| Stochastic volatility with leverage: Fast and efficient likelihood inference Y Omori, S Chib, N Shephard, J Nakajima Journal of Econometrics 140 (2), 425-449, 2007 | 621 | 2007 |
| Estimating stochastic volatility models using daily returns and realized volatility simultaneously M Takahashi, Y Omori, T Watanabe Computational Statistics & Data Analysis 53 (6), 2404-2426, 2009 | 197 | 2009 |
| A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997) T Watanabe, Y Omori Biometrika, 246-248, 2004 | 194 | 2004 |
| Multivariate stochastic volatility S Chib, Y Omori, M Asai Handbook of financial time series, 365-400, 2009 | 192 | 2009 |
| Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution J Nakajima, Y Omori Computational Statistics & Data Analysis 56 (11), 3690-3704, 2012 | 136 | 2012 |
| Leverage, heavy-tails and correlated jumps in stochastic volatility models J Nakajima, Y Omori Computational Statistics & Data Analysis 53 (6), 2335-2353, 2009 | 126 | 2009 |
| Block sampler and posterior mode estimation for asymmetric stochastic volatility models Y Omori, T Watanabe Computational Statistics & Data Analysis 52 (6), 2892-2910, 2008 | 117 | 2008 |
| Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution M Takahashi, T Watanabe, Y Omori International Journal of Forecasting 32 (2), 437-457, 2016 | 56 | 2016 |
| Realized stochastic volatility with leverage and long memory S Shirota, T Hizu, Y Omori Computational Statistics & Data Analysis 76, 618-641, 2014 | 54 | 2014 |
| Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors T Ishihara, Y Omori Computational Statistics & Data Analysis 56 (11), 3674-3689, 2012 | 49 | 2012 |
| Generalized extreme value distribution with time-dependence using the AR and MA models in state space form J Nakajima, T Kunihama, Y Omori, S Frühwirth-Schnatter Computational Statistics & Data Analysis 56 (11), 3241-3259, 2012 | 46 | 2012 |
| Matrix exponential stochastic volatility with cross leverage T Ishihara, Y Omori, M Asai Computational Statistics & Data Analysis 100, 331-350, 2016 | 37 | 2016 |
| The influence of random effects on the unconditional hazard rate and survival functions Y Omori, RA Johnson Biometrika 80 (4), 910-914, 1993 | 35 | 1993 |
| Panel data analysis of Japanese residential water demand using a discrete/continuous choice approach K Miyawaki, Y Omori, A Hibiki The Japanese Economic Review 62 (3), 365-386, 2011 | 32 | 2011 |
| Cholesky realized stochastic volatility model S Shirota, Y Omori, HF Lopes, H Piao Econometrics and Statistics 3, 34-59, 2017 | 30 | 2017 |
| Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations Y Yamauchi, Y Omori Journal of Business & Economic Statistics 38 (4), 839-855, 2020 | 25 | 2020 |
| Forecasting daily volatility of stock price index using daily returns and realized volatility M Takahashi, T Watanabe, Y Omori Econometrics and Statistics, 2021 | 18 | 2021 |
| Measuring identification disclosure risk for categorical microdata by posterior population uniqueness Y Omori Statistical data protection-Proceedings of the conference, Lisbon, 25 to 27 …, 1999 | 18 | 1999 |
| Efficient Gibbs sampler for Bayesian analysis of a sample selection model Y Omori Statistics & probability letters 77 (12), 1300-1311, 2007 | 17 | 2007 |
| News impact curve for stochastic volatility models M Takahashi, Y Omori, T Watanabe Economics Letters 120 (1), 130-134, 2013 | 16 | 2013 |
