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
2922008
What every investor should know about commodities, part II: multivariate return analysis
HM Kat, RCA Oomen
Alternative Investment Research Centre Working Paper, 2006
201*2006
Properties of realized variance under alternative sampling schemes
RCA Oomen
Journal of Business & Economic Statistics 24 (2), 219-237, 2006
1872006
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
1812011
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
1812011
What every investor should know about commodities, part II: multivariate return analysis
HM Kat, RCA Oomen
Alternative Investment Research Centre Working Paper, 2006
1752006
Fact or friction: Jumps at ultra high frequency
K Christensen, RCA Oomen, M Podolskij
Journal of Financial Economics 114 (3), 576-599, 2014
1522014
Realised quantile-based estimation of the integrated variance
K Christensen, R Oomen, M Podolskij
Journal of Econometrics 159 (1), 74-98, 2010
1472010
Realised quantile-based estimation of the integrated variance
K Christensen, R Oomen, M Podolskij
Journal of Econometrics 159 (1), 74-98, 2010
1472010
Properties of bias-corrected realized variance under alternative sampling schemes
RCA Oomen
Journal of Financial Econometrics 3 (4), 555-577, 2005
1282005
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
1202012
Zero-intelligence realized variance estimation
J Gatheral, RCA Oomen
Finance and Stochastics 14 (2), 249-283, 2010
1002010
Sampling returns for realized variance calculations: tick time or transaction time?
JE Griffin, RCA Oomen
Econometric Reviews 27 (1-3), 230-253, 2008
872008
Modelling realized variance when returns are serially correlated
RCA Oomen
WZB Discussion Paper, 2004
722004
Using high frequency stock market index data to calculate, model & forecast realized return variance
RCA Oomen
European Univ., Economics Discussion Paper, 2001
442001
Estimating latent variables and jump diffusion models using high-frequency data
GJ Jiang, RCA Oomen
Journal of Financial Econometrics 5 (1), 1-30, 2007
392007
A new test for jumps in asset prices
G Jiang, R Oomen
Preprint, 2005
382005
The drift burst hypothesis
K Christensen, RCA Oomen, R RenÚ
Available at SSRN 2842535, 2018
36*2018
Properties of realized variance for a pure jump process: Calendar time sampling versus business time sampling
R Oomen
Manuscript, University of Warwick, 2004
352004
Properties of bias corrected realized variance in calender time and business time
RAA Oomen
manuscript, Warwick Business School, The University of Warwick, 2004
302004
The system can't perform the operation now. Try again later.
Articles 1–20