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 5 13 189
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 21 1 1 9 73
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 1 2 48 0 3 10 134
Realised Quantile-Based Estimation of the Integrated Variance 0 0 1 100 0 1 16 272
Statistical Models for High Frequency Security Prices 1 1 4 556 3 4 18 1,365
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 0 0 19 2,186
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 0 6 343 0 0 12 1,159
Total Working Papers 1 3 17 1,153 5 14 97 5,378


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 0 0 5 65
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 0 73 0 1 13 181
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 51 0 4 10 180
Properties of Realized Variance Under Alternative Sampling Schemes 0 1 5 116 0 3 14 295
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 0 4 91 1 2 11 217
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 0 0 2 141 3 10 35 347
Zero-intelligence realized variance estimation 0 0 4 95 1 1 18 184
Total Journal Articles 0 1 16 589 5 21 106 1,469


Statistics updated 2017-01-03