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 3 81 1 3 13 166
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 2 3 20 1 3 8 62
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 2 5 6 44 2 8 10 97
Realised Quantile-Based Estimation of the Integrated Variance 0 0 5 99 0 2 20 244
Statistical Models for High Frequency Security Prices 0 0 6 545 3 6 22 1,329
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 1 9 19 2,158
Using high frequency stock market index data to calculate, model and forecast realized return variance 1 1 2 334 2 4 7 1,133
Total Working Papers 3 8 25 1,123 10 35 99 5,189


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 0 1 2 21 1 2 4 58
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 2 73 0 0 5 164
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 49 2 3 11 161
Properties of Realized Variance Under Alternative Sampling Schemes 1 2 5 109 1 3 12 275
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 0 4 83 0 0 9 200
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 1 4 15 131 2 10 37 284
Zero-intelligence realized variance estimation 0 0 7 82 0 0 18 146
Total Journal Articles 2 7 36 548 6 18 96 1,288


Statistics updated 2015-01-03