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Roel C.A. Oomen

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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 the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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

Finance Group
Warwick Business School
University of Warwick
Location: Coventry, United Kingdom
Homepage: http://www.wbs.ac.uk/faculty/subjects/fin.cfm
Email:
Phone: +44 (0)24 7652 4306
Fax: +44 (0)24 7652 3719
Postal: Coventry, CV4 7AL
Handle: RePEc:edi:afwbsuk (more details at EDIRC)

Works

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Working papers

  1. Nikolaus Hautsch & Lada M. Kyj & Roel C.A. Oomen, 2009. "A blocking and regularization approach to high dimensional realized covariance estimation," SFB 649 Discussion Papers SFB649DP2009-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Kim Christensen & Roel Oomen & Mark Podolskij, 2009. "Realised Quantile-Based Estimation of the Integrated Variance," CREATES Research Papers 2009-27, School of Economics and Management, University of Aarhus.
  3. Roel C.A. Oomen, 2004. "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings 77, Econometric Society.
  4. Roel Oomen, 2004. "Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling," Working Papers wp04-14, Warwick Business School, Finance Group.
  5. Roel Oomen, 2004. "Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes," Working Papers wp04-15, Warwick Business School, Finance Group.
  6. 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.
  7. 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.

Articles

  1. Jim Gatheral & Roel Oomen, 2010. "Zero-intelligence realized variance estimation," Finance and Stochastics, Springer, vol. 14(2), pages 249-283, April.
  2. Jim Griffin & Roel Oomen, 2008. "Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 230-253.
  3. 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.
  4. George J. Jiang & Roel C. A. Oomen, 2007. "Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(1), pages 1-30.
  5. 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.
  6. Oomen, Roel C.A., 2006. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 195-202, April.
  7. Roel C. A. Oomen, 2005. "Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(4), pages 555-577.

NEP Fields

3 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (3) 2004-12-02 2009-07-03 2009-10-31. Author is listed
  2. NEP-ETS: Econometric Time Series (3) 2004-12-02 2009-07-03 2009-10-31. Author is listed
  3. NEP-FIN: Finance (1) 2004-12-02. Author is listed
  4. NEP-MST: Market Microstructure (2) 2009-07-03 2009-10-31. Author is listed
  5. NEP-ORE: Operations Research (1) 2009-10-31. Author is listed

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