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 0 2 13 167
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 3 20 0 1 8 62
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 3 7 45 1 4 12 99
Realised Quantile-Based Estimation of the Integrated Variance 0 0 3 99 1 3 17 247
Statistical Models for High Frequency Security Prices 1 2 6 547 2 7 23 1,333
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 2 5 20 2,162
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 1 2 334 4 10 13 1,141
Total Working Papers 1 6 24 1,126 10 32 106 5,211


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 0 0 2 21 0 1 4 58
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 2 73 0 1 5 165
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 49 0 2 11 161
Properties of Realized Variance Under Alternative Sampling Schemes 1 2 6 110 2 4 14 278
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 1 1 3 84 1 1 8 201
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 0 1 12 131 2 6 35 288
Zero-intelligence realized variance estimation 1 1 4 83 3 3 12 149
Total Journal Articles 3 5 30 551 8 18 89 1,300


Statistics updated 2015-03-02