Economics at your fingertips  

Details about Roel C.A. Oomen

Workplace:Finance Group, Warwick Business School, University of Warwick, (more information at EDIRC)

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

Last updated 2010-04-19. Update your information in the RePEc Author Service.

Short-id: poo13

Jump to Journal Articles

Working Papers


  1. A blocking and regularization approach to high dimensional realized covariance estimation
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (10)
  2. Realised Quantile-Based Estimation of the Integrated Variance
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (23)


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


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

Journal Articles


  1. Zero-intelligence realized variance estimation
    Finance and Stochastics, 2010, 14, (2), 249-283 Downloads View citations (40)


  1. Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
    Econometric Reviews, 2008, 27, (1-3), 230-253 Downloads View citations (42)
  2. Testing for jumps when asset prices are observed with noise-a "swap variance" approach
    Journal of Econometrics, 2008, 144, (2), 352-370 Downloads View citations (132)


  1. Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data
    Journal of Financial Econometrics, 2007, 5, (1), 1-30 Downloads View citations (10)


  1. Comment
    Journal of Business & Economic Statistics, 2006, 24, 195-202 Downloads
  2. Properties of Realized Variance Under Alternative Sampling Schemes
    Journal of Business & Economic Statistics, 2006, 24, 219-237 Downloads View citations (95)


  1. Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes
    Journal of Financial Econometrics, 2005, 3, (4), 555-577 Downloads View citations (41)
Page updated 2024-07-16