市）
- Year and Date
  2015-08-05
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Cholesky realized stochastic volatility with leverage2014
- Author(s)
  城田慎一郎・大森裕浩・H. Lopes・朴海香
- Organizer
  8th International Conference on Computational and Financial Econometrics (CFE2014)
- Place of Presentation
  University of Pisa（ピサ・イタリア）
- Year and Date
  2014-12-06
- Invited
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Realized stochastic volatility models with generalized hyperbolic distribution2014
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  International Conference “Econometrics for Macroeconomics and Finance”
- Place of Presentation
  一橋大学（東京都国立市）
- Year and Date
  2014-03-15
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Realized stochastic volatility model with GH skewed t distribution2014
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  Workshop on High-frequency Data and Financial Econometrics
- Place of Presentation
  一橋大学（東京都国立市）
- Year and Date
  2014-02-10
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Realized stochastic volatility models with generalized hyperbolic distribution2014
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  金融リスクの計測・管理・制御と資本市場に纏わる諸問題
- Place of Presentation
  大阪大学（大阪府豊中市）
- Year and Date
  2014-03-13
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Dynamic equicorrelation, realized stochastic volatility and cross leverage2014
- Author(s)
  黒瀬雄大・大森裕浩
- Organizer
  Workshop on High-frequency Data and Financial Econometrics
- Place of Presentation
  一橋大学（東京都国立市）
- Year and Date
  2014-02-10
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Cholesky realized stochastic volatility with leverage2014
- Author(s)
  城田慎一郎・大森裕浩・H. Lopes・朴海香
- Organizer
  Second Bayesian Young Statisticians Meeting (BAYSM’14)
- Place of Presentation
  WU Vienna University of Business and Economics（ウィーン・オーストリア）
- Year and Date
  2014-09-18
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Dynamic equicorrelation, realized stochastic volatility and cross leverage2014
- Author(s)
  黒瀬雄大・大森裕浩
- Organizer
  金融リスクの計測・管理・制御と資本市場に纏わる諸問題
- Place of Presentation
  大阪大学（大阪府豊中市）
- Year and Date
  2014-03-13
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Cholesky Realized Stochastic Volatility with leverage2014
- Author(s)
  城田慎一郎・大森裕浩・H. Lopes・朴海香
- Organizer
  8th International Conference on Computational and Financial Econometrics (CFE2014)
- Place of Presentation
  University of Pisa, イタリア
- Year and Date
  2014-12-06
- Invited
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Cholesky Realized Stochastic Volatility with leverage2014
- Author(s)
  城田慎一郎・大森裕浩・H. Lopes・朴海香
- Organizer
  The 3rd Institute of Mathematical Statistics Asia Pacific Rim Meeting (IMS-APRM2014)
- Place of Presentation
  Howard International House, 台北、台湾
- Year and Date
  2014-07-02
- Invited
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] 多変量非対称実現確率的ボラティリティ変動モデルとその応用2014
- Author(s)
  黒瀬雄大・大森裕浩
- Organizer
  2014年度統計関連学会連合大会
- Place of Presentation
  東京大学（東京都文京区）
- Year and Date
  2014-09-15
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Portfolio Optimization using Dynamic Factor and Stochastic Volatility: Evidence on Fat-tailed Error and Leverage2014
- Author(s)
  石原庸博・大森裕浩・S. Chib
- Organizer
  ISBA 2014 World Meeting
- Place of Presentation
  Cancun center（カンクン・メキシコ）
- Year and Date
  2014-07-18
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Cholesky Realized Stochastic Volatility with leverage2014
- Author(s)
  城田慎一郎・大森裕浩・H. Lopes・朴海香
- Organizer
  Second Bayesian Young Statisticians Meeting (BAYSM’14)
- Place of Presentation
  WU Vienna University of Business and Economics、ウィーン、オーストリア
- Year and Date
  2014-09-18
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Portfolio optimization using dynamic factor and stochastic volatility: Evidence on fat-tailed error and leverage2014
- Author(s)
  石原庸博・大森裕浩・Siddartha Chib
- Organizer
  研究集会「第14回ノンパラメトリック統計解析とベイズ統計」
- Place of Presentation
  慶応大学（東京都港区）
- Year and Date
  2014-03-20
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Cholesky realized stochastic volatility with leverage2014
- Author(s)
  城田慎一郎・大森裕浩・H. Lopes・朴海香
- Organizer
  Workshop on High-frequency Data and Financial Econometrics
- Place of Presentation
  一橋大学（東京都国立市）
- Year and Date
  2014-02-10
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] 多変量非対称実現確率的ボラティリティ変動モデルとその応用2014
- Author(s)
  黒瀬雄大・大森裕浩
- Organizer
  2014年度統計関連学会連合大会
- Place of Presentation
  東京大学（東京都文京区）
- Year and Date
  2014-09-15
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Cholesky realized stochastic volatility with leverage2014
- Author(s)
  城田慎一郎・大森裕浩・H. Lopes・朴海香
- Organizer
  The 3rd Institute of Mathematical Statistics Asia Pacific Rim Meeting (IMS-APRM2014)
- Place of Presentation
  Howard International House（台北・台湾）
- Year and Date
  2014-07-02
- Invited
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] A dynamic factor stochastic volatility model with leverage effect and its application2013
- Author(s)
  石原庸博・大森裕浩
- Organizer
  7th International Conference on Computational and Financial Econometrics (CFE2013)
- Place of Presentation
  Senate House, University of London（ロンドン・英国）
- Year and Date
  2013-12-15
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Volatility and Quantile Forecasts　of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic　Distribution2013
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  ISBA Regional Meeting & International Workshop/Conference on Bayesian Theory and Applications (IWCBTA) (招待講演)
- Place of Presentation
  The DST Centre for Interdisciplinary Mathematical Sciences, Banaras Hindu University, Varanasi, India
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Matrix realized stochastic volatility with leverage2013
- Author(s)
  黒瀬　雄大・大森裕浩
- Organizer
  「第１４回ノンパラメトリック統計解析とベイズ統計」
- Place of Presentation
  慶応大学（東京都）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility with dynamic equicorrelation and cross leverage2013
- Author(s)
  石原庸博・大森裕浩
- Organizer
  「第１４回ノンパラメトリック統計解析とベイズ統計」
- Place of Presentation
  慶応大学（東京都）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility model with GH skewed t distribution2013
- Author(s)
  Makoto Takahashi, Toshiaki Watanabe, Yasuhiro Omori
- Organizer
  Joint Meeting of the IASC Satellite Conference for the 59th ISI WSC and the 8th Asian Regional Section (ARS) of the IASC
- Place of Presentation
  Yonsei University, Seoul, Korea
- Year and Date
  2013-08-22
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Multivariate realized stochastic volatility model2013
- Author(s)
  石原庸博・大森裕浩
- Organizer
  International Workshop on Bayesian Econometrics and Statistics
- Place of Presentation
  神戸大学（兵庫県）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Cholesky realized stochastic volatility model2013
- Author(s)
  城田慎一郎・大森裕浩
- Organizer
  International Workshop on Bayesian Econometrics and Statistics
- Place of Presentation
  神戸大学（兵庫県）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility model2013
- Author(s)
  大森裕浩
- Organizer
  一橋大学経済研究所平成24 年度共同利用・共同研究拠点事業プロジェクト研究「高頻度データを用いた資産市場のミクロ構造とボラティリティの計量分析」
- Place of Presentation
  一橋大学（東京都）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility with dynamic equicorrelation and cross leverage2013
- Author(s)
  石原庸博・大森裕浩
- Organizer
  一橋大学経済研究所平成24 年度共同利用・共同研究拠点事業プロジェクト研究「高頻度データを用いた資産市場のミクロ構造とボラティリティの計量分析」
- Place of Presentation
  一橋大学（東京都）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Multivariate realized stochastic volatility model2013
- Author(s)
  石原庸博・大森裕浩
- Organizer
  ISBA Regional Meeting & International Workshop/Conference on Bayesian Theory and Applications (IWCBTA) (招待講演)
- Place of Presentation
  The DST Centre for Interdisciplinary Mathematical Sciences, Banaras Hindu University, Varanasi, India
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Dynamic Equicorrelation Stochastic Volatility2012
- Author(s)
  黒瀬雄大・大森裕浩
- Organizer
  11th World Meeting of the International Society of Bayesian Analysis (ISBA2012)
- Place of Presentation
  京都テルサ（京都府）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility with leverage and long memory2012
- Author(s)
  城田慎一郎・比津貴行・大森裕浩
- Organizer
  11th World Meeting of the International Society of Bayesian Analysis (ISBA2012)
- Place of Presentation
  京都テルサ（京都府）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Dynamic Equicorrelation Stochastic Volatility2012
