Следене
Roel Oomen
Roel Oomen
Deutsche Bank
Потвърден имейл адрес: db.com
Заглавие
Позовавания
Позовавания
Година
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
3722008
What every investor should know about commodities, Part II: Multivariate return analysis
HM Kat, RCA Oomen
Alternative Investment Research Centre Working Paper, 2006
248*2006
Fact or friction: Jumps at ultra high frequency
K Christensen, RCA Oomen, M Podolskij
Journal of Financial Economics 114 (3), 576-599, 2014
2462014
Properties of realized variance under alternative sampling schemes
RCA Oomen
Journal of Business & Economic Statistics 24 (2), 219-237, 2006
2142006
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
1942011
Realised quantile-based estimation of the integrated variance
K Christensen, R Oomen, M Podolskij
Journal of Econometrics 159 (1), 74-98, 2010
1782010
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
1602012
Properties of bias-corrected realized variance under alternative sampling schemes
RCA Oomen
Journal of Financial Econometrics 3 (4), 555-577, 2005
1342005
Zero-intelligence realized variance estimation
J Gatheral, RCA Oomen
Finance and Stochastics 14 (2), 249-283, 2010
1302010
Sampling returns for realized variance calculations: tick time or transaction time?
JE Griffin, RCA Oomen
Econometric Reviews 27 (1-3), 230-253, 2008
1082008
Modelling realized variance when returns are serially correlated
RCA Oomen
WZB Discussion Paper, 2004
842004
The drift burst hypothesis
K Christensen, R Oomen, R Renò
Journal of Econometrics 227 (2), 461-497, 2022
742022
Using high frequency stock market index data to calculate, model & forecast realized return variance
RCA Oomen
European Univ., Economics Discussion Paper, 2001
532001
A new test for jumps in asset prices
GJ Jiang, R Oomen
Preprint, 2005
512005
Estimating latent variables and jump diffusion models using high-frequency data
GJ Jiang, RCA Oomen
Journal of Financial Econometrics 5 (1), 1-30, 2007
412007
Comment on 2005 JBES invited address
RCA Oomen
Realized variance and market microstructure noise” by Peter R. Hansen and …, 2006
39*2006
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
362004
Properties of bias corrected realized variance in calender time and business time
RAA Oomen
manuscript, Warwick Business School, The University of Warwick, 2004
302004
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
262012
Internalisation by electronic FX spot dealers
M Butz, R Oomen
Quantitative Finance 19 (1), 35-56, 2019
232019
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Статии 1–20