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 2 83 0 1 12 182
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 0 20 0 3 7 70
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 1 2 47 0 3 27 130
Realised Quantile-Based Estimation of the Integrated Variance 0 0 1 100 1 5 15 268
Statistical Models for High Frequency Security Prices 0 0 4 553 0 2 14 1,357
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 1 5 19 2,183
Using high frequency stock market index data to calculate, model and forecast realized return variance 1 4 7 342 1 6 15 1,157
Total Working Papers 1 5 16 1,145 3 25 109 5,347


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 3 6 65
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 0 73 2 6 13 179
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 1 1 2 51 2 5 10 176
Properties of Realized Variance Under Alternative Sampling Schemes 1 3 4 114 1 5 10 288
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 2 7 91 0 5 14 215
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 0 1 2 140 2 6 32 335
Zero-intelligence realized variance estimation 1 2 7 94 1 7 25 181
Total Journal Articles 3 9 23 585 8 37 110 1,439


Statistics updated 2016-08-02