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 3 86 0 0 9 191
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 2 22 0 0 5 75
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 2 3 50 0 3 8 138
Realised Quantile-Based Estimation of the Integrated Variance 0 0 0 100 0 0 7 274
Statistical Models for High Frequency Security Prices 1 4 8 561 1 4 16 1,373
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 0 3 10 2,192
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 1 3 344 1 2 7 1,163
Total Working Papers 1 7 19 1,163 2 12 62 5,406


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 0 3 68
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 0 73 1 2 8 185
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 3 53 0 1 11 185
Properties of Realized Variance Under Alternative Sampling Schemes 1 1 4 117 1 1 10 297
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 0 0 91 0 0 3 218
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 1 1 2 142 5 6 35 368
Zero-intelligence realized variance estimation 0 1 5 98 0 3 10 190
Total Journal Articles 2 3 14 596 7 13 80 1,511


Statistics updated 2017-07-04