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	7	240
Realised Quantile-Based Estimation of the Integrated Variance	0	0	0	101	1	2	10	317
Statistical Models for High Frequency Security Prices	0	0	1	569	2	11	26	1,450
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility	0	0	0	0	1	1	9	2,284
Using high frequency stock market index data to calculate, model and forecast realized return variance	0	0	0	349	0	0	1	1,206
Total Working Papers	0	0	1	1,111	5	16	53	5,497

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	0	0	1	78
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data	0	0	0	79	0	0	1	206
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes	0	0	1	55	0	0	1	202
Properties of Realized Variance Under Alternative Sampling Schemes	0	2	3	128	0	4	11	342
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?	0	0	2	101	0	0	2	252
Testing for jumps when asset prices are observed with noise-a "swap variance" approach	1	2	3	164	6	16	38	522
Zero-intelligence realized variance estimation	1	1	5	151	1	1	15	341
Total Journal Articles	2	5	14	702	7	21	69	1,943

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Statistics updated 2023-03-10