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 1 1 2 83 1 3 12 179
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 0 20 0 2 4 66
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 0 1 46 0 1 26 125
Realised Quantile-Based Estimation of the Integrated Variance 1 1 1 100 3 4 12 260
Statistical Models for High Frequency Security Prices 1 1 5 553 2 7 18 1,354
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 4 8 12 2,175
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 1 4 338 0 3 9 1,150
Total Working Papers 3 4 13 1,140 10 28 93 5,309


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 0 1 3 61
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 0 73 0 5 7 173
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 50 0 0 9 170
Properties of Realized Variance Under Alternative Sampling Schemes 0 0 1 111 0 0 3 281
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 2 5 89 0 4 9 210
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 0 0 8 139 4 8 31 320
Zero-intelligence realized variance estimation 1 1 8 92 1 7 22 173
Total Journal Articles 1 3 24 576 5 25 84 1,388


Statistics updated 2016-04-02