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 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
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


Statistics updated 2023-03-10