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 3 86 1 2 12 191
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 1 1 2 22 1 2 9 75
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 0 2 48 1 1 10 135
Realised Quantile-Based Estimation of the Integrated Variance 0 0 0 100 1 2 14 274
Statistical Models for High Frequency Security Prices 0 1 4 557 1 4 15 1,369
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 2 3 14 2,189
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 0 5 343 1 2 11 1,161
Total Working Papers 2 3 16 1,156 8 16 85 5,394


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 0 0 0 22 0 3 7 68
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 0 73 1 2 10 183
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 1 2 3 53 1 4 14 184
Properties of Realized Variance Under Alternative Sampling Schemes 0 0 5 116 1 1 15 296
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 0 2 91 0 1 8 218
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 0 0 2 141 6 15 42 362
Zero-intelligence realized variance estimation 0 2 5 97 2 4 14 187
Total Journal Articles 1 4 17 593 11 30 110 1,498


Statistics updated 2017-04-03