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
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
2009
Leverage, heavy-tails and correlated jumps in stochastic volatility models

by Jouchi Nakajima and Y Omori

in Computational Statistics and Data Analysis
2007
Stochastic volatility with leverage: fast likelihood inference

by Jouchi Nakajima, N Shephard, S Chib and Y Omori

in Journal of Econometrics