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 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 0 2 4 2,293
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 0 0 350 0 0 5 1,215
Total Working Papers 0 0 0 1,112 0 2 14 5,547


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 0 0 79
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 0 1 81 1 2 3 211
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 0 55 0 0 0 204
Properties of Realized Variance Under Alternative Sampling Schemes 0 0 0 130 0 0 0 349
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 0 175 0 1 5 574
Zero-intelligence realized variance estimation 0 1 3 158 0 2 10 365
Total Journal Articles 0 1 4 724 1 6 20 2,039


Statistics updated 2025-04-04