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 0 81 0 0 8 167
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 2 20 0 0 4 62
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 0 7 45 0 1 11 99
Realised Quantile-Based Estimation of the Integrated Variance 0 0 3 99 1 3 15 249
Statistical Models for High Frequency Security Prices 0 2 6 548 1 6 23 1,337
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 0 3 21 2,163
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 0 2 334 0 4 13 1,141
Total Working Papers 0 2 20 1,127 2 17 95 5,218


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 0 0 1 21 0 0 3 58
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 2 73 0 1 6 166
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 49 1 1 9 162
Properties of Realized Variance Under Alternative Sampling Schemes 0 1 6 110 0 2 12 278
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 1 2 84 0 1 5 201
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 0 0 10 131 1 4 31 290
Zero-intelligence realized variance estimation 1 3 6 85 1 6 13 152
Total Journal Articles 1 5 28 553 3 15 79 1,307


Statistics updated 2015-05-02