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 | 3 | 10 | 74 | 1 | 4 | 27 | 143 |
| Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes | 0 | 0 | 2 | 16 | 0 | 2 | 9 | 47 |
| Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling | 0 | 1 | 5 | 37 | 0 | 1 | 13 | 82 |
| Realised Quantile-Based Estimation of the Integrated Variance | 0 | 0 | 3 | 92 | 2 | 9 | 34 | 217 |
| Statistical Models for High Frequency Security Prices | 0 | 2 | 13 | 533 | 1 | 7 | 24 | 1,295 |
| Using High Frequency Data to Calculate, Model and Forecast Realized Volatility | 0 | 0 | 0 | 0 | 1 | 3 | 24 | 2,124 |
| Using high frequency stock market index data to calculate, model and forecast realized return variance | 1 | 2 | 4 | 331 | 2 | 3 | 16 | 1,119 |
| Total Working Papers | 2 | 8 | 37 | 1,083 | 7 | 29 | 147 | 5,027 |
| Journal Article | File Downloads | Abstract Views | ||||||
|---|---|---|---|---|---|---|---|---|
| Last month | 3 months | 12 months | Total | Last month | 3 months | 12 months | Total | |
| Comment | 0 | 1 | 3 | 19 | 0 | 1 | 3 | 54 |
| Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data | 0 | 2 | 3 | 69 | 1 | 6 | 13 | 154 |
| Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes | 0 | 0 | 5 | 47 | 0 | 4 | 18 | 146 |
| Properties of Realized Variance Under Alternative Sampling Schemes | 0 | 2 | 7 | 95 | 1 | 5 | 17 | 253 |
| Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? | 2 | 2 | 8 | 74 | 2 | 4 | 29 | 181 |
| Testing for jumps when asset prices are observed with noise-a "swap variance" approach | 2 | 7 | 15 | 109 | 6 | 24 | 43 | 230 |
| Zero-intelligence realized variance estimation | 0 | 7 | 16 | 72 | 1 | 8 | 25 | 117 |
| Total Journal Articles | 4 | 21 | 57 | 485 | 11 | 52 | 148 | 1,135 |
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