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Omori Yasuhiro  大森 裕浩

ORCIDConnect your ORCID iD *help
… 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) 2020: 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 – 2019: 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 / Statistical science / Medium-sized Section 7:Economics, business administration, and related fields
Except Principal Investigator
Economic statistics / Public finance/Monetary economics / Statistical science / Statistical science / Economic statistics / Economic policy
Keywords
Principal Investigator
マルコフ連鎖モンテカルロ法 / 生存解析 / 変量効果 / ベイズ統計学 / 確率的ボラティリティ変動モデル / ボラティリティ / 高頻度データ / ベイジアン・アプローチ / 実現ボラティリティ / Realized Volatility … More / 確率的ボラティリティ / ベイズ推定 / 潜在変数 / Markov chain Monte Carlo / 持続時間 / 一様最強力不偏検定 / ランダムエフェクト / 検出力 / ランダム効果 / 分位点回帰モデル / 計量ファイナンス / 水道需要関数 / 近似ベイズ計算 / ニュースインパクト曲線 / マルコフ連鎖 / モンテカルロ法 / ベイズ分析 / 金融リスク / Stochastic Volatility / 信用リスク / ペイズ統計学 / 計量経済学 / DSGEモデル / 分位点回帰 / 極値 / ポートフォリオ最適化 / 一般化双曲非対称t分布 / マルコフスイッチング / 長期記憶性 / 確率的ボラティリティモデル / ダイナミックモデル / 非線形モデル / latent variable / Stochastic volatility model / Dynamic Model / Bayesian approach / Random effect / 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 / 確率的フロンティアモデル / マルコフ切替モデル / ボラティリティ変動モデル / カウントデータ / Bayesian Statistics / Stochastic volatility / Latent variable / Sample selection model / Endogenous switching model / Realized Volatjlity / Ultra high frequency data / 高次元データ / 統計的リスク … More
Except Principal Investigator
GARCH / マルコフ連鎖モンテカルロ法 / 超母集団モデル / 母集団一意 / 多項分布 / ディリクレ分布 / Realized Volatility / ベイズ推定 / ミクロ計量経済分析 / オプション / 高頻度データ / ARFIMA / Realized Covariance / 資産収益率 / 非同時取引 / 官庁統計 / Dirichlet distribution / 経験尤度法 / Generalized Method of Moments / Empirical Likelihood Method / Small Sample Properties / Asymptotic Expansions / マルコフ連鎖モンテカルロ / Multi-move sampler / Pisclosura Control / Microdata / Bootstrop / (1) ミクロ計量経済学 / (2) ミクロ・データ解析 / (3) 政策プログラム評価問題 / (4) セミ・パラメトリック法 / (5) パネル・データ分析 / ミクロ計量経済モデル / プログラム政策評価 / ノンパラメトリック実証分析 / 産業組織 / ミクロ金融市場 / 開発経済 / 公益産業 / パネル計量経済モデル / 長期記憶性 / 非同期取引 / マイクロストラクチャ・ノイズ / 構造変化 / Realized Vblatility / ARFINA / 長期記徳性 / 個票データ / リスク評価 / 寸法指標 / 多重寸法指標 / 秘匿措置 / 分割表 / 統計法 / 多重指標 / 表形式データ / 秘匿方法 / ベイズ統計学 / 高次元データ / ベイズ統計 / 経済統計学 / 統計数学 / Superpopulation model / Population unique / Multinomial distribution / セミパラメトリック法 / GMM法 / 小標本分布 / 漸近展開 / ノンパラメトリック法 / 計量経済モデル / 漸新展開 / 計量経済分析 / 計量ファイナンス / セミパラメトリック分析 / ノンパラメトリック分析 / 質的変量分析 / 生存時間解析 / Semiparametric Econometrics / 局所秘匿 / デイリクレ分布 / superpopulation model / population unique / multinomial distribution / local suppression / 潜在変数モデル / 時空間モデル / 階層モデル / モデル選択 / パネルデータ分析 / 状態空間モデル / マーケッティング・モデル / ダイナック・ファクター・モデル / 多変量GARCHモデル / 隠れマルコフモデル / latent variable model / spatio-temporal model / Bayes estimation / hierarchical model / Markov chain Monte Carlo Method / model selection / panel data analysis / state space model / セミ・パラメトリック法 / 一般化モーメント法 / 制限情報尤法 / 小標本・大標本理論 / 制限情報最尤法 / Micro-econometrics / Limited Information Maximum Likelihood Method / Asymptotic Theory / ボラティリティ / 確率的ボラティリティ変動モデル / 取引高 / Volatility / Stochastic Volatility Model / Markov Chain Monte Carlo / Bayesian Estimation / Option / Trading Volume / 調査の精度評価 / ローテーションサンプリング / 時系列断層 / 個別情報の秘匿 / 小地域限定 / 調査の制度評価 / Official Statistics / Accuracy Evaluation of Survey / Rotation Sampling / Time-series cross section / Confidentiality of individual information / Limited to subregion / 経済リスク / 金融リスク / 保険リスク / 希な事象 / 再起的事象 / 確率過程 / 統計学 / 稀な現象と再帰的現象 / 保険の統計学 / 高頻度金融データの統計学 / リスク尺度 / 社会・経済リスク / 統計的リスク管理 / 希な現象 / 再帰的現象 / 経済統計 / 政府統計 / 標本調査 / データの匿名化 / 人口統計 / 季節調整 / パネルデータ / 小地域統計 / パネル・データ / 匿名化 / SNA / 地域統計 / 統計の秘匿 / 人口予測 / 標本調査票 / 家計調査の改善と応用 / 国際情報交流 / マクロ計量分析 / 経済予測 / 金融政策 / 財政政策 / VAR / DSGE / 資産価格の高頻度データ / マクロ経済学 / 計量経済学 Less

