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 2 86 1 1 8 192
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 22 1 1 4 76
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 1 2 5 52 1 2 8 140
Realised Quantile-Based Estimation of the Integrated Variance 0 0 0 100 0 0 2 274
Statistical Models for High Frequency Security Prices 0 0 6 561 1 2 15 1,376
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 0 2 8 2,194
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 0 1 344 0 0 4 1,163
Total Working Papers 1 2 15 1,165 4 8 49 5,415


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 1 1 1 23 1 1 4 69
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 0 73 1 1 8 189
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 2 53 2 2 7 187
Properties of Realized Variance Under Alternative Sampling Schemes 0 0 2 117 0 0 5 298
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 0 1 92 0 0 3 219
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 0 1 2 143 1 6 39 380
Zero-intelligence realized variance estimation 0 1 5 100 3 5 15 198
Total Journal Articles 1 3 13 601 8 15 81 1,540


Statistics updated 2017-11-04