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 1 2 83 2 5 14 181
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 0 20 1 3 5 67
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 0 1 46 2 3 28 127
Realised Quantile-Based Estimation of the Integrated Variance 0 1 1 100 3 6 14 263
Statistical Models for High Frequency Security Prices 0 1 5 553 1 8 18 1,355
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 3 11 15 2,178
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 0 4 338 1 2 10 1,151
Total Working Papers 0 3 13 1,140 13 38 104 5,322


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 1 2 4 62
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 0 73 0 5 7 173
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 50 1 1 9 171
Properties of Realized Variance Under Alternative Sampling Schemes 0 0 1 111 2 2 5 283
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 0 5 89 0 0 9 210
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 0 0 8 139 9 14 39 329
Zero-intelligence realized variance estimation 0 1 7 92 1 5 22 174
Total Journal Articles 0 1 23 576 14 29 95 1,402


Statistics updated 2016-05-03