Yuko Onishi and Yasuhiro Omori (2016), “Bayesian estimation of entry games with multiple players and multiple equilibria,” Japanese Economic Review, 67-4, 418–440.Tsunehiro Ishihara and Yasuhiro Omori (2017), “Portfolio optimization using dynamic factor and stochastic volatility: evidence on fat-tailed error and leverage,” Japanese Economic Review, 68-1, 63-94.
Jouchi Nakajima, Tsuyoshi Kunihama and Yasuhiro Omori (2017), “Bayesian modeling of dynamic extreme values: Extension of generalized extreme value distributions with latent stochastic processes,” Journal of Applied Statistics, 44-7, 1248-1268.Lopes and Haixiang Piao (2017), “Cholesky realized stochastic volatility model,” Econometrics and Statistics, 3, 34-59. Shinichiro Shirota, Yasuhiro Omori, Hedibert.Shinya Sugawara and Yasuhiro Omori (2017), “An econometric analysis of insurance markets with separate identification for moral hazard and selection,” Computational Economics, 50-3, 473–502.Koji Miyawaki, Yasuhiro Omori and Akira Hibiki (2018), “Discrete/Continuous choice model on the nonconvex budget set,” Econometric Reviews, 37-2, 89-113.Yuta Kurose and Yasuhiro Omori (2020), “Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity,” Econometrics and Statistics, 13, 46-68.Yuta Yamauchi and Yasuhiro Omori (2020), “Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations,” Journal of Business & Economic Statistics, 38-4, 839-855.I developed various efficient estimation methods using Markov chain Monte Carlo for multivariate stochastic volatility models with the realized covariance matrices based on high frequency data in the stock market. I have been working on Bayesian analysis of econometric models with latent variables in which it is usually difficult to estimate parameters using a maximum likelihood estimation method. My research focuses on statistical inference using Markov chain Monte Carlo method. Professor, Faculty of Economics, University of TokyoĮconometrics, Bayesian analysis, Stochastic Volatility model Research Theme Professor, Department of Economics, Tokyo Metropolitan UniversityĪssociate Professor, Faculty of Economics, University of Tokyo Instructor, Department of Statistics, Ohio State UniversityĪssistant Professor, Faculty of Law & Economics, Chiba UniversityĪssociate Professor, Faculty of Law & Economics, Chiba UniversityĪssociate Professor, Department of Economics, Tokyo Metropolitan University
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