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 1 9 167
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 2 20 0 0 6 62
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 1 7 45 0 2 11 99
Realised Quantile-Based Estimation of the Integrated Variance 0 0 3 99 1 4 16 248
Statistical Models for High Frequency Security Prices 1 3 7 548 3 7 24 1,336
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 1 5 21 2,163
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 0 2 334 0 8 13 1,141
Total Working Papers 1 4 21 1,127 5 27 100 5,216


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 0 4 58
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 2 73 1 2 6 166
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 49 0 0 11 161
Properties of Realized Variance Under Alternative Sampling Schemes 0 1 6 110 0 3 14 278
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 1 3 84 0 1 8 201
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 0 0 11 131 1 5 33 289
Zero-intelligence realized variance estimation 1 2 5 84 2 5 13 151
Total Journal Articles 1 4 30 552 4 16 89 1,304


Statistics updated 2015-04-05