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 4 81 1 4 12 164
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 1 1 2 19 1 1 8 60
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 3 3 5 42 4 4 7 93
Realised Quantile-Based Estimation of the Integrated Variance 0 1 5 99 1 5 22 243
Statistical Models for High Frequency Security Prices 0 2 9 545 2 8 24 1,325
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 2 5 17 2,151
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 0 1 333 2 2 7 1,131
Total Working Papers 4 7 26 1,119 13 29 97 5,167


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 0 0 1 20 0 1 2 56
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 1 3 73 0 3 7 164
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 1 2 49 1 2 10 159
Properties of Realized Variance Under Alternative Sampling Schemes 0 1 4 107 1 3 11 273
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 1 5 83 0 2 11 200
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 2 4 18 129 2 7 36 276
Zero-intelligence realized variance estimation 0 1 8 82 0 1 23 146
Total Journal Articles 2 9 41 543 4 19 100 1,274


Statistics updated 2014-11-03