Browsing by Author "OOMEN, Roel C. A."

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Title: Three essays on the econometric analysis of high frequency financial data Author(s): OOMEN, Roel C. A. Date: 2003 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: This thesis is motivated by the observation that the time series properties of financial security prices can vary fundamentally with their sampling frequency. Econometric models developed for low frequency data may thus ...
Title: Using high frequency stock market index data to calculate, model and forecast realized return variance Author(s): OOMEN, Roel C. A. Date: 2001 Type of Publication: Working Paper Series/Report no.: EUI ECO

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