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 0 81 0 3 10 170
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 2 20 0 1 4 63
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 0 6 45 0 4 14 103
Realised Quantile-Based Estimation of the Integrated Variance 0 0 1 99 2 4 15 253
Statistical Models for High Frequency Security Prices 0 1 6 549 1 6 26 1,343
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 0 1 18 2,164
Using high frequency stock market index data to calculate, model and forecast realized return variance 1 1 2 335 1 1 13 1,142
Total Working Papers 1 2 17 1,129 4 20 100 5,238


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 0 0 1 21 0 1 4 59
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 1 73 0 0 5 166
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 49 0 4 9 166
Properties of Realized Variance Under Alternative Sampling Schemes 0 0 4 110 0 0 8 278
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 0 2 84 0 0 3 201
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 2 7 13 138 5 13 34 303
Zero-intelligence realized variance estimation 0 2 6 87 1 4 11 156
Total Journal Articles 2 9 28 562 6 22 74 1,329


Statistics updated 2015-08-02