  • Research Projects

    (26 results)

  • Research Products

    (576 results)

  • Co-Researchers

    (74 People)

  •  高次元データモデリングの新展開と統計的リスク分析Principal InvestigatorOngoing

    • Principal Investigator
      大森 裕浩
    • 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 DataOngoing

    • Principal Investigator
      渡部 敏明
    • 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

All 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 Other

All Journal Article Presentation Book

  • [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 : サイエンス社
    • ISBN
      4883842649
    • Data Source
      KAKENHI-PROJECT-26245028

  • [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] 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] 「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] 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] 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-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(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-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
    • Total Pages
      223
    • Publisher
      朝倉書店
    • Data Source
      KAKENHI-PROJECT-18203013

  • [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] 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] 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] 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

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-26245028

  • [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

    • DOI

      10.1016/j.ecosta.2018.03.003

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-15H01943, KAKENHI-PROJECT-17H00985, KAKENHI-PROJECT-26245028

  • [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

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-17H00985

  • [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

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-15H01943

  • [Journal Article] A discrete/continuous choice model on a nonconvex budget set2018
    • Author(s)
      Koji Miyawaki, Yasuhiro Omori and Akira Hibiki
    • Journal Title

      Econometric Reviews

      Volume: 印刷中 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] 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] Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes2017
    • Author(s)
      Jouchi Nakajima、Tsuyoshi Kunihama、Yasuhiro Omori
    • Journal Title

      Journal of Applied Statistics

      Volume: 44 Pages: 1248-1268

    • DOI

      10.1080/02664763.2016.1201796

    • Peer Reviewed
    • Data Source
      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 Pages: 63-94

    • DOI

      10.1111/jere.12114

    • Peer Reviewed / Acknowledgement Compliant
    • Data Source
      KAKENHI-PROJECT-25245035, KAKENHI-PROJECT-26245028

  • [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 Pages: 473-502

    • DOI

      10.1007/s10614-016-9594-z

    • Peer Reviewed / Open Access / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-15K17070, KAKENHI-PROJECT-15H01943, 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] Dynamic equicorrelation stochastic volatility2016
    • Author(s)
      Yuta Kurose and Yasuhiro Omori
    • Journal Title

      Computational Statistics and Data Analysis

      Volume: 100 Pages: 795-813

    • DOI

      10.1016/j.csda.2015.01.013

    • Peer Reviewed / Acknowledgement Compliant
    • Data Source
      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] Matrix exponential stochastic volatility with cross leverage2016
    • Author(s)
      Tsunehiro Ishihara, Yasuhiro Omori and Manabu Asai
    • Journal Title

      Computational Statistics and 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] "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] "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] 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 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] Bayesian estimation of entry games with multiple players and multiple equilibria2016
    • Author(s)
      Yuko Onishi and Yasuhiro Omori
    • Journal Title

      Japanese Economic Review

      Volume: 4 Pages: 418-440

    • DOI

      10.1111/jere.12108

    • Peer Reviewed / Acknowledgement Compliant / Open Access
    • Data Source
      KAKENHI-PROJECT-25245033, KAKENHI-PROJECT-25245035, KAKENHI-PROJECT-26245028

