| 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 | 370 | 2008 |
| What every investor should know about commodities, Part II: Multivariate return analysis HM Kat, RCA Oomen Alternative Investment Research Centre Working Paper, 2006 | 246* | 2006 |
| Fact or friction: Jumps at ultra high frequency K Christensen, RCA Oomen, M Podolskij Journal of Financial Economics 114 (3), 576-599, 2014 | 243 | 2014 |
| Properties of realized variance under alternative sampling schemes RCA Oomen Journal of Business & Economic Statistics 24 (2), 219-237, 2006 | 213 | 2006 |
| 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 | 193 | 2011 |
| Realised quantile-based estimation of the integrated variance K Christensen, R Oomen, M Podolskij Journal of Econometrics 159 (1), 74-98, 2010 | 177 | 2010 |
| 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 | 159 | 2012 |
| Zero-intelligence realized variance estimation J Gatheral, RCA Oomen Finance and Stochastics 14 (2), 249-283, 2010 | 133 | 2010 |
| Properties of bias-corrected realized variance under alternative sampling schemes RCA Oomen Journal of Financial Econometrics 3 (4), 555-577, 2005 | 132 | 2005 |
| Sampling returns for realized variance calculations: tick time or transaction time? JE Griffin, RCA Oomen Econometric Reviews 27 (1-3), 230-253, 2008 | 108 | 2008 |
| Modelling realized variance when returns are serially correlated RCA Oomen WZB Discussion Paper, 2004 | 80 | 2004 |
| The drift burst hypothesis K Christensen, R Oomen, R Renò Journal of Econometrics 227 (2), 461-497, 2022 | 75 | 2022 |
| Using high frequency stock market index data to calculate, model & forecast realized return variance RCA Oomen European Univ., Economics Discussion Paper, 2001 | 52 | 2001 |
| A new test for jumps in asset prices GJ Jiang, R Oomen Preprint, 2005 | 51 | 2005 |
| Estimating latent variables and jump diffusion models using high-frequency data GJ Jiang, RCA Oomen Journal of Financial Econometrics 5 (1), 1-30, 2007 | 41 | 2007 |
| Properties of realized variance for a pure jump process: Calendar time sampling versus business time sampling RCA Oomen Warwick Business School, Financial Econometrics Research Centre, 2004 | 36 | 2004 |
| [Realized Variance and Market Microstructure Noise]: Comment RCA Oomen Journal of Business & Economic Statistics 24 (2), 195-202, 2006 | 32* | 2006 |
| Properties of bias corrected realized variance in calender time and business time RAA Oomen manuscript, Warwick Business School, The University of Warwick, 2004 | 30 | 2004 |
| Internalisation by electronic FX spot dealers M Butz, R Oomen Quantitative Finance 19 (1), 35-56, 2019 | 25 | 2019 |
| Realized mixed-frequency factor models for vast dimensional covariance estimation K Bannouh, M Martens, RCA Oomen, DJC van Dijk ERIM Report Series Reference No. ERS-2012-017-F&A, 2012 | 24 | 2012 |
