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Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
Nakajima, Jouchi
;
Kunihama, Tsuyoshi
;
Omori, Yasuhiro
; …
-
2009
Persistent link: https://www.econbiz.de/10003908068
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2
Panel data analysis of Japanese residential water demand using a discrete/continuous choice approach
Miyawaki, Koji
;
Omori, Yasuhiro
;
Hibiki, Akira
- In:
The Japanese economic review : the journal of the …
62
(
2011
)
3
,
pp. 365-386
Persistent link: https://www.econbiz.de/10009506854
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3
News impact curve for stochastic volatility models
Takahashi, Makoto
;
Omori, Yasuhiro
;
Watanabe, Toshiaki
- In:
Economics letters
120
(
2013
)
1
,
pp. 130-134
Persistent link: https://www.econbiz.de/10009760436
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4
News impact curve for stochastic volatility models
Takahashi, Makoto
;
Omori, Yasuhiro
;
Watanabe, Toshiaki
-
2012
Persistent link: https://www.econbiz.de/10009618591
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5
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew student's t-distribution
Nakajima, Jouchi
;
Omori, Yasuhiro
-
2010
Persistent link: https://www.econbiz.de/10003940764
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6
Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
Takahashi, Makoto
;
Watanabe, Toshiaki
;
Omori, Yasuhiro
- In:
International journal of forecasting
32
(
2016
)
2
,
pp. 437-457
Persistent link: https://www.econbiz.de/10011597142
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7
Exact estimation of demand functions under block-rate pricing
Miyawaki, Koji
;
Omori, Yasuhiro
;
Hibiki, Akira
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 311-343
Persistent link: https://www.econbiz.de/10011549934
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8
Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
4
,
pp. 839-855
Persistent link: https://www.econbiz.de/10012313374
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9
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
-
2020
Persistent link: https://www.econbiz.de/10013335000
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10
Particle rolling mcmc with double-block sampling
Awaya, Naoki
;
Omori, Yasuhiro
-
2021
Persistent link: https://www.econbiz.de/10013339020
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