Roel C.A. Oomen
|Terminal Degree:||Department of Economics; European University Institute (from RePEc Genealogy)|
Finance Group Coventry, United Kingdom
Warwick Business School
University of Warwick
RePEc:edi:afwbsuk (more details at EDIRC)
Research outputJump to: Working papers Articles
- Kim Christensen & Roel Oomen & Mark Podolskij, 2009.
"Realised Quantile-Based Estimation of the Integrated Variance,"
CREATES Research Papers
2009-27, Department of Economics and Business Economics, Aarhus University.
- Christensen, Kim & Oomen, Roel & Podolskij, Mark, 2010. "Realised quantile-based estimation of the integrated variance," Journal of Econometrics, Elsevier, vol. 159(1), pages 74-98, November.
- Kim Christensen & Roel Oomen & Mark Podolskij, 2010. "Realised quantile-based estimation of the integrated variance," Post-Print hal-00732538, HAL.
- 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.
- Nikolaus Hautsch & Lada M. Kyj & Roel C. A. Oomen, 2012. "A blocking and regularization approach to high‐dimensional realized covariance estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(4), pages 625-645, June.
- Hautsch, Nikolaus & Kyj, Lada M. & Hautsch, Nikolaus, 2009. "A blocking and regularization approach to high dimensional realized covariance estimation," CFS Working Paper Series 2009/20, Center for Financial Studies (CFS).
- Roel C.A. Oomen, 2004. "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings 77, Econometric Society.
- 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.
- 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.
- Jim Gatheral & Roel Oomen, 2010. "Zero-intelligence realized variance estimation," Finance and Stochastics, Springer, vol. 14(2), pages 249-283, April.
- 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.
- 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.
- 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.
- Oomen, Roel C.A., 2006. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 195-202, April.
- 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.
- 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.
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