Access Statistics for Roel C.A. Oomen

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A blocking and regularization approach to high dimensional realized covariance estimation 0 0 1 82 0 1 9 176
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 0 20 0 0 2 64
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 1 1 46 0 18 26 124
Realised Quantile-Based Estimation of the Integrated Variance 0 0 0 99 1 3 11 257
Statistical Models for High Frequency Security Prices 0 1 6 552 0 1 16 1,347
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 0 1 7 2,167
Using high frequency stock market index data to calculate, model and forecast realized return variance 1 1 4 338 2 3 12 1,149
Total Working Papers 1 3 12 1,137 3 27 83 5,284


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 0 1 1 22 0 1 2 60
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 0 73 0 1 3 168
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 1 1 50 0 2 9 170
Properties of Realized Variance Under Alternative Sampling Schemes 0 1 2 111 0 1 5 281
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 2 4 6 89 4 7 10 210
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 0 0 8 139 3 8 29 315
Zero-intelligence realized variance estimation 0 1 9 91 3 5 23 169
Total Journal Articles 2 8 27 575 10 25 81 1,373


Statistics updated 2016-02-03