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 5 81 1 3 13 163
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 18 0 0 9 59
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 0 2 39 0 0 5 89
Realised Quantile-Based Estimation of the Integrated Variance 1 2 6 99 2 6 23 242
Statistical Models for High Frequency Security Prices 1 3 10 545 2 9 24 1,323
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 1 4 17 2,149
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 1 1 333 0 1 7 1,129
Total Working Papers 2 6 25 1,115 6 23 98 5,154


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 0 0 1 20 1 1 2 56
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 1 2 3 73 2 4 7 164
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 1 2 49 0 5 9 158
Properties of Realized Variance Under Alternative Sampling Schemes 0 2 6 107 1 3 12 272
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 1 6 83 0 3 13 200
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 1 4 16 127 2 10 35 274
Zero-intelligence realized variance estimation 1 1 8 82 1 1 23 146
Total Journal Articles 3 11 42 541 7 27 101 1,270


Statistics updated 2014-10-03