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 81 1 3 12 165
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 1 2 3 20 1 2 8 61
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 3 4 42 2 6 8 95
Realised Quantile-Based Estimation of the Integrated Variance 0 1 5 99 1 4 22 244
Statistical Models for High Frequency Security Prices 0 1 7 545 1 5 23 1,326
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 6 9 21 2,157
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 0 1 333 0 2 6 1,131
Total Working Papers 1 7 23 1,120 12 31 100 5,179


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 1 1 2 21 1 2 3 57
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 1 2 73 0 2 6 164
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 49 0 1 9 159
Properties of Realized Variance Under Alternative Sampling Schemes 1 1 4 108 1 3 11 274
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 0 4 83 0 0 9 200
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 1 4 18 130 6 10 40 282
Zero-intelligence realized variance estimation 0 1 7 82 0 1 21 146
Total Journal Articles 3 8 38 546 8 19 99 1,282


Statistics updated 2014-12-03