OMORI, Yasuhiro

OMORI, Yasuhiro

Name / Position

OMORI, Yasuhiro / Professor

Website

Personal WebsiteOpen a new window

E-mail

omori@e.u-tokyo.ac.jp

Curriculum Vitae

Education

August 1992 Ph.D. in Statistics, University of Wisconsin-Madison
March 1985 B.A. in Economics, University of Tokyo

Professional Experience

September 1992 Instructor, Department of Statistics, Ohio State University
July 1993 Assistant Professor, Faculty of Law & Economics, Chiba University
October 1994 Associate Professor, Faculty of Law & Economics, Chiba University
April 1996 Associate Professor, Department of Economics, Tokyo Metropolitan University
April 2001 Professor, Department of Economics, Tokyo Metropolitan University
October 2001 Associate Professor, Faculty of Economics, University of Tokyo
July 2009 Professor, Faculty of Economics, University of Tokyo

Research Field

Econometrics, Bayesian analysis, Stochastic Volatility model

Research Theme

My research focuses on statistical inference using Markov chain Monte Carlo method. I have been working on Bayesian analysis of econometric models with latent variables in which it is usually difficult to estimate parameters using a maximum likelihood estimation method. I developed various efficient estimation methods using Markov chain Monte Carlo for multivariate stochastic volatility models with the realized covariance matrices based on high frequency data in the stock market.

