Details about Roel C.A. Oomen
Access statistics for papers by Roel C.A. Oomen.
Last updated 2010-04-19. Update your information in the RePEc Author Service.
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- A blocking and regularization approach to high dimensional realized covariance estimation
SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (10)
- Realised Quantile-Based Estimation of the Integrated Variance
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (22)
- Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes
Working Papers, Warwick Business School, Finance Group View citations (5)
See also Journal Article in Journal of Financial Econometrics (2005)
- Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling
Working Papers, Warwick Business School, Finance Group View citations (2)
- Statistical Models for High Frequency Security Prices
Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (5)
- Using High Frequency Data to Calculate, Model and Forecast Realized Volatility
Computing in Economics and Finance 2001, Society for Computational Economics View citations (1)
- Using high frequency stock market index data to calculate, model and forecast realized return variance
Economics Working Papers, European University Institute View citations (10)
- Zero-intelligence realized variance estimation
Finance and Stochastics, 2010, 14, (2), 249-283 View citations (18)
- Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
Econometric Reviews, 2008, 27, (1-3), 230-253 View citations (26)
- Testing for jumps when asset prices are observed with noise-a "swap variance" approach
Journal of Econometrics, 2008, 144, (2), 352-370 View citations (63)
- Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data
Journal of Financial Econometrics, 2007, 5, (1), 1-30 View citations (7)
Journal of Business & Economic Statistics, 2006, 24, 195-202
- Properties of Realized Variance Under Alternative Sampling Schemes
Journal of Business & Economic Statistics, 2006, 24, 219-237 View citations (60)
- Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes
Journal of Financial Econometrics, 2005, 3, (4), 555-577 View citations (36)
See also Working Paper (2004)
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