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 1 86 0 0 2 192
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 22 1 1 3 77
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 0 4 52 0 0 6 140
Realised Quantile-Based Estimation of the Integrated Variance 0 0 0 100 0 0 2 274
Statistical Models for High Frequency Security Prices 0 2 6 563 0 4 14 1,380
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 0 0 7 2,194
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 1 2 345 0 1 5 1,164
Total Working Papers 0 3 14 1,168 1 6 39 5,421


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Comment 0 0 1 23 0 0 2 69
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 1 1 74 2 3 10 192
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 1 53 0 1 7 188
Properties of Realized Variance Under Alternative Sampling Schemes 0 0 1 117 0 0 3 298
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 1 2 93 0 2 4 221
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 1 1 3 144 2 7 36 387
Zero-intelligence realized variance estimation 0 1 5 101 1 3 17 201
Total Journal Articles 1 4 14 605 5 16 79 1,556


Statistics updated 2018-02-05