Yasuhiro Omori : Citation Profile

University of Tokyo

13

H index

15

i10 index

1039

Citations

RESEARCH PRODUCTION:

34

Articles

93

Papers

2

Chapters

RESEARCH ACTIVITY:

   29 years (1997 - 2026). See details.
   Cites by year: 35
   Journals where Yasuhiro Omori has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 58 (5.29 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pom13
   Updated: 2026-05-16    RAS profile: 2026-05-10    
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Relations with other researchers

Works with:

Takahashi, Makoto (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Yasuhiro Omori.

Is cited by:

Asai, Manabu (95)

Caporin, Massimiliano (32)

Chang, Chia-Lin (22)

Takahashi, Makoto (21)

Veiga, Helena (20)

Medeiros, Marcelo (20)

Kastner, Gregor (19)

Nakajima, Jouchi (19)

Nakatsuma, Teruo (16)

Yu, Jun (16)

Ruiz, Esther (15)

Cites to:

Shephard, Neil (120)

CHIB, SIDDHARTHA (90)

Asai, Manabu (41)

Nakajima, Jouchi (39)

Bollerslev, Tim (33)

Yu, Jun (32)

Hansen, Peter (31)

Andersen, Torben (26)

Engle, Robert (25)

Harvey, Andrew (23)

Lunde, Asger (23)

Main data

Where Yasuhiro Omori has published?

Journals with more than one article published# docs
Computational Statistics & Data Analysis10
Econometrics and Statistics4
Statistics & Probability Letters3
Econometric Reviews3
The Japanese Economic Review3
The Japanese Economic Review2
Journal of Applied Statistics2

Working Papers Series with more than one paper published# docs
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo64
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo11
Papers / arXiv.org6
CIRJE J-Series / CIRJE, Faculty of Economics, University of Tokyo3
CARF J-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo3

Recent works citing Yasuhiro Omori (2026 and 2025)

YearTitle of citing document
2025A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2026Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting. (2024). Takahashi, Makoto ; Yamauchi, Yuta ; Omori, Yasuhiro ; Watanabe, Toshiaki. In: Papers. RePEc:arx:papers:2401.13179.

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2025Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; Lütkepohl, Helmut ; Wo, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Papers. RePEc:arx:papers:2404.11057.

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2025Improving volatility forecasts of the Nikkei 225 stock index using a realized EGARCH model with realized and realized range-based volatilities. (2025). Chang, Yaming. In: Papers. RePEc:arx:papers:2502.02695.

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2025Time-Varying Identification of Structural Vector Autoregressions. (2025). Wo, Tomasz ; Camehl, Annika. In: Papers. RePEc:arx:papers:2502.19659.

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2025A New Perspective of the Meese-Rogoff Puzzle: Application of Sparse Dynamic Shrinkage. (2025). Song, Yong ; Maneesoonthorn, Worapree ; Fan, Zheng. In: Papers. RePEc:arx:papers:2507.14408.

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2025Volatility time series modeling by single-qubit quantum circuit learning. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2512.10584.

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2026Unified Mixture Sampler for State-Space Models: Application to Stochastic Conditional Duration Models. (2026). Omori, Yasuhiro ; Hiraki, Daichi. In: Papers. RePEc:arx:papers:2604.04517.

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2026Dynamic Factor Stochastic Volatility-in-Mean VAR for Large Macroeconomic Panels. (2026). Omori, Yasuhiro ; Chib, Siddhartha ; Hiraki, Daichi. In: Papers. RePEc:arx:papers:2604.04529.

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2026Direct Gaussian Process Predictive Regressions with Mixed Frequency Data. (2026). Massimiliano, Niko Hauzenberger. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp26265.

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2026Multivariate Stochastic Volatility Model with Block Correlations. (2026). Yu, Jun ; Fei, Yijie ; Chen, Han. In: Working Papers. RePEc:boa:wpaper:202638.

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2026What Drives Trend Inflation in Japan? : A Trend-Cycle BVAR Decomposition Approach. (2026). Takatomi, Kosuke ; Takano, Yutaro ; Hirano, Ryuichiro. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp26e01.

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2025Beyond Aggregates: A Dual Lens on Eurozone Trend Inflation. (2025). Yakut, Dilan Aydin. In: Research Technical Papers. RePEc:cbi:wpaper:3/rt/25.

