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 | 92 | 1 | 3 | 11 | 254 |
| Realised Quantile-Based Estimation of the Integrated Variance | 0 | 0 | 0 | 101 | 0 | 2 | 10 | 338 |
| Statistical Models for High Frequency Security Prices | 0 | 0 | 0 | 569 | 1 | 5 | 13 | 1,481 |
| Using High Frequency Data to Calculate, Model and Forecast Realized Volatility | 0 | 0 | 0 | 0 | 0 | 4 | 17 | 2,311 |
| Using high frequency stock market index data to calculate, model and forecast realized return variance | 0 | 0 | 0 | 350 | 0 | 3 | 10 | 1,225 |
| Total Working Papers | 0 | 0 | 0 | 1,112 | 2 | 17 | 61 | 5,609 |
| Journal Article | File Downloads | Abstract Views | ||||||
|---|---|---|---|---|---|---|---|---|
| Last month | 3 months | 12 months | Total | Last month | 3 months | 12 months | Total | |
| Comment | 0 | 0 | 0 | 24 | 0 | 2 | 11 | 90 |
| Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data | 0 | 0 | 0 | 81 | 0 | 3 | 10 | 221 |
| Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes | 0 | 0 | 0 | 55 | 0 | 9 | 31 | 236 |
| Properties of Realized Variance Under Alternative Sampling Schemes | 0 | 0 | 0 | 130 | 0 | 3 | 15 | 364 |
| Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? | 0 | 0 | 1 | 102 | 0 | 3 | 7 | 264 |
| Testing for jumps when asset prices are observed with noise-a "swap variance" approach | 0 | 0 | 0 | 175 | 1 | 13 | 24 | 598 |
| Zero-intelligence realized variance estimation | 0 | 1 | 5 | 164 | 2 | 7 | 22 | 388 |
| Total Journal Articles | 0 | 1 | 6 | 731 | 3 | 40 | 120 | 2,161 |
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