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 6 81 2 2 13 162
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 18 0 1 10 59
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 1 2 39 0 1 5 89
Realised Quantile-Based Estimation of the Integrated Variance 0 2 5 98 2 6 22 240
Statistical Models for High Frequency Security Prices 1 2 9 544 4 7 22 1,321
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 2 3 16 2,148
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 1 1 333 0 1 8 1,129
Total Working Papers 1 6 24 1,113 10 21 96 5,148


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 0 0 1 20 0 0 1 55
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 1 2 72 1 2 5 162
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 1 1 2 49 1 5 9 158
Properties of Realized Variance Under Alternative Sampling Schemes 1 3 6 107 1 5 11 271
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 1 1 6 83 2 4 13 200
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 1 4 15 126 3 9 33 272
Zero-intelligence realized variance estimation 0 1 7 81 0 4 24 145
Total Journal Articles 4 11 39 538 8 29 96 1,263


Statistics updated 2014-09-03