Publications

Articles

  • Yuta Yamauchi and Yasuhiro Omori (2020), “Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations,” Journal of Business & Economic Statistics, 38-4, 839-855. October 2020. DOI:10.1080/07350015.2019.1602048
  • Yuta Kurose and Yasuhiro Omori (2020), “Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity,” Econometrics and Statistics, 13, 46-68. January 2020. DOI:10.1016/j.ecosta.2018.03.003
  • Koji Miyawaki, Yasuhiro Omori and Akira Hibiki (2018), “Discrete/Continuous choice model on the nonconvex budget set,” Econometric Reviews, 37-2, 89-113. January 2018. DOI:10.1080/07474938.2015.1032166
  • Shinya Sugawara and Yasuhiro Omori (2017), “An econometric analysis of insurance markets with separate identification for moral hazard and selection,” Computational Economics, 50-3, 473–502. October 2017. DOI:10.1007/s10614-016-9594-z
  • Shinichiro Shirota, Yasuhiro Omori, Hedibert. F. Lopes and Haixiang Piao (2017), “Cholesky realized stochastic volatility model,” Econometrics and Statistics, 3, 34-59. July 2017 DOI: 10.1016/j.ecosta.2016.08.003
  • Jouchi Nakajima, Tsuyoshi Kunihama and Yasuhiro Omori (2017), “Bayesian modeling of dynamic extreme values: Extension of generalized extreme value distributions with latent stochastic processes,” Journal of Applied Statistics, 44-7, 1248—1268. April 2017. DOI:10.1080/02664763.2016.1201796.
  • Tsunehiro Ishihara and Yasuhiro Omori (2017), “Portfolio optimization using dynamic factor and stochastic volatility: evidence on fat-tailed error and leverage,” Japanese Economic Review, 68-1, 63-94. March 2017. DOI: 10.1111/jere.12114
  • Yuko Onishi and Yasuhiro Omori (2016), “Bayesian estimation of entry games with multiple players and multiple equilibria,” Japanese Economic Review, 67-4, 418–440. December 2016. DOI: 10.1111/jere.12108
  • Yuta Kurose and Yasuhiro Omori (2016), “Dynamic equicorrelation stochastic volatility,” Computational Statistics and Data Analysis, 100, 795-813. August 2016. DOI:10.1016/j.csda.2015.01.013
  • Tsunehiro Ishihara, Yasuhiro Omori and Manabu Asai (2016), “Matrix exponential stochastic volatility with cross leverage,” Computational Statistics and Data Analysis, 100, 331-350. August 2016. DOI: 10.1016/j.csda.2014.10.012
  • Makoto Takahashi, Toshiaki Watanabe and Yasuhiro Omori (2016), “Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution,” International Journal of Forecasting, 32-2, 437-457. April 2016. DOI:10.1016/j.ijforecast.2015.07.005
  • Koji Miyawaki, Yasuhiro Omori and Akira Hibiki (2016), “Exact estimation of demand functions under block rate pricing,” Econometric Reviews, 35-3, 311-343. February 2016. DOI:10.1080/07474938.2013.806857
  • Yasuhiro Omori and Toshiaki Watanabe (2015), “Stochastic volatility and realized stochastic volatility Models,” Current Trends in Bayesian Methodology with Applications (eds S. K. Upadhyay, U. Singh, D. K. Dey and A. Loganathan), 435-456. Chapman & Hall/CRC Press. May 2015. ISBN 9781482235111
  • Shinichiro Shirota, Takayuki Hizu and Yasuhiro Omori (2014), “Realized stochastic volatility with leverage and long memory,” Computational Statistics and Data Analysis, 76, 618-641. August 2014. DOI: 10.1016/j.csda.2013.08.013
  • Makoto Takahashi, Yasuhiro Omori and Toshiaki Watanabe (2013), “News impact curve for stochastic volatility models,” Economics Letters, 120-1, 130-134. July 2013. DOI:10.1016/j.econlet.2013.03.001
  • Jouchi Nakajima, Tsuyoshi Kunihama, Yasuhiro Omori and Sylvia Frühwirth-Schnatter (2012), “Generalized extreme value distribution with time-dependence using the AR and MA models in state space form,” Computational Statistics and Data Analysis, 56-11, 3241-3259. November 2012. DOI:10.1016/j.csda.2011.04.017
  • Tsunehiro Ishihara and Yasuhiro Omori (2012), “Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors,” Computational Statistics and Data Analysis, 56-11, 3674-3689. November 2012. DOI: 10.1016/j.csda.2010.07.015
  • Jouchi Nakajima and Yasuhiro Omori (2012), “Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution,” Computational Statistics and Data Analysis, 56-11, 3690-3704. November 2012. DOI: 10.1016/j.csda.2010.07.012
  • Shinya Sugawara and Yasuhiro Omori (2012), “Duopoly in the Japanese airline market: Bayesian estimation for the entry game,” Japanese Economic Review, 63-3, 310-332. September 2012. DOI: 10.1111/j.1468-5876.2011.00545.x
  • Yuta Kurose and Yasuhiro Omori (2012), “Bayesian analysis of time-varying quantiles using a smoothing spline,” Journal of the Japan Statistical Society, 42-1, 23-46. June 2012. DOI: 10.14490/jjss.42.23
  • Yasuhiro Omori and Tsunehiro Ishihara (2012), “Multivariate Stochastic Volatility Model,” in Handbook of Volatility Models and Their Applications (eds L. Bauwens, C. Hafner and S. Laurent), Wiley, 175-195. May 2012.