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2025Long-Run Inflation Expectations. (2025). Rast, Sebastian ; Melosi, Leonardo. In: Working Papers. RePEc:dnb:dnbwpp:829.

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2025Covered interest parity: A forecasting approach to estimate the neutral band. (2025). Hernandez, Juan ; Hernndez, Juan R. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000719.

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2025Volatility estimation through stochastic processes: Evidence from cryptocurrencies. (2025). Harasheh, Murad ; Bouteska, Ahmed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pb:s1062940824002456.

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2025Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information. (2025). Xu, Buyun ; Wu, Zhimin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000087.

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2025Regularizing stock return covariance matrices via multiple testing of correlations. (2025). Luger, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400099x.

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2025Multivariate stochastic volatility models based on generalized Fisher transformation. (2025). Yu, Jun ; Fei, Yijie ; Chen, Han. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625000958.

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2024Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility. (2024). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:34-56.

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2025Model Risk of Volatility Models. (2025). Lazar, Emese ; Zhang, Ning. In: Econometrics and Statistics. RePEc:eee:ecosta:v:35:y:2025:i:c:p:1-22.

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2026A computationally efficient mixture innovation model for time-varying parameter regressions. (2026). He, Zhongfang. In: Econometrics and Statistics. RePEc:eee:ecosta:v:37:y:2026:i:c:p:250-269.

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2025Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model. (2025). de Khoo, Zhi ; Ng, Kok Haur ; Koh, You Beng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000398.

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2025Compounding geopolitical and energy risks: A clustered stochastic multi-COVOL model. (2025). Billio, Monica ; Casarin, Roberto ; Lpez, Ovielt Baltodano ; Costola, Michele. In: Energy Economics. RePEc:eee:eneeco:v:149:y:2025:i:c:s0140988325005274.

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2025A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

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2025Long-Run Inflation Expectations. (2025). Melosi, Leonardo ; Fisher, Jonas ; Rast, Sebastian. In: Working Paper Series. RePEc:fip:fedhwp:99677.

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2025Bayesian Analysis of Bitcoin Volatility Using Minute-by-Minute Data and Flexible Stochastic Volatility Models. (2025). Nakatsuma, Teruo ; Nakakita, Makoto ; Toyabe, Tomoki. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:16:p:2691-:d:1729283.

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2025Adaptive Bayesian Nonparametric Regression via Stationary Smoothness Priors. (2025). Tobias, Justin L. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1162-:d:1625305.

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2025Time-varying Local Projections with Stochastic Volatility. (2025). Nakajima, Jouchi. In: Discussion Paper Series. RePEc:hit:hituec:761.

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2025Realized Real-Time GARCH: A Joint Model for Returns, Realized Measures and Current Information. (2025). Wu, Zhimin ; Cai, Guanghui. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:4:d:10.1007_s10614-024-10805-z.

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2025Testing the equilibrium path of exchange rates, monetary policy, and trade balance in the Türkiye. (2025). Kocoglu, Mustafa ; Kula, Ferit. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:58:y:2025:i:3:d:10.1007_s10644-025-09874-3.

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2026Sequential estimation of multivariate factor stochastic volatility models. (2026). Calzolari, Giorgio ; Halbleib, Roxana ; McHer, Christian. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:110:y:2026:i:1:d:10.1007_s10182-025-00536-3.

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2025Introducing shrinkage in heavy-tailed state space models to predict equity excess returns. (2025). Pfarrhofer, Michael ; Kastner, Gregor ; Huber, Florian. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:2:d:10.1007_s00181-023-02437-3.

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2025On the Correlations in Linearized Multivariate Stochastic Volatility Models. (2025). Moussa, Karim. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250021.

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2025A note on the determinants of non‐fungible tokens returns. (2025). Papapanagiotou, Georgios ; Panagiotidis, Theodore. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:3201-3211.

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2025A Measure of Trend Wage Inflation. (2025). Melcangi, Davide ; Audoly, Richard ; Almuzara, Martn. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:40:y:2025:i:5:p:508-520.

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2025Macroeconomic real‐time forecasts of univariate models with flexible error structures. (2025). Hou, Chenghan ; Zhang, BO ; Trinh, Kelly. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:1:p:59-78.

