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 2 86 0 0 8 191
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 2 22 0 0 4 75
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 0 3 50 0 0 7 138
Realised Quantile-Based Estimation of the Integrated Variance 0 0 0 100 0 0 5 274
Statistical Models for High Frequency Security Prices 0 1 6 561 1 3 14 1,375
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 1 1 8 2,193
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 0 2 344 0 1 5 1,163
Total Working Papers 0 1 15 1,163 2 5 51 5,409


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 3 68
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 0 73 0 4 9 188
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 2 53 0 0 9 185
Properties of Realized Variance Under Alternative Sampling Schemes 0 1 2 117 0 2 7 298
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 1 1 92 0 1 4 219
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 0 1 1 142 3 14 40 377
Zero-intelligence realized variance estimation 1 2 5 100 2 5 13 195
Total Journal Articles 1 5 11 599 5 26 85 1,530


Statistics updated 2017-09-03