Concepedia

Yasuhiro Omori

YO

Statistics

Publications

21

Citations

10.3K

H-Index

16

Active since

1993

Affiliations

The University of Tokyo(Current)

Japan University of Economics

Hitotsubashi University

Washington University in St. Louis

Duke University

Yasuhiro Omori is an author at The University of Tokyo specializing in stochastic volatility, stochastic volatility models, and finance.

ORCID

Publications per year

1993–2019

21

Publications

21

Continuous Univariate Distributions.

Yasuhiro Omori, Norman L. Johnson, S. Kotz et al. · Journal of the American Statistical Association · 1995 · 9.3K citations

, , +12

Stochastic volatility with leverage: Fast and efficient likelihood inference

Yasuhiro Omori, Siddhartha Chib, Neil Shephard et al. · Journal of Econometrics · 2006 · 473 citations · Full text

, , +14

Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si86.gif" display="inline" overflow="scroll"><mml:mi>t</mml:mi></mml:math>-distribution

Jouchi Nakajima, Yasuhiro Omori · Computational Statistics & Data Analysis · 2010 · 109 citations

, , +12

Leverage, heavy-tails and correlated jumps in stochastic volatility models

Jouchi Nakajima, Yasuhiro Omori · Computational Statistics & Data Analysis · 2008 · 100 citations

, , +14

Realized stochastic volatility with leverage and long memory

Shinichiro Shirota, Takayuki Hizu, Yasuhiro Omori · Computational Statistics & Data Analysis · 2013 · 45 citations

, , +14

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