  • [Journal Article] Exact Estimation of Demand Functions under Block-Rate Pricing2016
    • Author(s)
      Koji Miyawaki, Yasuhiro Omori and Akira Hibiki
    • Journal Title

      Econometric Reviews

      Volume: 印刷中 Pages: 311-343

    • DOI

      10.1080/07474938.2013.806857

    • Peer Reviewed / Acknowledgement Compliant
    • Data Source
      KAKENHI-PROJECT-21243018, KAKENHI-PROJECT-25380325, 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] 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] 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] 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

    • Peer Reviewed / Acknowledgement Compliant
    • Data Source
      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 / Acknowledgement Compliant
    • 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 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 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 Pages: 3674-3689

    • DOI

      10.1016/j.csda.2010.07.015

    • Peer Reviewed
    • Data Source
      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] 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 Pages: 61-80

    • DOI

      10.1111/j.1467-9892.2011.00740.x

    • 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] 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 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] 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 Pages: 3241-3259

    • DOI

      10.1016/j.csda.2011.04.017

    • 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 Pages: 3690-3704

    • DOI

      10.1016/j.csda.2010.07.012

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-21243018, KAKENHI-PROJECT-22300097

  • [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] 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] 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 Rview

      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] 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] 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] 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] 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] 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] 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] 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] 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] 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)
      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] 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] 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] 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] 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] 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]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)
      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] 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] 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] 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] 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] 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] 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] 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] 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] 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 Vol.38

      Pages: 29-41

    • 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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)
      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] 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] 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)
      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., Watanabe, T.
    • Journal Title

      Computational Statistics and Data Analysis 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] 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] 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] 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 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] 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] 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] 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] 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)
      Yasuhiro Omori
    • Journal Title

      Computational Statistics & Data Analysis 52・6

      Pages: 2892-2910

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-16203014

  • [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] 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] 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)
      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 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] 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] 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] 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] 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] 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] 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] 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 model"2007
    • Author(s)
      Omori, Y.
    • Journal Title

      Statistics and Probability Letters (掲載決定)

    • 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

      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 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] 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] 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] 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] 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] 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] "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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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 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] 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] 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] 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] 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] 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] 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] 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] 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] "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] 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. 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] 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] 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] 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] 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., 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] 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
    • Journal Title

      Communications in Statistics-Theory and Methods 35

      Pages: 1757-1764

    • Data Source
      KAKENHI-PROJECT-16203014

  • [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 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] 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] 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] 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] 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] 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] 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-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] 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] 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] 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] 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] 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] 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] 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-15530221

  • [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] 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 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

    • Data Source
      KAKENHI-PROJECT-16203014

  • [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] 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

    • 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 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] 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-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] 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] 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] 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] 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] 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] 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 (Forthcoming)

    • Description
      「研究成果報告書概要(和文)」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

      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

      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 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] 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] 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] 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] 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] 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] 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] 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

      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] 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] 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

  • [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] 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] 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] 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] 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] 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] 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] 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] 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

  • [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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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)
      Yasuhiro Omori and Nao Awaya
    • Organizer
      Bayesian Computation for High-Dimensional Statistical Models
    • 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
      ベイズ計量経済分析研究集会
    • 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
      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
      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] 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] 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] 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)
      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] 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 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] 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] 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 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 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] 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] 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] 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
      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] 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] 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] 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] 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] 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 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] 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
      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] 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 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] 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-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] 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
    • Invited
    • 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-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
      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
      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 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] 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 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] 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)
      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-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
      広島大学セミナー
    • Invited
    • Data Source
      KAKENHI-PROJECT-25245035

  • [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 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] “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] 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 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] 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)
      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] 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] 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] 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 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
      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
      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] 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] 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 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-26245028

  • [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 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] 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 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)
      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 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）
    • 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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
      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] 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] 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-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-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] 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] 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] 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] 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] 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
      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] 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] 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] 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-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] 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] 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
      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（ピサ・イタリア）
    • Year and Date
      2014-12-06
    • Invited
    • Data Source
      KAKENHI-PROJECT-25245035

  • [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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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
      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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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
      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] 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 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] 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] 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] 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 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] 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] 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] 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] 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] 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] 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 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] 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] 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] 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] 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] 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] 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 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] 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] 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] 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] 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] 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] 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
      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] 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] 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] 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] 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] 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] 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] 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] 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] 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)
      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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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 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 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] 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] 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] 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] 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, 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] 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] 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
      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 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)
      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] 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] 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] 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
      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-18203901

  • [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] 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] 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
      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] 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] 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)
      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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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
      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] -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] 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] 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] 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