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
3672008
What every investor should know about commodities, Part II: Multivariate return analysis
HM Kat, RCA Oomen
Alternative Investment Research Centre Working Paper, 2006
245*2006
Fact or friction: Jumps at ultra high frequency
K Christensen, RCA Oomen, M Podolskij
Journal of Financial Economics 114 (3), 576-599, 2014
2432014
What every investor should know about commodities, Part II: Multivariate return analysis
HM Kat, RCA Oomen
Alternative Investment Research Centre Working Paper, 2006
2172006
Properties of realized variance under alternative sampling schemes
RCA Oomen
Journal of Business & Economic Statistics 24 (2), 219-237, 2006
2132006
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
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
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
1582012
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
1292010
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
832004
The drift burst hypothesis
K Christensen, R Oomen, R Renò
Journal of Econometrics 227 (2), 461-497, 2022
722022
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
402007
Comment on 2005 JBES invited address
RCA Oomen
Realized variance and market microstructure noise” by Peter R. Hansen and …, 2006
37*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
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Статии 1–20