Roel C.A. Oomen
Names
| first: | Roel |
| middle: | C.A. |
| last: | Oomen |
Identifer
| RePEc Short-ID: | poo13 |
Contact
Affiliations
-
University of Warwick
/ Warwick Business School
/ Finance Group
- EDIRC entry
- location:
Research profile
author of:
- Realised Quantile-Based Estimation of the Integrated Variance (RePEc:aah:create:2009-27)
by Kim Christensen & Roel Oomen & Mark Podolskij - Comment (RePEc:bes:jnlbes:v:24:y:2006:p:195-202)
by Oomen, Roel C.A. - Properties of Realized Variance Under Alternative Sampling Schemes (RePEc:bes:jnlbes:v:24:y:2006:p:219-237)
by Oomen, Roel C.A. - Statistical Models for High Frequency Security Prices (RePEc:ecm:nawm04:77)
by Roel C.A. Oomen - Testing for jumps when asset prices are observed with noise-a "swap variance" approach (RePEc:eee:econom:v:144:y:2008:i:2:p:352-370)
by Jiang, George J. & Oomen, Roel C.A. - Using high frequency stock market index data to calculate, model and forecast realized return variance (RePEc:eui:euiwps:eco2001/06)
by Roel C.A. OOMEN - A blocking and regularization approach to high dimensional realized covariance estimation (RePEc:hum:wpaper:sfb649dp2009-049)
by Nikolaus Hautsch & Lada M. Kyj & Roel C.A. Oomen - Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes (RePEc:oup:jfinec:v:3:y:2005:i:4:p:555-577)
by Roel C. A. Oomen - Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data (RePEc:oup:jfinec:v:5:y:2007:i:1:p:1-30)
by George J. Jiang & Roel C. A. Oomen - Using High Frequency Data to Calculate, Model and Forecast Realized Volatility (RePEc:sce:scecf1:75)
by Roel Oomen - Zero-intelligence realized variance estimation (RePEc:spr:finsto:v:14:y:2010:i:2:p:249-283)
by Jim Gatheral & Roel Oomen - Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? (RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:230-253)
by Jim Griffin & Roel Oomen - A blocking and regularization approach to high dimensional realized covariance estimation (RePEc:zbw:sfb649:sfb649dp2009-049)
by Hautsch, Nikolaus & Kyj, Lada M. & Oomen, Roel C.A.