  • Tsuyoshi Kunihama, Yasuhiro Omori and Zhengjun Zhang (2012), “Efficient estimation and particle filter for max-stable processes,” Journal of Time Series Analysis, 33-1, 61-80. January 2012. DOI: 10.1111/j.1467-9892.2011.00740.x
  • Koji Miyawaki, Yasuhiro Omori and Akira Hibiki (2011), “Panel data analysis of Japanese residential water demand using a discrete/continuous choice approach,” Japanese Economic Review, 62-3, 365-386. September 2011. DOI: 10.1111/j.1468-5876.2010.00532.x
  • Tsunehiro Ishihara and Yasuhiro Omori (2010), “Multivariate stochastic volatility model with cross leverage,” Proceedings in Computational Statistics 2010 (COMPSTAT’2010), 315-323. August 2010. DOI: 10.1007/978-3-7908-2604-3_29
  • Yasuhiro Omori and Koji Miyawaki (2010), “Tobit model with covariate dependent thresholds,” Computational Statistics and Data Analysis, 54-11, 2736-2752. November 2010. DOI:10.1016/j.csda.2009.02.005
  • Siddhartha Chib, Yasuhiro Omori and Manabu Asai (2009), “Multivariate Stochastic Volatility,” 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.
  • Makoto Takahashi, Yasuhiro Omori and Toshiaki Watanabe (2009), “Estimating stochastic volatility models using daily returns and realized volatility simultaneously,” Computational Statistics and Data Analysis, 53-6, 2404-2426. April 2009. DOI:10.1016/j.csda.2008.07.039
  • Jouchi Nakajima and Yasuhiro Omori (2009), “Leverage, heavy-tails and correlated jumps in stochastic volatility models,” Computational Statistics and Data Analysis, 53-6, 2335-2353. April 2009. DOI: 10.1016/j.csda.2008.03.015
  • Yasuhiro Omori and Richard A. Johnson (2009), “Efficient semiparametric Bayesian estimation of multivariate discrete proportional hazards model with random effects,” Communications in Statistics-Theory and Methods, 38-1, 29-41. January 2009. DOI: 10.1080/03610920802155478
  • Yasuhiro Omori and Toshiaki Watanabe (2008), “Block sampler and posterior mode estimation for asymmetric stochastic volatility models,” Computational Statistics and Data Analysis, 52-6, 2892-2910. February 2008. DOI: 10.1016/j.csda.2007.09.001
  • Yasuhiro Omori, Siddhartha Chib, Neil Shephard and Jouchi Nakajima (2007), “Stochastic volatility model with leverage: fast and efficient likelihood inference,” Journal of Econometrics, 140-2, 425-449. October 2007.Ox program DOI:10.1016/j.jeconom.2006.07.008
  • Yasuhiro Omori (2007), “Efficient Gibbs sampler for Bayesian analysis of a sample selection model,” Statistics and Probability Letters, 77-12, 1300-1311. July 2007. DOI:10.1016/j.spl.2007.03.015
  • Yasuhiro Omori and Richard A. Johnson (2006), “The influences of random effects on univariate and bivariate discrete proportional hazards models,” Communications in Statistics-Theory and Methods, 35-9, 1757-1764. June 2006. DOI:10.1080/03610920600683762
  • Toshiaki Watanabe and Yasuhiro Omori (2004), “A multi-move sampler for estimating non-Gaussian times series models: Comments on Shephard and Pitt (1997),” Biometrika, 91-1, 246-248. March 2004. DOI: 10.1093/biomet/91.1.246
  • Yasuhiro Omori (2003), “Discrete duration model having autoregressive random effects with application to Japanese diffusion index,” Journal of the Japan Statistical Society, 33-1, 1-22. June 2003. DOI: 10.14490/jjss.33.1
  • Yasuhiro Omori (2003), “Estimation for unequally spaced time series of counts with serially correlated random effects,” Statistics and Probability Letters, 63-1, 1-12. May 2003. DOI:10.1016/S0167-7152(02)00343-7
  • Yasuhiro Omori (1999), “Measuring identification disclosure risk for categorical microdata by posterior population uniqueness,” in Statistical data protection - Proceedings of the conference, Lisbon, 25 to 27 March 1998 - 1999 edition, Office for Official Publications of the European Communities, Luxembourg, 59-76.
  • Yasuhiro Omori and Richard A. Johnson (1999), “Some consequences of random effects in multivariate survival models,” Multivariate Analysis, Design of Experiments and Survey Sampling, edited by S. Ghosh, New York: Marcel Dekker, 301-347. April 1999.
  • Richard A. Johnson and Yasuhiro Omori (1999), “The Influences of random effects on bivariate and trivariate survival models,” Journal of Nonparametric Statistics, 11-1, 137-159. January 1999. DOI: 10.1080/10485259908832778
  • Yasuhiro Omori, (1997), “Comparing two means in count models having random effects - A UMPU Test,” Statistics and Probability Letters, 34-3, 225-235. June 1997. DOI: 10.1016/S0167-7152(96)00185-X
  • Yasuhiro Omori and Richard A Johnson (1993), “The Influence of random effects on the unconditional hazard rate and survival functions,” Biometrika, 80-4, 910-914. December 1993. DOI:10.1093/biomet/80.4.910
  • Yasuhiro Omori (1993), “Asymptotic normality of estimators for multiple time series count data with an application to nonhomogeneous Poisson process,” Economics Journal of Chiba University. 8 (2-3), 101-134. December 1993.

