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 1 3 241
Realised Quantile-Based Estimation of the Integrated Variance 0 0 0 101 0 0 11 326
Statistical Models for High Frequency Security Prices 0 0 0 569 0 0 26 1,465
Using High Frequency Data to Calculate, Model and Forecast Realized Volatility 0 0 0 0 0 2 5 2,288
Using high frequency stock market index data to calculate, model and forecast realized return variance 0 1 1 350 0 2 3 1,209
Total Working Papers 0 1 1 1,112 0 5 48 5,529


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 78
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data 0 1 1 80 0 1 2 208
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes 0 0 0 55 0 0 0 202
Properties of Realized Variance Under Alternative Sampling Schemes 0 0 3 129 1 2 8 346
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? 0 0 0 101 0 0 2 254
Testing for jumps when asset prices are observed with noise-a "swap variance" approach 0 3 10 172 0 8 57 563
Zero-intelligence realized variance estimation 0 0 5 155 0 1 12 352
Total Journal Articles 0 4 19 716 1 12 81 2,003


Statistics updated 2023-12-04