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 1 1 2 84 1 1 12 183
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 0 20 1 3 7 71
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 1 2 47 1 3 26 131
Realised Quantile-Based Estimation of the Integrated Variance 0 0 1 100 1 4 16 269
Statistical Models for High Frequency Security Prices 2 2 5 555 4 5 17 1,361
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 2 4 20 2,185
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 4 6 342 1 7 14 1,158
Total Working Papers 3 8 16 1,148 11 27 112 5,358


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 0 1 6 65
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 0 73 0 4 13 179
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 1 2 51 0 3 8 176
Properties of Realized Variance Under Alternative Sampling Schemes 1 3 5 115 3 6 12 291
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 1 7 91 0 3 13 215
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 1 2 3 141 2 7 34 337
Zero-intelligence realized variance estimation 1 3 6 95 1 5 22 182
Total Journal Articles 3 10 24 588 6 29 108 1,445


Statistics updated 2016-09-03