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Information about:
Roel C.A. Oomen

Personal Details | Affiliation | Works
This is information that was supplied by Roel Oomen in registering through RePEc. If you are Roel C.A. Oomen , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Roel
Middle Name: C.A.
Last Name: Oomen
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RePEc Short-ID: poo13

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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Roel C.A. Oomen, 2004. "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings 77, Econometric Society. [Downloadable!]

  2. Roel Oomen, 2001. "Using High Frequency Data to Calculate, Model and Forecast Realized Volatility," Computing in Economics and Finance 2001 75, Society for Computational Economics.

  3. Roel C.A. OOMEN, 2001. "Using high frequency stock market index data to calculate, model and forecast realized return variance," Economics Working Papers ECO2001/06, European University Institute. [Downloadable!]

Articles

  1. Jim Griffin & Roel Oomen, 2008. "Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 230-253. [Downloadable!] (restricted)

  2. Jiang, George J. & Oomen, Roel C.A., 2008. "Testing for jumps when asset prices are observed with noise-a "swap variance" approach," Journal of Econometrics, Elsevier, vol. 144(2), pages 352-370, June. [Downloadable!] (restricted)

  3. George J. Jiang & Roel C. A. Oomen, 2007. "Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 1-30. [Downloadable!] (restricted)

  4. Oomen, Roel C.A., 2006. "Properties of Realized Variance Under Alternative Sampling Schemes," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 219-237, April. [Downloadable!] (restricted)

  5. Oomen, Roel C.A., 2006. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 195-202, April. [Downloadable!] (restricted)

  6. Roel C. A. Oomen, 2005. "Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes," Journal of Financial Econometrics, Oxford University Press, vol. 3(4), pages 555-577. [Downloadable!] (restricted)

NEP Fields

1 paper by this author was announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (1) 2004-12-02 Author is listed
  2. NEP-ETS: Econometric Time Series (1) 2004-12-02 Author is listed
  3. NEP-FIN: Finance (1) 2004-12-02 Author is listed
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This page was last updated on 2009-11-23.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.