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Yasuhiro Omori

University of Tokyo

Professor

Hongo 7-3-1

Bunkyo-ku

Tokyo 113-0033, Tokyo

Japan

  • University of Tokyo

SCHOLARLY PAPERS

2

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16

TOTAL CITATIONS

1

Scholarly Papers (2)

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1.

Unified mixture sampler for state-space models: Application to stochastic conditional duration models

Number of pages: 13 Posted: 08 Apr 2026
Daichi Hiraki and Yasuhiro Omori
University of Tokyo and University of Tokyo
Downloads 16 (1,509,872)

Abstract:

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Markov chain Monte Carlo, Mixture Sampler, Nonlinear State-Space Models, Stochastic Conditional Duration, High-frequency Data

2.

Stochastic Volatility with Leverage: Fast Likelihood Inference

Nuffield College, Oxford Economics Working Paper No. 2004-W19
Posted: 07 Sep 2004
Yasuhiro Omori, Siddhartha Chib, Neil Shephard and Jouchi Nakajima
University of Tokyo, Washington University in St. Louis - John M. Olin Business School, Harvard University and Bank for International Settlements (BIS) - Monetary and Economic Department

Abstract:

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Leverage effect, Markov chain Monte Carlo, Mixture sampler, Stochastic volatility, Stock returns