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 2 83 0 3 12 182
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 0 20 2 4 7 70
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 1 1 2 47 2 5 27 130
Realised Quantile-Based Estimation of the Integrated Variance 0 0 1 100 2 7 16 267
Statistical Models for High Frequency Security Prices 0 0 4 553 1 3 15 1,357
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 1 7 18 2,182
Using high frequency stock market index data to calculate, model and forecast realized return variance 3 3 7 341 5 6 15 1,156
Total Working Papers 4 4 16 1,144 13 35 110 5,344


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 0 0 1 22 1 4 6 65
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 0 73 2 4 11 177
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 50 1 4 8 174
Properties of Realized Variance Under Alternative Sampling Schemes 1 2 3 113 2 6 9 287
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 1 2 7 91 3 5 14 215
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 1 1 4 140 3 13 35 333
Zero-intelligence realized variance estimation 1 1 6 93 3 7 25 180
Total Journal Articles 4 6 22 582 15 43 108 1,431


Statistics updated 2016-07-02