- Author(s)
  黒瀬雄大・大森裕浩
- Organizer
  2012年度統計関連学会連合大会
- Place of Presentation
  北海道大学（北海道）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Volatility and Quantile Forecasts　of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic　Distribution2012
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  6th International Conference on Computational and Financial Econometrics (CFE2012)
- Place of Presentation
  Ovideo, Spain
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Multivariate realized stochastic volatility2012
- Author(s)
  大森裕浩
- Organizer
  6th International Conference on Computational and Financial Econometrics (CFE2012) (招待講演)
- Place of Presentation
  Ovideo, Spain
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility models and their applications using high frequency financial time series2012
- Author(s)
  大森裕浩
- Organizer
  The 2nd Institute of Mathematical Statistics Asia Pacific Rim Meeting (IMS-APRM2012)（招待講演）
- Place of Presentation
  Tsukuba International Congress Center　（茨城県）
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Volatility and Quantile Forecasts　of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic　Distribution2012
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  The Third International Conference High-Frequency Data Analysis in Financial Markets
- Place of Presentation
  広島経済大学立町キャンパス（広島県）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Multivariate realized stochastic volatility model with leverage2012
- Author(s)
  石原庸博・大森裕浩
- Organizer
  The Third International Conference High-Frequency Data Analysis in Financial Markets
- Place of Presentation
  広島経済大学立町キャンパス（広島県）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Matrix exponential stochastic volatility with leverage2012
- Author(s)
  石原庸博・大森裕浩・浅井学
- Organizer
  第13回ノンパラメトリック統計解析とベイズ統計
- Place of Presentation
  慶応大学(東京都)
- Year and Date
  2012-03-30
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] 非対称性及び長期記憶性を考慮した実現確率的ボラティリティ変動モデル2012
- Author(s)
  城田慎一郎・比津貴行・大森裕浩
- Organizer
  2012年度統計関連学会連合大会
- Place of Presentation
  北海道大学（北海道）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Multivariate realized stochastic volatility model with leverage2012
- Author(s)
  石原庸博・大森裕浩
- Organizer
  11th World Meeting of the International Society of Bayesian Analysis (ISBA2012)
- Place of Presentation
  京都テルサ（京都府）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Dynamic Equicorrelation Stochastic Volatility2012
- Author(s)
  黒瀬雄大・大森裕浩
- Organizer
  日本経済学会2012年度春季大会
- Place of Presentation
  北海道大学（北海道）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] レバレッジのある多変量動学的因子確率的ボラティリティ変動モデルのベイズ推定と予測ポートフォリオに基づくモデル比較2012
- Author(s)
  石原庸博・大森裕浩
- Organizer
  2012年度統計関連学会連合大会
- Place of Presentation
  北海道大学（北海道）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] A class of multivariate stochastic volatility models with leverage2012
- Author(s)
  大森裕浩
- Organizer
  11th World Meeting of the International Society of Bayesian Analysis (ISBA2012) （招待講演）
- Place of Presentation
  京都テルサ（京都府）
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized Stochastic Volatility モデル-日次リターンとRealized Volatilityの同時モデル化2012
- Author(s)
  大森裕浩・渡部敏明
- Organizer
  2012年度統計関連学会連合大会（日本統計学会研究業績賞受賞講演）（招待講演）
- Place of Presentation
  北海道大学（北海道）
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Multivariate realized stochastic volatility2012
- Author(s)
  Yasuhiro Omori
- Organizer
  6th CSDA International Conference on Computational and Financial Econometrics (CFE12)
- Place of Presentation
  Conference Center, Oviedo, Spain
- Year and Date
  2012-12-03
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Multivariate realized stochastic volatility model with leverage2012
- Author(s)
  石原庸博・大森裕浩
- Organizer
  6th International Conference on Computational and Financial Econometrics (CFE2012)
- Place of Presentation
  Ovideo, Spain
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Nonparametric stochastic volatility: mixture approach2012
- Author(s)
  入江薫・大森裕浩
- Organizer
  11th World Meeting of the International Society of Bayesian Analysis (ISBA2012)
- Place of Presentation
  京都テルサ（京都府）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility with leverage and long memory2011
- Author(s)
  城田慎一郎・比津貴行・大森裕浩
- Organizer
  International Workshop on Statistical Computing in Quantitative Finance and Biostatistics : A Satellite Meeting for the 7th IASC-ARS
- Place of Presentation
  Feng Chia University, Tai chung, Taiwan(招待講演)
- Year and Date
  2011-12-21
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] レバレッジ効果のある行列指数確率的ボラティリティ変動モデル2011
- Author(s)
  石原庸博・大森裕浩・浅井学
- Organizer
  統計関連学会連合大会
- Place of Presentation
  九州大学(福岡県)
- Year and Date
  2011-09-06
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Separated Inference for Moral Hazard and Selection Problems in Insurance Markets2011
- Author(s)
  菅原慎矢・大森裕浩
- Organizer
  International Workshop on Applied Bayesi an Statistics and Econometrics
- Place of Presentation
  京都私学会館
- Year and Date
  2011-02-02
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] 特別セッション・討論:『Bayesian analysis of moment restriction models using nonparametric priors』北村佑一・大津泰介2011
- Author(s)
  大森裕浩
- Organizer
  日本経済学会2011年度春季大会
- Place of Presentation
  熊本学園大学(熊本)
- Year and Date
  2011-05-22
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility with leverage and long memory2011
- Author(s)
  城田慎一郎・比津貴行・大森裕浩
- Organizer
  Joint Meeting of the 2011 Taipei International Statistical Symposium and 7th Conference of the Asian Regional Section of the IASC
- Place of Presentation
  Academia Sinica, Taipei, Taiwan(招待講演)
- Year and Date
  2011-12-19
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Separate inference for moral hazard and selection problems in insurance market2011
- Author(s)
  菅原慎矢・大森裕浩
- Organizer
  日本経済学会2011年度秋季大会
- Place of Presentation
  筑波大学(茨城県)
- Year and Date
  2011-10-29
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility with leverage and long memory2011
- Author(s)
  城田慎一郎・比津貴行・大森裕浩
- Organizer
  2011年度中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題2011」
- Place of Presentation
  大阪大学(大阪府)
- Year and Date
  2011-12-02
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Volatility and quantile forecasts of financial returns using realized stochastic volatility models with generalized hyperbolic distribution2011
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  The Second International Conference "High Frequency Data Analysis in Financial Markets
- Place of Presentation
  大阪大学(大阪府)
- Year and Date
  2011-10-28
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Generalized extreme value distribution with time-dependence usiner the AR and MA models in state space form2011
- Author(s)
  中島上智・国浜剛・大森裕浩・Sylvia Fruwirth-Schnatter
- Organizer
  第5回日本統計学会春季集会
- Place of Presentation
  立教大学
- Year and Date
  2011-03-06
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Separate inference for moral hazard and selection problems in insurance markets : With application to US dental insurance market2011
- Author(s)
  菅原慎矢・大森裕浩
- Organizer
  統計関連学会連合大会
- Place of Presentation
  九州大学(福岡県)
- Year and Date
  2011-09-07
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Dynamic Factor Multivariate Stochastic Volatility Models with Leverage Effects and Application to Portfolio Selection2011
- Author(s)
  石原庸博・大森裕浩・Sid Chib
- Organizer
  科研費研究集会「ベイズ分析のための数値計算技法とその経済・ファイナンス分析への応用」
- Place of Presentation
  下関市立大学唐戸サテライトキャンパス(山口県)
- Year and Date
  2011-11-19
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Nonparametric Stochastic Volatility : Mixture Approach2011
- Author(s)
  入江薫・大森裕浩・Sid Chib
- Organizer
  科研費研究集会「ベイズ分析のための数値計算技法とその経済・ファイナンス分析への応用」
- Place of Presentation
  下関市立大学唐戸サテライトキャンパス(山口県)
- Year and Date
  2011-11-19
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian estimation of matrix exponential stochastic volatilitv model with leverage effects2011
- Author(s)
  石原庸博・大森裕浩
- Organizer
  International Workshop on Applied Bayesi an Statistics and Econometrics
- Place of Presentation
  京都私学会館
- Year and Date
  2011-02-02
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility with leverage and long memory2011
- Author(s)
  城田慎一郎・比津貴行・大森裕浩
- Organizer
  The Second International Conference "High Frequency Data Analysis in Financial Markets
- Place of Presentation
