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 85 4 5 13 188
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 1 1 21 0 1 8 72
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 1 1 2 48 2 3 27 134
Realised Quantile-Based Estimation of the Integrated Variance 0 0 1 100 0 3 17 272
Statistical Models for High Frequency Security Prices 0 0 3 555 1 1 15 1,362
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 0 1 19 2,186
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 1 6 343 0 1 12 1,159
Total Working Papers 2 4 16 1,152 7 15 111 5,373


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 5 65
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 0 73 0 2 14 181
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 51 0 4 11 180
Properties of Realized Variance Under Alternative Sampling Schemes 1 1 5 116 2 4 14 295
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 0 5 91 0 1 11 216
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 0 0 2 141 3 7 34 344
Zero-intelligence realized variance estimation 0 0 4 95 0 1 17 183
Total Journal Articles 1 1 17 589 5 19 106 1,464


Statistics updated 2016-12-03