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 1 15 160
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 18 0 1 10 59
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 1 2 39 0 1 5 89
Realised Quantile-Based Estimation of the Integrated Variance 1 2 5 98 2 4 20 238
Statistical Models for High Frequency Security Prices 1 1 9 543 3 3 19 1,317
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 1 4 15 2,146
Using high frequency stock market index data to calculate, model and forecast realized return variance 1 1 1 333 1 1 8 1,129
Total Working Papers 3 5 24 1,112 7 15 92 5,138


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 0 0 1 20 0 0 1 55
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 1 1 2 72 1 1 5 161
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 48 4 4 10 157
Properties of Realized Variance Under Alternative Sampling Schemes 1 2 5 106 1 4 10 270
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 0 5 82 1 2 12 198
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 2 4 14 125 5 10 32 269
Zero-intelligence realized variance estimation 0 2 7 81 0 6 24 145
Total Journal Articles 4 9 35 534 12 27 94 1,255


Statistics updated 2014-08-03