  大阪大学(大阪府)
- Year and Date
  2011-10-28
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Matrix Exponential Stochastic Volatility Model with Leverage Effects2011
- Author(s)
  石原庸博・大森裕浩・浅井学
- Organizer
  JEuBES 2011 (5th Japanese-European Bayesian Econometrics and Statistics Meeting)
- Place of Presentation
  Norges Bank, Oslo, Norway
- Year and Date
  2011-08-23
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Exact Estimation of Demand Functions under Block-Rate Pricing2011
- Author(s)
  Miyawaki, Koji, Yasuhiro Omori, Akira Hibiki
- Organizer
  International Water Resource Consortium 9^<th> Annual Meeting
- Place of Presentation
  Banff, Canada
- Year and Date
  2011-06-27
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Dynamic Equicorrelation and Stochastic Volatility2011
- Author(s)
  黒瀬雄大・大森裕浩・Sid Chib
- Organizer
  科研費研究集会「ベイズ分析のための数値計算技法とその経済・ファイナンス分析への応用」
- Place of Presentation
  下関市立大学唐戸サテライトキャンパス(山口県)
- Year and Date
  2011-11-19
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Generalized extreme value distribvition with time-dependence using the AR and MA models in state space form2011
- Author(s)
  中島上智・国浜剛・大森裕浩・Sylvia Fruwirth-Schnatter
- Organizer
  International Workshop on Applied Bayesi an Statistics and Econometrics
- Place of Presentation
  京都私学会館
- Year and Date
  2011-02-01
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Duopoly in the Japanese Airline Market : Bayesian Estimation for the Entry Game2011
- Author(s)
  菅原慎矢・大森裕浩
- Organizer
  日本経済学会2011年度春季大会
- Place of Presentation
  熊本学園大学(熊本)
- Year and Date
  2011-05-21
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Matrix Exponential Stochastic Volatility Model with Leverage Effects2011
- Author(s)
  石原庸博・大森裕浩・浅井学
- Organizer
  日本経済学会2011年度春季大会
- Place of Presentation
  熊本学園大学(熊本)
- Year and Date
  2011-05-22
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility with leverage and long memory2011
- Author(s)
  城田慎一郎・比津貴行・大森裕浩
- Organizer
  5^<th> International Conference on Computational and Financial Econometrics
- Place of Presentation
  Senate House, University of London, UK
- Year and Date
  2011-12-19
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] A Bayesian estimation of the residential gas demand on the nonconvex budget set2010
- Author(s)
  宮脇幸治・大森裕浩・日引聡
- Organizer
  International Workshop on Bayesian Econometrics and Statistics
- Place of Presentation
  東京大学,山上会館
- Year and Date
  2010-02-04
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Stochastic volatility model with asymmetric heavy-tailed error using GH skew Student's t distribution2010
- Author(s)
  中島上智・大森裕浩
- Organizer
  International Workshop on Bayesian Econometrics and Statistics
- Place of Presentation
  東京大学,山上会館
- Year and Date
  2010-02-05
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian estimation of entry games with multiple players and multiple equilibria2010
- Author(s)
  大西裕子・大森裕浩
- Organizer
  統計関連学会連合大会
- Place of Presentation
  早稲田大学
- Year and Date
  2010-09-06
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Generalized extreme value distribution with time-dependence using the AR and MA models in state space form2010
- Author(s)
  中島上智・国浜剛・大森裕浩・Sylvia Fruwirth-Schnatter
- Organizer
  Seminar at Institute of Economics, Academia Sinica, Taiwan
- Place of Presentation
  Institute of Economics, Academia Sinica, Taiwan
- Year and Date
  2010-08-03
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Stochastic volatility model with asymmetric heavy-tailed error using GH skew Student's t distribution2010
- Author(s)
  中島上智・大森裕浩
- Organizer
  Seminar at Department of Statistics, Feng Chia University
- Place of Presentation
  Feng Chia University, Taiwan
- Year and Date
  2010-08-02
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] 討論:『Can disaggregated indicators identify governance reform priorities?2010
- Author(s)
  大森裕浩
- Organizer
  日本経済学会秋季大会
- Place of Presentation
  関西学院大学
- Year and Date
  2010-09-19
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria2010
- Author(s)
  大西裕子・大森裕浩
- Organizer
  International Workshop on Bayesian Econometrics and Statistics
- Place of Presentation
  東京大学,山上会館
- Year and Date
  2010-02-05
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Refining the incoherency problem via compatibility with applications to entry game and discrete peer effect models2010
- Author(s)
  菅原慎矢・大森裕浩
- Organizer
  International Workshop on Bayesian Econometrics and Statistics
- Place of Presentation
  東京大学,山上会館
- Year and Date
  2010-02-05
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] 交差レバレッジ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推定2010
- Author(s)
  石原庸博・大森裕浩
- Organizer
  統計関連学会連合大会
- Place of Presentation
  早稲田大学
- Year and Date
  2010-09-08
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Refining the Incoherency Problem via Compatibility2010
- Author(s)
  菅原慎矢・大森裕浩
- Organizer
  統計関連学会連合大会
- Place of Presentation
  早稲田大学
- Year and Date
  2010-09-07
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] A Bayesian Analysis of the Residential Gas Demand on the Nonconvex Budget Set2010
- Author(s)
  宮脇幸治・大森裕浩・日引聡
- Organizer
  統計関連学会連合大会
- Place of Presentation
  早稲田大学
- Year and Date
  2010-09-07
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage2010
- Author(s)
  石原庸博・大森裕浩
- Organizer
  International Workshop on Bayesian Econometrics and Statistics
- Place of Presentation
  東京大学,山上会館
- Year and Date
  2010-02-05
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] A Bayesian estimation of the residential gas demand on the nonconvex budget set2010
- Author(s)
  宮脇幸治・大森裕浩・日引聡
- Organizer
  10^<th> World Meeting of the International Society of Bayesian Analysis
- Place of Presentation
  Benidorm, Spain
- Year and Date
  2010-06-05
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage2010
- Author(s)
  石原庸博・大森裕浩
- Organizer
  第12回ノンパラメトリック統計解析とベイズ統計
- Place of Presentation
  慶応大学
- Year and Date
  2010-03-30
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian analysis of max-stable processes with application to high frequency stock returns2010
- Author(s)
  国浜剛・大森裕浩
- Organizer
  International Workshop on Bayesian Econometrics and Statistics
- Place of Presentation
  東京大学,山上会館
- Year and Date
  2010-02-05
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Efficient "Bayesian estimation of a multivariate stochastic volatility model with cross leverage2010
- Author(s)
  Tsunehiro Ishihara, Yasuhiro Omori
- Organizer
  COMPSTAT2010 (19th International Conference on Computational Statistics)
- Place of Presentation
  Conservatoire National des Arts et Métiers, Paris, France
- Year and Date
  2010-08-25
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Generalized extreme value distribution with time-dependence using the AR and MA models in state space form2010
- Author(s)
  中島上智・国浜剛・大森裕浩・Sylvia Fruwirth-Schnatter
- Organizer
  4^<th> International Conference on Computational and Financial Econometrics
- Place of Presentation
  Senate House, University of London, UK
- Year and Date
  2010-12-12
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage2010
- Author(s)
  石原庸博・大森裕浩
- Organizer
  COMPSTAT2010 (19th International Conference on Computational Statistics)
- Place of Presentation
  Conservatoire National des Arts et Metiers, Paris, France
- Year and Date
  2010-08-25
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian Analysis of Max-stable Processes with Application to High Frequency Stock Returns2009
- Author(s)
  国浜剛, 大森裕浩
- Organizer
  ファイナンスと計量経済学の最近の発展(Recent Developments in Finance and Econometrics)
- Place of Presentation
  琉球大学
- Year and Date
  2009-02-15
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Generalized Extreme Value Distribution with Time-dependence using the Auto- regressive Model in State Space Form2009
- Author(s)
  中島上智, 国浜剛, 大森裕浩
- Organizer
  ファイナンスと計量経済学の最近の発展(Recent Developments in Finance and Econometrics)
- Place of Presentation
  琉球大学
- Year and Date
  2009-02-14
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Estimating Inefficiency in Online Auctions2009
- Author(s)
  廣瀬要輔・大森裕浩
- Organizer
  統計関連学会連合大会
- Place of Presentation
  同志社大学
- Year and Date
  2009-09-08
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian analysis of max-stable processes with application to high frequency stock returns2009
- Author(s)
  Kunihama, T., Omori, Y.
