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 6 81 0 2 16 160
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 18 1 3 10 59
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 1 1 2 39 1 1 5 89
Realised Quantile-Based Estimation of the Integrated Variance 1 1 4 97 2 4 18 236
Statistical Models for High Frequency Security Prices 0 1 9 542 0 2 17 1,314
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 0 3 20 2,145
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 0 1 332 0 0 8 1,128
Total Working Papers 2 3 23 1,109 4 15 94 5,131


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 0 1 1 20 0 1 1 55
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 2 71 0 0 6 160
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 48 0 3 7 153
Properties of Realized Variance Under Alternative Sampling Schemes 1 1 5 105 3 5 10 269
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 1 7 82 1 4 14 197
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 1 3 14 123 1 8 30 264
Zero-intelligence realized variance estimation 1 2 8 81 4 7 25 145
Total Journal Articles 3 8 38 530 9 28 93 1,243


Statistics updated 2014-07-03