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 3 3 8 81 4 5 16 158
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 1 1 2 18 2 2 11 56
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 0 2 38 1 1 7 88
Realised Quantile-Based Estimation of the Integrated Variance 0 2 4 96 2 8 23 232
Statistical Models for High Frequency Security Prices 0 2 10 541 2 5 22 1,312
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 0 3 20 2,142
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 0 2 332 0 2 11 1,128
Total Working Papers 4 8 28 1,106 11 26 110 5,116


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 0 0 1 19 0 0 1 54
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 4 71 0 1 9 160
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 48 0 0 4 150
Properties of Realized Variance Under Alternative Sampling Schemes 0 0 9 104 0 1 14 264
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 2 9 81 0 2 15 193
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 1 4 14 120 3 9 38 256
Zero-intelligence realized variance estimation 0 4 7 79 1 10 22 138
Total Journal Articles 1 10 45 522 4 23 103 1,215


Statistics updated 2014-04-04