- Organizer
  International Conference on Econometrics and the World Economy
- Place of Presentation
  Fukuoka University
- Year and Date
  2009-03-23
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] Bayesian Estimation of Demand Functions under Block Rate Pricing2009
- Author(s)
  宮脇幸治・大森裕浩・日引聡
- Organizer
  現代経済学研究会・応用統計計量ワークショップ
- Place of Presentation
  東北大学
- Year and Date
  2009-06-25
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] 討論:『Specification Testing in Dynamic Factor models』(千葉賢)2009
- Author(s)
  大森裕浩
- Organizer
  日本経済学会春季大会
- Place of Presentation
  京都大学
- Year and Date
  2009-06-07
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria2009
- Author(s)
  大西裕子・大森裕浩
- Organizer
  グローバルCOE Hi-Stat経済統計若手研究会・科学研究費基盤研究(A)「金融リスクと経済行動のベイズ計量経済分析」
- Place of Presentation
  一橋大学
- Year and Date
  2009-09-15
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] max-stable processのベイズ分析と高頻度株価収益率データへの応用2009
- Author(s)
  国浜剛・大森裕浩
- Organizer
  グローバルCOE Hi-Stat経済統計若手研究会・科学研究費基盤研究(A)「金融リスクと経済行動のベイズ計量経済分析」
- Place of Presentation
  一橋大学
- Year and Date
  2009-09-15
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Generalized Extreme Value Distribution With Time-Dependence Using the ARMA Model in State Space Form2009
- Author(s)
  Jouchi Nakajima, Tsuyoshi Kunihama and Yasuhiro Omori
- Organizer
  The Annual International Symposium on Forecasting
- Place of Presentation
  Sheraton Hong Kong Hotel and Towers Kowloon, 香港
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] 時変分位点のベイズ解析2009
- Author(s)
  黒瀬雄大・大森裕浩
- Organizer
  グローバルCOE Hi-Stat経済統計若手研究会・科学研究費基盤研究(A)「金融リスクと経済行動のベイズ計量経済分析」
- Place of Presentation
  一橋大学
- Year and Date
  2009-09-15
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] A Bayesian estimation of the residential gas demand function with nonlinear indirect utility2009
- Author(s)
  宮脇幸治・大森裕浩・日引聡
- Organizer
  統計関連学会連合大会
- Place of Presentation
  同志社大学
- Year and Date
  2009-09-08
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] 時変分位点のベイズ解析2009
- Author(s)
  黒瀬雄大・大森裕浩
- Organizer
  統計関連学会連合大会
- Place of Presentation
  同志社大学
- Year and Date
  2009-09-07
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Estimating Inefficiency in Online Auctions2009
- Author(s)
  廣瀬要輔・大森裕浩
- Organizer
  グローバルCOE Hi-Stat経済統計若手研究会・科学研究費基盤研究(A)「金融リスクと経済行動のベイズ計量経済分析」
- Place of Presentation
  一橋大学
- Year and Date
  2009-09-15
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Max-stable processのベイズ分析と高頻度株価収益率データへの応用2009
- Author(s)
  國濱剛, 大森裕浩
- Organizer
  統計関連学会連合大会
- Place of Presentation
  同志社大学(京都府)
- Year and Date
  2009-09-07
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] Bayesian Analysis of Max-stable Processes with Application to High Freaucncy Stock Returns2009
- Author(s)
  国浜剛, 大森裕浩
- Organizer
  ファイナンスと計量経済学の最近の発展(Recent Developments in Finance and Econometries)
- Place of Presentation
  琉球大学
- Year and Date
  2009-02-15
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Bayesian Analysis of Max-stable Processes with Application to High Frequency Stock Returns2009
- Author(s)
  国浜剛, 大森裕浩
- Organizer
  Internalional Conference on Econometrics and the World Economy
- Place of Presentation
  福岡大学
- Year and Date
  2009-03-23
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] A Bayesian estimation of the residential gas demand function with nonlinear indirect utility2009
- Author(s)
  宮脇幸治・大森裕浩・日引聡
- Organizer
  グローバルCOE Hi-Stat経済統計若手研究会・科学研究費基盤研究(A)「金融リスクと経済行動のベイズ計量経済分析」
- Place of Presentation
  一橋大学
- Year and Date
  2009-09-15
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] 非対称行列指数確率的ボラティリティ変動モデルのベイズ推定2009
- Author(s)
  石原庸博・大森裕浩
- Organizer
  統計関連学会連合大会
- Place of Presentation
  同志社大学
- Year and Date
  2009-09-08
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Stochastic volatility model with asymmetric heavy-tailed error using GH skew Student's t distribution2009
- Author(s)
  中島上智・大森裕浩
- Organizer
  3rd International Conference on Computational and Financial Econometrics
- Place of Presentation
  Limassol, Cyprus
- Year and Date
  2009-10-30
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian Estimation of Entry Games with Multiple Player and Multiple Equilibria2009
- Author(s)
  大西裕子, 大森裕浩
- Organizer
  統計関連学会連合大会
- Place of Presentation
  同志社大学(京都府)
- Year and Date
  2009-09-08
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] Bayesian Estimation of Demand Functions under Block Rate Pricing2009
- Author(s)
  宮脇幸治・大森裕浩・日引聡
- Organizer
  ARISH-UNPRI Economics Workshop
- Place of Presentation
  日本大学人口研究所
- Year and Date
  2009-04-09
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian Estimation of Entry Games with Multiple Players and Multiple Equilibria2009
- Author(s)
  大西裕子・大森裕浩
- Organizer
  統計関連学会連合大会
- Place of Presentation
  同志社大学
- Year and Date
  2009-09-08
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Generalized Extreme Value Distribution With Time-Dependence Using the ARMA Model in State Space Form2009
- Author(s)
  Jouchi Nakajima, Tsuyoshi Kunihama, Tasuhiro Omori
- Organizer
  Invited Session at The Annual International Symposium on Forecast
- Place of Presentation
  Sheraton Hong Kong Hotel and Towers Kowloon, Hong Kong,香港,中国
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Generalized Extreme Value Distribution With Time-Dependence Using the ARMA Model in State Space Form2009
- Author(s)
  中島上智・国浜剛・大森裕浩
- Organizer
  JEuBES 2009-4th Japanese-European Bayesian Econometrics and Statistics Meeting
- Place of Presentation
  University of Pompeu Fabre, Barcelona, Spain
- Year and Date
  2009-08-23
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] 時変分位点のベイズ解析2009
- Author(s)
  黒瀬雄大, 大森裕浩
- Organizer
  統計関連学会連合大会
- Place of Presentation
  同志社大学(京都府)
- Year and Date
  2009-09-07
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] 非対称行列指数確率的ボラティリティ変動モデルのベイズ推定2009
- Author(s)
  石原庸博・大森裕浩
- Organizer
  グローバルCOE Hi-Stat経済統計若手研究会・科学研究費基盤研究(A)「金融リスクと経済行動のベイズ計量経済分析」
- Place of Presentation
  一橋大学
- Year and Date
  2009-09-15
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Multivariate Stochastic Volatility with Cross Leverage2009
- Author(s)
  Yasuhiro Omori, Tsunehiro Ishihara
- Organizer
  Invited Seminar at Department of Information Systems, Business Statistics and Operations Management School of Business and Management
