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 0 81 3 3 10 170
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 2 20 0 1 4 63
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 0 6 45 1 4 14 103
Realised Quantile-Based Estimation of the Integrated Variance 0 0 2 99 1 3 15 251
Statistical Models for High Frequency Security Prices 0 1 7 549 1 6 28 1,342
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 0 1 19 2,164
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 0 2 334 0 0 13 1,141
Total Working Papers 0 1 19 1,128 6 18 103 5,234


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 0 0 1 21 1 1 4 59
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 2 73 0 0 6 166
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 49 3 5 13 166
Properties of Realized Variance Under Alternative Sampling Schemes 0 0 5 110 0 0 9 278
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 0 2 84 0 0 4 201
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 2 5 13 136 4 9 34 298
Zero-intelligence realized variance estimation 0 3 6 87 1 4 10 155
Total Journal Articles 2 8 30 560 9 19 80 1,323


Statistics updated 2015-07-02