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2025Bayesian Semiparametric Multivariate Realized GARCH Modeling. (2025). Nikolakopoulos, Efthimios. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:7:p:2106-2131.

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2026Decomposing, Learning, and Predicting Realized Volatilities: A Comparison Analysis From the Global Stock Markets. (2026). Zhou, Wei ; Luo, Danxue. In: Journal of Forecasting. RePEc:wly:jforec:v:45:y:2026:i:1:p:135-155.

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2026Shock‐Triggered Asymmetric Response Stochastic Volatility. (2026). Marin, Miguel J ; Veiga, Helena. In: Journal of Forecasting. RePEc:wly:jforec:v:45:y:2026:i:1:p:217-240.

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2026Forecasting the High‐Frequency Covariance Matrix Using the LSTM‐MF Model. (2026). Yuan, Meng ; Shi, Kewen ; Liu, Guangying. In: Journal of Forecasting. RePEc:wly:jforec:v:45:y:2026:i:1:p:29-46.

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2025Long-Run Inflation Expectations. (2025). Rast, Sebastian Sebastian ; Melosi, Leonardo ; Jonas, Jonas D. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1551.

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Works by Yasuhiro Omori:

YearTitleTypeCited
2019Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations In: Papers.
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2020Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations.(2020) In: Journal of Business & Economic Statistics.
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2016Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations .(2016) In: CIRJE F-Series.
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2019Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations.(2019) In: CIRJE F-Series.
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2021Dynamic factor, leverage and realized covariances in multivariate stochastic volatility In: Papers.
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2023Dynamic factor, leverage and realized covariances in multivariate stochastic volatility.(2023) In: Econometric Reviews.
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2020Dynamic Factor, Leverage and Realized Covariances in Multivariate Stochastic Volatility.(2020) In: CIRJE F-Series.
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2021Dynamic Factor, Leverage and Realized Covariances in Multivariate Stochastic Volatility.(2021) In: CIRJE F-Series.
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2026Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting In: Papers.
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2024Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler In: Papers.
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2026Unified Mixture Sampler for State-Space Models: Application to Stochastic Conditional Duration Models In: Papers.
[Full Text][Citation analysis]		paper0
2026Dynamic Factor Stochastic Volatility-in-Mean VAR for Large Macroeconomic Panels In: Papers.
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2011PANEL DATA ANALYSIS OF JAPANESE RESIDENTIAL WATER DEMAND USING A DISCRETE/CONTINUOUS CHOICE APPROACH In: The Japanese Economic Review.
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2010Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach.(2010) In: Global COE Hi-Stat Discussion Paper Series.
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2010Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach.(2010) In: CIRJE F-Series.
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2010Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach.(2010) In: CIRJE F-Series.
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2012DUOPOLY IN THE JAPANESE AIRLINE MARKET: BAYESIAN ESTIMATION FOR THE ENTRY GAME In: The Japanese Economic Review.
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2010Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game.(2010) In: CIRJE F-Series.
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2011Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game.(2011) In: CIRJE F-Series.
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2017Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage In: The Japanese Economic Review.
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2017Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage.(2017) In: The Japanese Economic Review.
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2012Efficient estimation and particle filter for max‐stable processes In: Journal of Time Series Analysis.
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2011Efficient estimation and particle filter for max-stable processes.(2011) In: CIRJE F-Series.
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2004Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in Journal of Econometrics, 140, 425-449, 2007. ) In: CARF F-Series.
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2007Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in Handbook of Financial Time Series (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Mikosch), 365-400. Springer-Verlag: New York. April 2009. ) In: CARF F-Series.
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2007Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models (Published in Computational Statistics and Data Analysis, 52-6, 2892-2910. February 2008. ) In: CARF F-Series.
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2007Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors In: CARF F-Series.
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2003Block Sampler and Posterior Mode Estimation for a Nonlinear and Non-Gaussian State-Space Model with Correlated Errors.(2003) In: CIRJE F-Series.
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2007Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-space Model with Correlated Errors.(2007) In: CIRJE F-Series.
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2007Leverage, Heavy-Tails and Correlated Jumps in Stochastic Volatility Models (Revised in January 2008; Published in Computational Statistics and Data Analysis, 53-6, 2335-2353. April 2009. ) In: CARF F-Series.
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2007Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously ( Revised in March 2008; Published in Computational Statistics and Data Analysis, 53-6, 2404-2426. April 2009. ) In: CARF F-Series.
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2009Multivariate Stochastic Volatility with Cross Leverage In: CARF F-Series.