- Place of Presentation
  Hong Kong University of Science and Technology,香港,中国
- Year and Date
  2009-06-19
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Max-stable process のベイズ分析と高頻度株価収益率データへの応用2009
- Author(s)
  國浜剛, 大森裕浩
- Organizer
  統計関連学会連合大会
- Place of Presentation
  同志社大学(京都府)
- Year and Date
  2009-09-07
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] Multivariate Stochastic Volatility model with cross leverage2009
- Author(s)
  大森裕浩
- Organizer
  経和会記念財団H21年度助成プロジェクト「応用統計計量ワークショップ」
- Place of Presentation
  東北大学
- Year and Date
  2009-11-19
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] max-stable processのベイズ分析と高頻度株価収益率データへの応用2009
- Author(s)
  国浜剛・大森裕浩
- Organizer
  統計関連学会連合大会
- Place of Presentation
  同志社大学
- Year and Date
  2009-09-07
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] 討論:『Selection of two time scales for realized volatility with dependent microstructure effect』(大屋幸輔)2009
- Author(s)
  大森裕浩
- Organizer
  日本経済学会春季大会
- Place of Presentation
  京都大学
- Year and Date
  2009-06-07
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Multivariate Stochastic Volatility Models with Factors, Leverage Effects, and Student's t-distributions2009
- Author(s)
  石原康博, 大森裕浩
- Organizer
  ファイナンスと計量経済学の最近の発展(Recent Developments in Finance and Econometrics)
- Place of Presentation
  琉球大学
- Year and Date
  2009-02-15
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Generalized extreme value distribution with time-dependence using the AR and MA models in state space form2009
- Author(s)
  中島上智・国浜剛・大森裕浩
- Organizer
  共同研究集会「極値理論」
- Place of Presentation
  統計数理研究所
- Year and Date
  2009-12-11
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Estimating Inefficiency in Online Auctions2009
- Author(s)
  広瀬要輔, 大森裕浩
- Organizer
  統計関連学会連合大会
- Place of Presentation
  同志社大学(京都府)
- Year and Date
  2009-09-08
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] Bayesian Analysis of Max-stable Processes with Application to High Frequency Stock Returns2009
- Author(s)
  国浜剛, 大森裕浩
- Organizer
  Bayesian Analysis of Max-stable Processes with Application to High Frequency Stock Returns
- Place of Presentation
  福岡大学
- Year and Date
  2009-03-23
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Bayesian analysis of stochastic volatility models2009
- Author(s)
  Yasuhiro Omori
- Organizer
  Invited seminar at Department of Statistics, Sookmyung Women's University
- Place of Presentation
  Seoul, Korea
- Year and Date
  2009-12-10
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Generalized Extreme Value Distribution with Time-dpendeence using the Autoregressive Model in State Space Form2009
- Author(s)
  中島上智, 国浜剛, 大森裕浩
- Organizer
  「ファイナンスと計量経済学の最近の発展(Recent Developments in Finance and Econometrics)
- Place of Presentation
  琉球大学
- Year and Date
  2009-02-14
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Generalized Extreme Value Distribution With Time-Dependence Using the ARMA Model in State Space Form2009
- Author(s)
  中島上智・国浜剛・大森裕浩
- Organizer
  グローバルCOE Hi-Stat経済統計若手研究会・科学研究費基盤研究(A)「金融リスクと経済行動のベイズ計量経済分析」
- Place of Presentation
  一橋大学
- Year and Date
  2009-09-15
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Gene-ralized Extreme Value Distribution with Time-dependence using the Auto- regressive Model in State Space Form2008
- Author(s)
  中島上智, 国浜剛, 大森裕浩
- Organizer
  International Conference "High-Frequency Data Analysis in Financial Markets
- Place of Presentation
  一橋大学
- Year and Date
  2008-10-25
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Block sampler for univariate and multivariate asymmetric stcchastic volatility models2008
- Author(s)
  大森裕浩
- Organizer
  Econometrics Seminar at Center for Operations Research and Econometrics
- Place of Presentation
  The Uhiversite Catholiquede Louvain, Belgium
- Year and Date
  2008-03-19
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] マイクロデータを用いた水道需要の分析2008
- Author(s)
  宮脇幸治, 大森裕浩, 日引聡
- Organizer
  2008年度統計関連学会連合大会
- Place of Presentation
  慶應義塾大学
- Year and Date
  2008-09-08
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] 多変量非対称確率的ボラティリティ変動モデルのベイズ推定2008
- Author(s)
  石原庸博, 大森裕浩
- Organizer
  日本統計学会
- Place of Presentation
  慶應義塾大学
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Tobit model with covariate dependent thresholds2008
- Author(s)
  Miyawaki, Y., Omori, Y.
- Organizer
  JEuBES 2008
- Place of Presentation
  University of Brescia, Italy
- Year and Date
  2008-08-26
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] Generalized extreme value distribution with time-dependency using the autoregressive model in state space form2008
- Author(s)
  Nakajima, J., Kunihama, T., Omori, Y.
- Organizer
  International Conference, High-Frequency Data Analysis in Financial Markets
- Place of Presentation
  Hitotsubashi University
- Year and Date
  2008-10-25
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2008
- Author(s)
  高橋慎, 大森裕浩, 渡部敏明
- Organizer
  複雑現象のモデル化と統計理論的発展
- Place of Presentation
  金沢大学
- Year and Date
  2008-03-02
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Duality-based Bayesian analysis of residential gas demand under decreasing block rate pricing (Poster session)2008
- Author(s)
  Miyawaki, Y., Omori, Y.
- Organizer
  ISBA 2008
- Place of Presentation
  Hamilton Island, Australia
- Year and Date
  2008-07-21
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] Generalized Extreme Value Distribution with Time-dependence using the Autoregressive Model in State Space Form2008
- Author(s)
  中島上智, 国浜剛, 大森裕浩
- Organizer
  International Conference "High-Frequency Data Analysis in Financial Markets"
- Place of Presentation
  一橋大学
- Year and Date
  2008-10-25
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] 多変量非対称確率的ボラティリティ変動モデルのベイズ推定2008
- Author(s)
  石原庸博, 大森裕浩
- Organizer
  2008年度統計関連学会連合大会
- Place of Presentation
  慶應義塾大学
- Year and Date
  2008-09-09
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2008
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  複雑現象のモデル化と統計理論的発展
- Place of Presentation
  金沢大学ザテライトプラザ
- Year and Date
  2008-03-19
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Tobit model with covariate dependent threshold2008
- Author(s)
  Miyawaki, Y., Omori, Y.
