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 91 1 5 14 214
Realised Quantile-Based Estimation of the Integrated Variance 0 0 0 100 0 2 10 289
Statistical Models for High Frequency Security Prices 1 1 1 567 1 2 10 1,401
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 1 5 36 2,243
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 0 1 347 1 3 12 1,189
Total Working Papers 1 1 4 1,105 4 17 82 5,336


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 0 0 1 24 0 1 5 74
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 1 2 2 78 1 3 6 201
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 1 1 1 54 1 2 5 197
Properties of Realized Variance Under Alternative Sampling Schemes 0 0 2 121 0 1 9 322
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 1 2 98 0 2 13 247
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 0 0 3 157 0 4 19 446
Zero-intelligence realized variance estimation 0 3 14 136 3 8 38 284
Total Journal Articles 2 7 25 668 5 21 95 1,771


Statistics updated 2020-11-03