Roel Oomen
Roel Oomen
Deutsche Bank
Verified email at db.com
Title
Cited by
Cited by
Year
Testing for jumps when asset prices are observed with noise–a “swap variance” approach
GJ Jiang, RCA Oomen
Journal of Econometrics 144 (2), 352-370, 2008
3232008
What every investor should know about commodities, Part II: Multivariate return analysis
HM Kat, RCA Oomen
Alternative Investment Research Centre Working Paper, 2006
218*2006
Properties of realized variance under alternative sampling schemes
RCA Oomen
Journal of Business & Economic Statistics 24 (2), 219-237, 2006
2002006
Covariance measurement in the presence of non-synchronous trading and market microstructure noise
JE Griffin, RCA Oomen
Journal of Econometrics 160 (1), 58-68, 2011
1912011
Covariance measurement in the presence of non-synchronous trading and market microstructure noise
JE Griffin, RCA Oomen
Journal of Econometrics 160 (1), 58-68, 2011
1912011
What every investor should know about commodities, Part II: Multivariate return analysis
HM Kat, RCA Oomen
Alternative Investment Research Centre Working Paper, 2006
1912006
Fact or friction: Jumps at ultra high frequency
K Christensen, RCA Oomen, M Podolskij
Journal of Financial Economics 114 (3), 576-599, 2014
1882014
Realised quantile-based estimation of the integrated variance
K Christensen, R Oomen, M Podolskij
Journal of Econometrics 159 (1), 74-98, 2010
1592010
Realised quantile-based estimation of the integrated variance
K Christensen, R Oomen, M Podolskij
Journal of Econometrics 159 (1), 74-98, 2010
1592010
A blocking and regularization approach to high‐dimensional realized covariance estimation
N Hautsch, LM Kyj, RCA Oomen
Journal of Applied Econometrics 27 (4), 625-645, 2012
1352012
Properties of bias-corrected realized variance under alternative sampling schemes
RCA Oomen
Journal of Financial Econometrics 3 (4), 555-577, 2005
1302005
Zero-intelligence realized variance estimation
J Gatheral, RCA Oomen
Finance and Stochastics 14 (2), 249-283, 2010
1132010
Sampling returns for realized variance calculations: tick time or transaction time?
JE Griffin, RCA Oomen
Econometric Reviews 27 (1-3), 230-253, 2008
932008
Modelling realized variance when returns are serially correlated
RCA Oomen
WZB Discussion Paper, 2004
772004
Using high frequency stock market index data to calculate, model & forecast realized return variance
RCA Oomen
European Univ., Economics Discussion Paper, 2001
452001
A new test for jumps in asset prices
GJ Jiang, R Oomen
Preprint, 2005
422005
Estimating latent variables and jump diffusion models using high-frequency data
GJ Jiang, RCA Oomen
Journal of Financial Econometrics 5 (1), 1-30, 2007
402007
The drift burst hypothesis
K Christensen, R Oomen, R RenÚ
Journal of Econometrics, 2020
372020
Properties of realized variance for a pure jump process: Calendar time sampling versus business time sampling
R Oomen
Manuscript, University of Warwick, 2004
362004
Properties of bias corrected realized variance in calender time and business time
RAA Oomen
manuscript, Warwick Business School, The University of Warwick, 2004
322004
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