- Organizer
  CFE 2008
- Place of Presentation
  University of Neuchatel, Switzerland
- Year and Date
  2008-06-20
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] Block Sampler for Univariale and Multivariate Asymmetric Stochastic Volatility Models2008
- Author(s)
  大森裕浩
- Organizer
  Conference on Statistics-Theory and Practice
- Place of Presentation
  Universily of Wisconsin-Madison
- Year and Date
  2008-05-31
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] マイクロデータを用いた水道需要の分析2008
- Author(s)
  宮脇幸治, 大森裕浩, 日引聡
- Organizer
  統計関連学会連合大会
- Place of Presentation
  慶應義塾大学(神奈川県)
- Year and Date
  2008-09-08
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] Block sampler for univariate and multivariate asymmetric stochastic volatility models2008
- Author(s)
  大森裕浩
- Organizer
  Econometrics Seminar at Center for Operations Research and Econometrics
- Place of Presentation
  The Universite Catholiquede Louvain, Belgium
- Year and Date
  2008-03-19
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] TOPIX収益率のマルコフスイッチング確率的ポ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2008
- Author(s)
  石原庸博・大森裕浩
- Organizer
  研究集会「第10回ノンパラメトリック統計解析とその周辺」-ベイズ統計とモデル選択-
- Place of Presentation
  慶応大学三田キャンパス
- Year and Date
  2008-03-27
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Asymmetric Markov Switching Stochastic Volatility Model with Realized Volatility2008
- Author(s)
  石原庸博, 大森裕浩
- Organizer
  Joint Meeting of 4^<th> World Conference of the IASA and 6^<th> Conference of the Asian Regional Section of the IASC on Computational Statistics & Data Analysis, International Statistical Computing
- Place of Presentation
  パシフィコ横浜
- Year and Date
  2008-12-08
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] TOPIX収益率のマルコフスイッチング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2008
- Author(s)
  石原庸博・大森裕浩
- Organizer
  研究集会「第10回ノンパラメトリック統計解析とその周辺」-ベイズ統計とモデル選択-
- Place of Presentation
  慶応大学三田キャンパス
- Year and Date
  2008-03-27
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] TOPIX収益率のマルコフスイッチング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2008
- Author(s)
  石原庸博・大森裕
- Organizer
  複雑現象のモデル化と統計理論的発展
- Place of Presentation
  金沢大学サテライトプラザ
- Year and Date
  2008-03-02
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2008
- Author(s)
  Takahashi, M., Omori, Y., Watanabe, T.
- Organizer
  Modeling complex phenomena and developments in statistical theory
- Place of Presentation
  Kanazawa University
- Year and Date
  2008-03-02
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Block sampler for univariate and multivariate asymmetric stochastic volatility models2008
- Author(s)
  Omori, Y.
- Organizer
  Econometrics Semminar at Center for Operations Research and Econometrics
- Place of Presentation
  The Universite Catholiquede Louvain, Belgium
- Year and Date
  2008-03-19
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Asymmetric Markov switching stochastic volatility model with realized volatility2008
- Author(s)
  Ishihara, T., Omori, Y.
- Organizer
  IASC 2008
- Place of Presentation
  PACIFICO Yokohama
- Year and Date
  2008-12-08
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] TOPIX収益率のマルコフスイッチング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2008
- Author(s)
  石原庸博・大森裕浩
- Organizer
  「複雑現象のモデル化と統計運論的発展」
- Place of Presentation
  金沢大学サテライトプラザ
- Year and Date
  2008-03-02
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2008
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  「複雑現象のモデル化と統計運論的発展」
- Place of Presentation
  金沢大学サテライトプラザ
- Year and Date
  2008-03-02
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Markov switching asymmetric stochastic volatility model with application to TOPIX returns a permutation sampler approach2008
- Author(s)
  Ishihara, T., Omori, Y.
- Organizer
  Modeling complex phenomena and developments in statistical theory
- Place of Presentation
  Kanazawa University
- Year and Date
  2008-03-02
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  Takahashi, M., Omori, Y., Watanabe, T.
- Organizer
  JEuBES 2007-2nd Japanese-European Bayesian Econometrics and Statistics Meeting
- Place of Presentation
  The National Bank of Hungary, Budapest
- Year and Date
  2007-08-27
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Markov switching asymmetric stochastic volatility model with application to TOPIX retrns a permutation sampler approach2007
- Author(s)
  Ishihara, T., Omori, Y.
- Organizer
  The 10th Conference on Nonparametric Statistical Analysis and its Related Field-Bayesian Statistics and Model selection
- Place of Presentation
  Keio University
- Year and Date
  2007-05-27
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Bayesian analysis for jumps, leverage and heavy-tails in stochastic volatility and EGARCH models2007
- Author(s)
  Yasuhiro Omori
- Organizer
  International Workshop on Computational and Financial Econometrics
- Place of Presentation
  University of Geneva
- Year and Date
  2007-04-21
- Data Source
  KAKENHI-PROJECT-18303901
[Presentation] Duality Based Analysis of Japanese Residential Gas Demand2007
- Author(s)
  Miyawaki, K., Omori, Y.
- Organizer
  2007 Annual Meeting of Japanese Federation of Statistical Science Association
- Place of Presentation
  Kobe University
- Year and Date
  2007-09-06
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating stochastic volatility models using daily returns and realized volatility simultaneously2007
- Author(s)
  高橋慎, 大森裕浩, 渡部敏明
- Organizer
  統計関連学会連合大会
- Place of Presentation
  神戸大学(兵庫県)
- Year and Date
  2007-09-07
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] Duality Based Analysis of Residential Gas Demand under Decreasing Block Rate Pricing2007
- Author(s)
  宮脇幸治, 大森裕浩
- Organizer
  2007年度統計関連学会連合大会
- Place of Presentation
  神戸大学
- Year and Date
  2007-09-07
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] Leverage,heavy-tails and correlated jumps in stochastic volatility model2007
- Author(s)
  中島上智・大森裕浩
- Organizer
  International Workshop on Computational and Financial Econometrics
- Place of Presentation
  Department of Econometrics,University of Geneva,Switzerland
- Year and Date
  2007-04-21
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Duality Based Analysis of Japanese Residential Gas Demand2007
- Author(s)
  宮脇幸治・大森裕浩
- Organizer
  2007年度統計関連学会連合大会
- Place of Presentation
  神戸大学
- Year and Date
  2007-09-06
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  International Workshop on Computational and Financial Econometrics
- Place of Presentation
  Department of Econometrics, University of Geneva,Switzerland
- Year and Date
  2007-04-21
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Leverage, heavy-tails and correlated jumps in stochastic volatility models2007
- Author(s)
  中島上智・大森裕浩
- Organizer
  International Workshop on Computational and Financial Econometrics
- Place of Presentation
  Department of Econometrics, University of Geneva, Switzerland
- Year and Date
  2007-04-21
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  Takahashi, M., Omori, Y., Watanabe, T.
- Organizer
  Annual Meeting of Japanese Federation of Statistical Science Association
- Place of Presentation
  Kobe University
- Year and Date
  2007-09-06
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Duality Based Analysis of Japanese Residential Gas Demand2007
- Author(s)
  Miyawaki, K., Omori, Y.
- Organizer
  2007 Japanese Economic Association Spring meeting
- Place of Presentation
  Osaka Gakuin University
- Year and Date
  2007-06-03
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  International Workshop on Computational and Financial Econometrics
- Place of Presentation
  Department of Econometrics,University of Geneva,Switzerland
- Year and Date
  2007-04-21
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  2007年度統計関連学会連合大会
- Place of Presentation
  2007年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-18203013
[Presentation] Leverage,heavy-tails and correlated jumps in stochastic volatility models2007
- Author(s)
  中島上智・大森裕浩
- Organizer
  International Workshop on Computational and Financial Econometrics
- Place of Presentation
  Geneva,Switzerland
- Year and Date
  2007-04-21
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] Duality Based Analysis of Japanese Residential Gas Demand2007
- Author(s)
  宮脇幸治・大森裕浩
- Organizer
  日本経済学会春季大会
- Place of Presentation
  大阪学院大学
- Year and Date
  2007-06-03
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  2007年度統計関連学会連合大会
- Place of Presentation
  神戸大学
- Year and Date
  2007-09-06
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  Takahashi, M., Omori, Y., Watanabe, T.
