Browsing Department of Economics (ECO) by Author "OOMEN, Roel C. A."
Title:Three essays on the econometric analysis of high frequency financial data Author(s):OOMEN, Roel C. A.Date:2003Citation:Florence, European University Institute, 2003Type of Publication:ThesisSeries/Report no.:EUI PhD theses; Department of EconomicsAbstract: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:2001Type of Publication:Working PaperSeries/Report no.:EUI ECO; 2001/06