Others

  • Taeryon Choi, Yasuhiro Omori, Michael Smith, Stephen G. Walker (2017), “Special issue on Bayesian methods in statistics and econometrics,” Econometrics and Statistics, 3, 1-2. July 2017 DOI: 10.1016/j.ecosta.2017.05.003
  • Luc Bauwens, Gary Koop, John Maheu and Yasuhiro Omori (2016), “Special issue on Bayesian econometrics,” Computational Statistics & Data Analysis, 100, 794. August 2016. DOI:10.1016/j.csda.2016.02.007
  • John Kontoghiorghes et al. (2014), “CFEnetwork: The Annals of Computational and Financial Econometrics 2nd Issue,” Computational Statistics & Data Analysis, 76, 1-3. August 2014. DOI: 10.1016/j.csda.2014.04.006
  • Alessandra Amendola, David Belsley, Erricos John Kontoghiorghes, Herman K. van Dijk, Yasuhiro Omori and Eric Zivot (2008), “Special Issue on Statistical and Computational Methods in Finance,” Computational Statistics & Data Analysis, 52-6, 2842-2845. February 2008. DOI:10.1016/j.csda.2007.12.010
  • Yasuhiro Omori and Hajime Wago (2001) “Bayesians in Japan,” ISBA Bulletin, 8-3 , 16-18. September 2001.
  • Yasuhiro Omori (2001), Review of “Miller & Freund’s Probability and Statistics for Engineers,” by Johnson, Richard A, IIE Transactions, 33-9 , 823-824. September 2001. DOI:10.1080/07408170108936875
  • Yasuhiro Omori (1995), Review of “Continuous univariate distributions, Vol. 1 (2nd ed.)” Johnson, Kotz and Balakrishnan, Journal of the American Statistical Association, 90 (432) , 1490-1491. December 1995.

Other Professional Activities and Awards

Other Professional Activities and Services - Editorial Activities

  • Econometrics and Statistics Associate editor 2015/12- present
  • Statistics and Probability Letters : Associate editor 2003/9 - present
  • Computational Statistics & Data Analysis Associate editor 2011/10- 2016/2
  • Journal of the Japan Statistical Society (Japanese journal) Associate Editor 2010/10 – 2015/9
  • Guest associate editor for CSDA Annals of Computational and Financial Econometrics (2011), Computational Statistics & Data Analysis
  • Journal of the Japan Statistical Society (Japanese journal) Editor 2006/10 - 2008/9
  • Guest editor for Special issue on statistical and computational methods in finance (2008), Computational Statistics & Data Analysis
  • Journal of the Japan statistical Society (English journal) Associate Editor 2002/10-2004/9

Other Professional Activities and Services - Other Activities

  • Chair of The Eastern Asia Chapter of ISBA 2019
  • Japan Statistical Society Special Committee for Society Activities 2015-2019 (Chair:2015-2016)
  • Japan Statistical Society International Relations Committee 2017-2020 (Chair:2018-2019)
  • Chair of EFab Nominating Committee, International Society for Bayesian Analysis 2013
  • Member of Science Council of Japan 2011-
  • Board of Trustees, Japan Statistical Society 2011-2020
  • Nominating Committee, International Society for Bayesian Analysis 2010
  • Board of Directors, Japan Statistical Society 2006-2007

Awards

  • Japan Statistical Society Award 2018
  • Japan Statistical Society Research Achievement Award (with Toshiaki Watanabe) 2012