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 3 89 0 3 6 200
Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes 0 0 0 22 3 5 7 88
Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling 0 1 1 53 0 3 4 146
Realised Quantile-Based Estimation of the Integrated Variance 0 0 0 100 1 4 5 279
Statistical Models for High Frequency Security Prices 0 0 2 566 1 3 6 1,391
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 2 5 12 2,207
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 0 0 346 1 1 9 1,177
Total Working Papers 0 2 6 1,176 8 24 49 5,488


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 0 1 76 1 1 2 195
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 0 53 2 2 3 192
Properties of Realized Variance Under Alternative Sampling Schemes 0 1 2 119 1 5 11 313
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 0 2 96 2 2 8 234
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 0 0 6 154 1 1 21 427
Zero-intelligence realized variance estimation 1 3 11 122 3 9 25 246
Total Journal Articles 1 4 22 643 10 20 70 1,676


Statistics updated 2019-11-03