Details about Roel C.A. Oomen

Access statistics for papers by Roel C.A. Oomen.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: poo13

Working Papers

2009

1. A blocking and regularization approach to high dimensional realized covariance estimation
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
2. Realised Quantile-Based Estimation of the Integrated Variance
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (23)

2004

3. Statistical Models for High Frequency Security Prices
   Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (5)

2001

4. Using High Frequency Data to Calculate, Model and Forecast Realized Volatility
   Computing in Economics and Finance 2001, Society for Computational Economics View citations (11)
5. Using high frequency stock market index data to calculate, model and forecast realized return variance
   Economics Working Papers, European University Institute View citations (22)

Journal Articles

2010

1. Zero-intelligence realized variance estimation
   Finance and Stochastics, 2010, 14, (2), 249-283 View citations (42)

2008

2. Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
   Econometric Reviews, 2008, 27, (1-3), 230-253 View citations (42)
3. Testing for jumps when asset prices are observed with noise-a "swap variance" approach
   Journal of Econometrics, 2008, 144, (2), 352-370 View citations (136)

2007

4. Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data
   Journal of Financial Econometrics, 2007, 5, (1), 1-30 View citations (11)

2006

5. Comment
   Journal of Business & Economic Statistics, 2006, 24, 195-202
6. Properties of Realized Variance Under Alternative Sampling Schemes
   Journal of Business & Economic Statistics, 2006, 24, 219-237 View citations (98)

2005

7. Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes
   Journal of Financial Econometrics, 2005, 3, (4), 555-577 View citations (41)