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2009Multivariate Stochastic Volatility with Cross Leverage.(2009) In: CIRJE F-Series.
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2009Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors In: CARF F-Series.
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2010Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors.(2010) In: CARF F-Series.
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2012Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors.(2012) In: Computational Statistics & Data Analysis.
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2009Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors.(2009) In: CIRJE F-Series.
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2010Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors.(2010) In: CIRJE F-Series.
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2009Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Students t-distribution In: CARF F-Series.
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2010Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution.(2010) In: CARF F-Series.
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2012Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution.(2012) In: Computational Statistics & Data Analysis.
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2010Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Students t-distribution.(2010) In: Global COE Hi-Stat Discussion Paper Series.
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2009Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Students t-Distribution.(2009) In: CIRJE F-Series.
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2007Markov chain Monte Carlo method and its application to the stochastic volatility model In: CARF J-Series.
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2008Markov Switching Asymmetric Stochastic Volatility Model with Application to TOPIX Data -A Permutation Sampler Approach- In: CARF J-Series.
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2010GH skew Students t-distribution in stochastic volatility model with application to stock returns In: CARF J-Series.
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2016Matrix exponential stochastic volatility with cross leverage In: Computational Statistics & Data Analysis.
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2011Matrix Exponential Stochastic Volatility with Cross Leverage.(2011) In: CIRJE F-Series.
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2013Matrix Exponential Stochastic Volatility with Cross Leverage.(2013) In: CIRJE F-Series.
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2014Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series.
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2014Matrix Exponential Stochastic Volatility with Cross Leverage.(2014) In: CIRJE F-Series.
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2016Dynamic equicorrelation stochastic volatility In: Computational Statistics & Data Analysis.
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2013Dynamic Equicorrelation Stochastic Volatility.(2013) In: CIRJE F-Series.
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2014Dynamic Equicorrelation Stochastic Volatility.(2014) In: CIRJE F-Series.
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2008Block sampler and posterior mode estimation for asymmetric stochastic volatility models In: Computational Statistics & Data Analysis.
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2007Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models.(2007) In: CIRJE F-Series.
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2009Leverage, heavy-tails and correlated jumps in stochastic volatility models In: Computational Statistics & Data Analysis.
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2007Leverage, heavy-tails and correlated jumps in stochastic volatility models.(2007) In: CIRJE F-Series.
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2009Estimating stochastic volatility models using daily returns and realized volatility simultaneously In: Computational Statistics & Data Analysis.
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2007Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously.(2007) In: CIRJE F-Series.
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2010Tobit model with covariate dependent thresholds In: Computational Statistics & Data Analysis.
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2008Tobit Model with Covariate Dependent Thresholds.(2008) In: CIRJE F-Series.
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2012Generalized extreme value distribution with time-dependence using the AR and MA models in state space form In: Computational Statistics & Data Analysis.
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2009Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form.(2009) In: IMES Discussion Paper Series.
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2009Generalized extreme value distribution with time-dependence using the AR and MA models in state space form.(2009) In: CIRJE F-Series.
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2011Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form.(2011) In: CIRJE F-Series.
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2014Realized stochastic volatility with leverage and long memory In: Computational Statistics & Data Analysis.
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2012Realized stochastic volatility with leverage and long memory.(2012) In: CIRJE F-Series.
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2013Realized Stochastic Volatility with Leverage and Long Memory.(2013) In: CIRJE F-Series.
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2013News impact curve for stochastic volatility models In: Economics Letters.
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2012News Impact Curve for Stochastic Volatility Models.(2012) In: Global COE Hi-Stat Discussion Paper Series.
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2007Stochastic volatility with leverage: Fast and efficient likelihood inference In: Journal of Econometrics.
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2020Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity In: Econometrics and Statistics.
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2016Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity.(2016) In: CIRJE F-Series.
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2016Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity.(2016) In: CIRJE F-Series.
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