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 3 85 1 6 14 190
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 21 1 2 10 74
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 1 2 48 0 2 10 134
Realised Quantile-Based Estimation of the Integrated Variance 0 0 1 100 0 0 15 272
Statistical Models for High Frequency Security Prices 1 2 5 557 1 5 19 1,366
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 1 1 20 2,187
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 0 5 343 0 0 10 1,159
Total Working Papers 1 4 17 1,154 4 16 98 5,382


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 2 2 7 67
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 0 73 1 1 14 182
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 1 1 2 52 1 1 11 181
Properties of Realized Variance Under Alternative Sampling Schemes 0 1 5 116 0 2 14 295
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 0 2 91 0 1 7 217
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 0 0 2 141 4 10 36 351
Zero-intelligence realized variance estimation 1 1 5 96 1 2 16 185
Total Journal Articles 2 3 16 591 9 19 105 1,478


Statistics updated 2017-02-02