- Organizer
  International Workshop on Computaional and Financial Econometrics
- Place of Presentation
  Department of Econometrics, University of Geneva, Switzerland
- Year and Date
  2007-04-21
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Discussion : "Posterior Analysis of Mergers between Cities, Towns and Villages in Japan" by Kakamu, K. and Kozumi, H.2007
- Author(s)
  Omori, Y.
- Organizer
  FCS Conference on Recent Developments in Econometrics
- Place of Presentation
  Department of Economics, Shimonoseki City University
- Year and Date
  2007-02-11
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Leverage,hevy-tails and correlated jgmps in stochastic volatility models2007
- Author(s)
  中島(上智大学)・大森裕浩(共著)
- Organizer
  International Workshop on Computational and Financial Econometrics
- Place of Presentation
  University of Geneva, Switzerland
- Data Source
  KAKENHI-PROJECT-18203013
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  International Workshop on Computational and Financial Econometrics
- Place of Presentation
  Geneva,Switzerland
- Year and Date
  2007-04-21
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  高橋慎, 大森裕浩, 渡部敏明
- Organizer
  2007年度統計関連学会連合大会
- Place of Presentation
  神戸大学
- Year and Date
  2007-09-07
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] Appication of Bayesian Statistics and MCMC2007
- Author(s)
  Omori, Y.
- Organizer
  Seminar at Japan Association of Risk, Insurance and Pension
- Place of Presentation
  Tokyo Marine Nichido, Otenachi
- Year and Date
  2007-11-30
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Censored Regression with Covariate Dependent Threshold and Sample Selection Model2007
- Author(s)
  Omori, Y.
- Organizer
  International Workshop on Bayesian Statistic and Applied Econometrics
- Place of Presentation
  Tohoku University
- Year and Date
  2007-11-01
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  JEuBES2007-2nd Japanese-European Bayesian Econometrics and Statistics Meeting
- Place of Presentation
  The National Bank of Hulngary,Budapest
- Year and Date
  2007-08-27
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] 討論: "Posterior Analysis of Mergers between Cities, Towns and Villages in Japan" by Kakamu, K. and Kozumi, H.2007
- Author(s)
  大森裕浩
- Organizer
  FCSコンファレンス「計量経済学の最近の展開」
- Place of Presentation
  下関市立大学経済学部
- Year and Date
  2007-02-11
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  高橋慎, 大森裕浩, 渡部敏明
- Organizer
  2007年度統計関連学会連合大会
- Place of Presentation
  神戸大学
- Year and Date
  2007-09-07
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Bayesian Estimation of Demand Functions under Block Rate Pricing2007
- Author(s)
  Miyawaki, K., Omori, Y., Hibiki, A.
- Organizer
  International Workshop on Bayesian Statistic and Applied Econometrics
- Place of Presentation
  Tohoku University
- Year and Date
  2007-11-01
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  JEuBES 2007-2nd Japanese-European Bayesian Econometrics and Statistics Meetine
- Place of Presentation
  The National Bank of Hungary, Budapest
- Year and Date
  2007-08-27
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Leverage, heavy-tails and correlated jumps in stochastic volatility models2007
- Author(s)
  中島( 上智大学)・大森裕浩
- Organizer
  International Workshop on Computational and Financial Econometrics
- Place of Presentation
  University of Geneva, Switzerland
- Data Source
  KAKENHI-PROJECT-18203013
[Presentation] Bayesian analysis for jumps, 1everage and heavy-tails in stochastic volatility and EGARCH models2007
- Author(s)
  Yasuhiro Omori
- Organizer
  International Workshop on Computational and Financial Econometrics
- Place of Presentation
  University of Geneva
- Year and Date
  2007-04-21
- Data Source
  KAKENHI-PROJECT-16203014
[Presentation] Duality Based Analysis of Japanese Residential Gas Demand2007
- Author(s)
  宮脇幸治・大森裕浩
- Organizer
  2007年度日本経済学会春季大会
- Place of Presentation
  大阪学院大学
- Year and Date
  2007-06-03
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  JEuBES2007-2nd Japanese-European Bayesian Econometrics and Statistics Meeting
- Place of Presentation
  Budapest,Hungary
- Year and Date
  2007-08-27
- Data Source
  KAKENHI-PROJECT-19300098
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  高橋慎, 大森裕浩, 渡部敏明
- Organizer
  International Workshop on Computational and Financial Econometrics
- Place of Presentation
  University of Geneva
- Year and Date
  2007-04-21
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Bayesian Estimation of Demand Functions under Block Rate Pricing2006
- Author(s)
  宮脇幸治・大森裕浩・日引聡
- Organizer
  国際ワークショップ「International Workshop on Bayesian Statistic and Applied Econometrics」
- Place of Presentation
  東北大学大学院研究科
- Year and Date
  2006-11-01
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Stochastic Vblatility with Leverage: Fast Likelihood Inference2006
- Author(s)
  大森裕浩・Siddartha Chib-Neil Shephard・中島上智
- Organizer
  2006年度日本経済学会春季大会
- Place of Presentation
  福島大学
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] ブロック料金制を考慮した水道需要関数の推定2006
- Author(s)
  宮脇幸治・大森裕浩・日引聡
- Organizer
  2006年度統計関連学会連合大会
- Place of Presentation
  東北大学川内キャンパス
- Year and Date
  2006-09-07
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Bayesian Estimation of Demand Functions under Block Rate Pricing2006
- Author(s)
  Miyawaki, K., Omori, Y., Hibiki, A.
- Organizer
  Annual Meeting of Japanese Federation of Statistical Science Association
- Place of Presentation
  Tohoku University
- Year and Date
  2006-09-07
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Introduction to Bayesian Approach (MCMC) and its application to Statistical Science2006
- Author(s)
  Omori, Y.
- Organizer
  Seminar at Japanese Real Estate Financial Engineering
- Place of Presentation
  Mitsubishi Building
- Year and Date
  2006-08-17
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] 討論: Bayesian Seemingly Unrelated Regression in Spatial Regional Model: Economics of Agglomeration in Japan during 1991-20002006
- Author(s)
  大森裕浩
- Organizer
  2006年度秋季日本経済学会
- Place of Presentation
  大阪市立大学
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Bayesian analysis for jumps, leverage and heavy-tails in stochastic volatility, GARCH and EGARCH models2006
- Author(s)
  中島上智・大森裕浩
- Organizer
  日本統計学会75周年記念国際研究集会
- Place of Presentation
  東京大学
- Year and Date
  2006-09-23
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Discussion : "Bayesian Seemingly Unrelated Regression in Spatial Regional Model : Economics of Agglomeration in Japan during 1991-2000."2006
- Author(s)
  Omori, Y.
- Organizer
  2006 Japanese Economic Association Autumn meeting
- Place of Presentation
  Osaka City University
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Stochastic Volatility with Leverage : Fast Likelihood Inference2006
- Author(s)
  Omori, Y., Chib, S., Shephard, N., Nakajima, J.
- Organizer
  2006 Japanese Economic Association Spring meeting
- Place of Presentation
  Fukushima University
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Censored Regression with Covariate Dependent Threshold and Sample Selection Mode2006
- Author(s)
  大森裕浩
- Organizer
  lst Japanese-European Bayesian Econometrics and Statistics Meeting
- Place of Presentation
  Institute of Advanced Studies, Vienna, Austria
- Year and Date
  2006-08-23
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] MCMC method and its Application to Stochastic Volatility Models2006
- Author(s)
  Omori, Y., Watanabe, T.
