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 2 83 1 4 15 182
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 0 20 1 2 5 68
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 0 1 46 1 3 26 128
Realised Quantile-Based Estimation of the Integrated Variance 0 1 1 100 2 8 15 265
Statistical Models for High Frequency Security Prices 0 1 4 553 1 4 15 1,356
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 3 10 17 2,181
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 0 4 338 0 1 10 1,151
Total Working Papers 0 3 12 1,140 9 32 103 5,331


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 2 3 6 64
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 0 73 2 2 9 175
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 50 2 3 10 173
Properties of Realized Variance Under Alternative Sampling Schemes 1 1 2 112 2 4 7 285
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 1 1 6 90 2 2 11 212
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 0 0 5 139 1 14 36 330
Zero-intelligence realized variance estimation 0 1 5 92 3 5 23 177
Total Journal Articles 2 3 20 578 14 33 102 1,416


Statistics updated 2016-06-03