Access Statistics for Roel C.A. Oomen

Author contact details at EconPapers.

Working Paper	File Downloads				Abstract Views
Working Paper	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	92	1	2	3	246
Realised Quantile-Based Estimation of the Integrated Variance	0	0	0	101	0	3	4	332
Statistical Models for High Frequency Security Prices	0	0	0	569	1	1	2	1,470
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility	0	0	0	0	2	3	8	2,299
Using high frequency stock market index data to calculate, model and forecast realized return variance	0	0	0	350	2	2	2	1,217
Total Working Papers	0	0	0	1,112	6	11	19	5,564

Journal Article	File Downloads				Abstract Views
Journal Article	Last month	3 months	12 months	Total	Last month	3 months	12 months	Total
Comment	0	0	0	24	1	1	1	80
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data	0	0	0	81	0	1	3	212
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes	0	0	0	55	3	4	5	209
Properties of Realized Variance Under Alternative Sampling Schemes	0	0	0	130	2	3	4	353
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?	0	1	1	102	0	1	2	258
Testing for jumps when asset prices are observed with noise-a "swap variance" approach	0	0	0	175	1	4	6	579
Zero-intelligence realized variance estimation	0	0	3	160	0	0	7	370
Total Journal Articles	0	1	4	727	7	14	28	2,061

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Statistics updated 2025-12-06