Leverage, heavy-tails and correlated jumps in stochastic volatility models. - Jouchi Nakajima; Yasuhiro Omori (Comput. Stat. Data Anal., 2009)

Generalized extreme value distribution with time-dependence using the AR and MA models in state space form. - Jouchi Nakajima; Tsuyoshi Kunihama; Yasuhiro Omori; Sylvia Frühwirth-Schnatter (Comput. Stat. Data Anal., 2012)

Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution. - Jouchi Nakajima; Yasuhiro Omori (Comput. Stat. Data Anal., 2012)

Dynamic network signal processing using latent threshold models. - Jouchi Nakajima; Mike West (Digit. Signal Process., 2015)