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 1 3 86 0 1 10 191
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 1 2 22 0 1 8 75
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 0 2 48 0 1 8 135
Realised Quantile-Based Estimation of the Integrated Variance 0 0 0 100 0 2 11 274
Statistical Models for High Frequency Security Prices 2 2 6 559 2 5 16 1,371
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 3 5 14 2,192
Using high frequency stock market index data to calculate, model and forecast realized return variance 1 1 6 344 1 3 11 1,162
Total Working Papers 3 5 19 1,159 6 18 78 5,400


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 0 0 0 22 0 1 6 68
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 0 73 1 2 11 184
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 1 3 53 0 3 13 184
Properties of Realized Variance Under Alternative Sampling Schemes 0 0 5 116 0 1 13 296
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 0 2 91 0 1 8 218
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 0 0 2 141 1 12 34 363
Zero-intelligence realized variance estimation 1 2 6 98 2 5 15 189
Total Journal Articles 1 3 18 594 4 25 100 1,502


Statistics updated 2017-05-02