- Organizer
  Conference in Commemoration of the 75th Anniversary of the Japan Statistical Society
- Place of Presentation
  University of Tokyo
- Year and Date
  2006-05-07
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Bayesian Estimation of Demand Functions under Block Rate Pricing2006
- Author(s)
  宮脇幸治・大森裕浩・日引聡
- Organizer
  日本統計学会75周年記念国際研究集会
- Place of Presentation
  東京大学
- Year and Date
  2006-09-23
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Bayesian Estimation of Demand Functions under Block Rate Pricing2006
- Author(s)
  Miyawaki, K., Omori, Y., Hibiki, A.
- Organizer
  International Conference in Commemoration of the 75th Anniversary of the Japan Statistical Society
- Place of Presentation
  University of Tokyo
- Year and Date
  2006-09-23
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Censored Regression with Covariate Dependent Threshold and Sample Selection Model2006
- Author(s)
  Omori, Y.
- Organizer
  1st Japanese-European Bayesian Econometrics and Statistics Meeting
- Place of Presentation
  Institute of Advanced Studies, Vienna, Austria
- Year and Date
  2006-08-23
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] -ベイズ統計の応用とMCMC-2006
- Author(s)
  大森裕浩
- Organizer
  日本保険・年金リスク学会
- Place of Presentation
  東京海上日動火災
- Year and Date
  2006-11-30
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] ベイズアプローチ(MCMC)の基礎と統計科学への応用2006
- Author(s)
  大森裕浩
- Organizer
  日本不動産金融工学会
- Place of Presentation
  三菱ビル10Fコンファランススクエア
- Year and Date
  2006-08-17
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] MCMC法とその確率的ボラティリティ変動モデルへの応用2006
- Author(s)
  大森裕浩・渡部敏明
- Organizer
  日本統計学会75周年記念研究集会
- Place of Presentation
  東京大学
- Year and Date
  2006-05-07
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Censored Regression with Covariate Dependent Threshold and Sample Selection Model2006
- Author(s)
  Yasuhiro, Omori
- Organizer
  International Workshop on Bayesian Statistics and Applied Econometrics
- Place of Presentation
  Tohoku University
- Year and Date
  2006-11-01
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16203014
[Presentation] Censored Regression with Covariate Dependent Threshold and Sample Selection Model2006
- Author(s)
  Yasuhiro Omori
- Organizer
  International Workshop on Bayesian Statistics and Applied Econometrics
- Place of Presentation
  東北大学
- Year and Date
  2006-11-01
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16203014
[Presentation] Censored Regression with Covariate Dependent Threshold and Sample Selection Model2006
- Author(s)
  大森裕浩
- Organizer
  国際ワークショップ「International Workshop on Bayesian Statistic and Applied Econometrics」
- Place of Presentation
  東北大学大学院研究科
- Year and Date
  2006-11-01
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Bayesian analysis for jumps, leverage and heavy-tails in stochastic volatility, GARCH and EGARCH models2006
- Author(s)
  Nakajima, J., Omori, Y.
- Organizer
  International Conference in Commemoration of the 75th Anniversary of the Japan Statistical Society
- Place of Presentation
  University of Tokyo
- Year and Date
  2006-09-23
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Portfolio Optimization using Dynamic Factor and Stochastic Volatility: Evidence on Fat-tailed Error and Leverage
- Author(s)
  Tsunehiro Ishihara, Yasuhiro Omori, and, Siddhartha Chib
- Organizer
  国際ベイズ分析学会世界大会（ISBA2014 world meeting）
- Place of Presentation
  Cancun center、カンクン、メキシコ
- Year and Date
  2014-07-14 – 2014-07-18
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Multivariate realized stochastic volatility model with leverage
- Author(s)
  石原庸博・大森裕浩
- Organizer
  研究集会「計量経済学の最近の展開」
- Place of Presentation
  長崎県立大学、長崎県
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility model with GH skewedt distribution
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  Workshop on High-frequency Data and Financial Econometrics
- Place of Presentation
  一橋大学経済研究所、東京都
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Portfolio Optimization using Dynamic Factor and Stochastic Volatility: Evidence on Fat-tailed Error and Leverage
- Author(s)
  石原庸博・大森裕浩・Siddhartha Chib
- Organizer
  第15回ノンパラメトリック統計解析とベイズ統計
- Place of Presentation
  慶應大学、東京都
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Portfolio Optimization Using Dynamic Factor and Stochastic Volatility: Evidence on Fat-tailed Error and Leverage
- Author(s)
  石原庸博・大森裕浩・Siddhartha Chib
- Organizer
  Workshop on High-frequency Data and Financial Econometrics
- Place of Presentation
  一橋大学経済研究所、東京都
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Dynamic Equicorrelation, Realized Stochastic Volatility and Cross Leverage
- Author(s)
  黒瀬雄大・大森裕浩
- Organizer
  金融リスクの計測・管理・制御と資本市場に纏わる諸問題
- Place of Presentation
  大阪大学、大阪府
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility models with generalized hyperbolic distribution
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  International Conference “Econometrics for Macroeconomics and Finance
- Place of Presentation
  一橋大学、東京都
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] A dynamic factor stochastic volatility model with leverage effect and its application
- Author(s)
  石原庸博・大森裕浩
- Organizer
  7th International Conference on Computational and Financial Econometrics
- Place of Presentation
  Senate House, University of London, UK
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Multivariate realized stochastic volatility model with leverage
- Author(s)
  石原庸博・大森裕浩
- Organizer
  2013年度統計関連学会連合大会
- Place of Presentation
  大阪大学、大阪府
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility model with GH skewedt distribution
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  研究集会「計量経済学の最近の展開」
- Place of Presentation
  長崎県立大学、長崎県
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility model with GH skewedt distribution
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  Joint meeting of the IASC Satellite and the 8th IASC-ARS Conference
- Place of Presentation
  Yonsei University, Seoul, Korea
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility with dynamic equicorrelation and cross leverage
- Author(s)
  黒瀬雄大・大森裕浩
- Organizer
  2013年度統計関連学会連合大会
- Place of Presentation
  大阪大学、大阪府
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Dynamic Equicorrelation, Realized Stochastic Volatility and Cross Leverage
- Author(s)
  黒瀬雄大・大森裕浩
- Organizer
  Workshop on High-frequency Data and Financial Econometrics
- Place of Presentation
  一橋大学経済研究所、東京都
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility models with generalized hyperbolic distribution
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  金融リスクの計測・管理・制御と資本市場に纏わる諸問題
- Place of Presentation
  大阪大学、大阪府
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility with dynamic equicorrelation and cross leverage
- Author(s)
  黒瀬雄大・大森裕浩
- Organizer
  研究集会「計量経済学の最近の展開」
- Place of Presentation
  長崎県立大学、長崎県
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Cholesky realized stochastic volatility model
- Author(s)
  城田慎一郎・大森裕浩・Hedibert F. Lopes
- Organizer
  Workshop on High-frequency Data and Financial Econometrics
- Place of Presentation
  一橋大学経済研究所、東京都
- Data Source
  KAKENHI-PROJECT-21243018

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Omori Yasuhiro 大森 裕浩

OMORI Yasuhiro 大森 裕浩

木森 裕浩 オオモリ ヤスヒロ

大森 裕治 オオモリ ヤスヒロ

大森 裕浩 オオモリ ヤスヒロ

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New developments in nonlinear econometric models using statistical learning and their applications to risk evaluationsPrincipal Investigator

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New developments in high dimensional data modeling and statistical risk analysisPrincipal Investigator

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Bayesian modeling of multivariate economic and financial data and Probabilistic evaluation of policy and behaviorPrincipal Investigator

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Bayesian econometric analysis of financial risk and economic behaviorPrincipal Investigator

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Omori Yasuhiro 大森裕浩

OMORI Yasuhiro 大森裕浩

木森裕浩オオモリヤスヒロ

大森裕治オオモリヤスヒロ

大森裕浩オオモリヤスヒロ