Y Omori
This author does not work for the BIS.
4 items
| 2012 |
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
by Jouchi Nakajima, S Fruhwirth-Schnatter, T Kunihama and Y Omori in Computational Statistics and Data Analysis
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| 2012 |
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution
by Jouchi Nakajima and Y Omori in Computational Statistics and Data Analysis
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| 2009 |
Leverage, heavy-tails and correlated jumps in stochastic volatility models
by Jouchi Nakajima and Y Omori in Computational Statistics and Data Analysis
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| 2007 |
Stochastic volatility with leverage: fast likelihood inference
by Jouchi Nakajima, N Shephard, S Chib and Y Omori in Journal of Econometrics
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