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 1 1 87 0 1 2 196
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 0 22 0 0 3 83
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 0 0 52 0 0 2 143
Realised Quantile-Based Estimation of the Integrated Variance 0 0 0 100 0 1 1 275
Statistical Models for High Frequency Security Prices 0 1 2 566 0 2 4 1,388
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 1 2 7 2,201
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 0 0 346 2 5 8 1,175
Total Working Papers 0 2 3 1,173 3 11 27 5,461


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 0 0 0 23 0 0 0 69
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 1 1 76 0 1 1 194
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 0 53 0 0 1 190
Properties of Realized Variance Under Alternative Sampling Schemes 0 0 1 118 2 3 7 308
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 0 2 96 0 0 10 232
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 2 3 7 154 3 4 31 426
Zero-intelligence realized variance estimation 1 2 11 118 2 4 20 234
Total Journal Articles 3 6 22 638 7 12 70 1,653


Statistics updated 2019-07-03