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	0	0	1	243
Realised Quantile-Based Estimation of the Integrated Variance	0	0	0	101	0	0	1	328
Statistical Models for High Frequency Security Prices	0	0	0	569	0	0	3	1,468
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility	0	0	0	0	2	2	5	2,293
Using high frequency stock market index data to calculate, model and forecast realized return variance	0	0	0	350	0	0	6	1,215
Total Working Papers	0	0	0	1,112	2	2	16	5,547

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	0	79
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data	0	0	1	81	0	1	2	210
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes	0	0	0	55	0	0	1	204
Properties of Realized Variance Under Alternative Sampling Schemes	0	0	0	130	0	0	1	349
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?	0	0	0	101	0	1	2	257
Testing for jumps when asset prices are observed with noise-a "swap variance" approach	0	0	1	175	1	1	6	574
Zero-intelligence realized variance estimation	0	1	3	158	1	2	11	365
Total Journal Articles	0	1	5	724	2	5	23	2,038

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Statistics updated 2025-03-03