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Oomen, Roel C. A.


 SSRN Author Rank: 658 by Downloads
 

Deutsche Bank AG


 1 Great Winchester Street
 London, EC2N 2DB
 United Kingdom
 email address
 

University of Amsterdam


 Roetersstraat 11
 Amsterdam, 1018 WB
 Netherlands
 email address

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. Oomen, Roel C. A.'s Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
21,442
Total
Citations
296
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
What Every Investor Should Know About Commodities, Part I: Univariate Return Analysis | Show Abstract | Download This Paper |
Alternative Investment Research Centre Working Paper No. 29, Cass Business School Research Paper
Number of Pages in PDF File: 35
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
27 Jan 06
4,926
(771)
15

2.   Incl. Electronic Paper
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
14 Jun 06
Last Revised:
21 Nov 07
3,734
(1,247)
14

3.  
How to Time the Commodity Market | Show Abstract | Download This Paper |
Journal of Derivatives & Hedge Funds, Vol. 16, No. 1, pp. 1-8, 2010
Number of Pages in PDF File: 16
Basu, Devraj
Université Lille Nord de France - Skema Business School
Oomen, Roel C. A.
Deutsche Bank AG
Stremme, Alexander
University of Warwick - Finance Group
Posted:
22 Jun 06
Last Revised:
18 Mar 14
2,879
(1,998)
2

4.  
Oomen, Roel C. A.
Deutsche Bank AG
Jiang, George J.
Washington State University
Posted:
20 Mar 02
1,957
(3,931)
2

5.  
Zero-Intelligence Realized Variance Estimation | Show Abstract | Download This Paper |
Finance and Stochastics, Vol. 14, No. 2, pp. 249-283, 2010
Number of Pages in PDF File: 30
Gatheral, Jim
CUNY Baruch College
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
15 Mar 07
Last Revised:
15 Mar 10
1,883
(4,187)
15

6.  
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
01 May 01
1,066
(11,029)
3

7.  
Covariance Measurement in the Presence of Non-Synchronous Trading and Market Microstructure Noise | Show Abstract | Download This Paper |
Journal of Econometrics, Vol. 160, No. 1, pp. 58-68, 2011
Number of Pages in PDF File: 25
Griffin, Jim E.
University of Kent
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
07 Jul 06
Last Revised:
15 Dec 10
624
(24,329)
18

8.  
Statistical Models for High Frequency Security Prices | Show Abstract | Download This Paper |
EFA 2003 Annual Conference Paper No. 105
Number of Pages in PDF File: 44
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
23 Jul 03
602
(25,642)
3

9.  
When to Pick the Losers: Do Sentiment Indicators Improve Dynamic Asset Allocation? | Show Abstract | Download This Paper |
EFA 2006 Zurich Meetings Paper, Cass Business School Research Paper, Durham Business School Working Paper
Number of Pages in PDF File: 33
Basu, Devraj
Université Lille Nord de France - Skema Business School
Hung, Chi-Hsiou Daniel
University of Glasgow - Adam Smith Business School
Oomen, Roel C. A.
Deutsche Bank AG
Stremme, Alexander
University of Warwick - Finance Group
Posted:
08 Mar 06
559
(28,382)
2

10.  
Testing for Jumps When Asset Prices are Observed with Noise - A Swap Variance Approach | Show Abstract | Download This Paper |
Journal of Econometrics, Vol. 144, No. 2, pp. 352-370, 2008
Number of Pages in PDF File: 41
Jiang, George J.
Washington State University
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
21 Nov 05
Last Revised:
08 Jul 08
510
(32,090)
15

11.  
Fact or Friction: Jumps at Ultra High Frequency | Show Abstract | Download This Paper |
Journal of Financial Economics (JFE), Forthcoming
Number of Pages in PDF File: 44
Christensen, Kim
University of Aarhus - CREATES
Oomen, Roel C. A.
Deutsche Bank AG
Podolskij, Mark
University of Aarhus - School of Economics and Management
Posted:
22 May 11
Last Revised:
03 Feb 14
469
(35,752)
8

12.  
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? | Show Abstract | Download This Paper |
Econometric Reviews, Vol. 27, No. 1, pp. 230-253, 2008
Number of Pages in PDF File: 28
Griffin, Jim E.
University of Kent
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
06 Jun 06
Last Revised:
08 Jul 08
395
(44,502)
10

13.  
Properties of Realized Variance Under Alternative Sampling Schemes | Show Abstract | Download This Paper |
Journal of Business and Economic Statistics, Vol. 24, No. 2, pp. 219-237, 2006
Number of Pages in PDF File: 36
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
06 Dec 05
Last Revised:
15 Feb 08
344
(52,454)
55

14.   Incl. Electronic Paper
Jiang, George J.
Washington State University
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
18 Aug 06
Last Revised:
27 Feb 13
313
(54,521)
3

15.  
High Dimensional Covariance Forecasting for Short Intra-Day Horizons | Show Abstract | Download This Paper |
Quantitative Finance, Vol. 10, No. 10, pp. 1173-1185, 2010
Number of Pages in PDF File: 22
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
10 May 09
Last Revised:
29 Oct 10
288
(64,463)
3

16.  
Realised Quantile-Based Estimation of the Integrated Variance | Show Abstract | Download This Paper |
Journal of Econometrics, Vol 159, No. 1, pp. 74-98, 2010
Number of Pages in PDF File: 54
Christensen, Kim
University of Aarhus - CREATES
Oomen, Roel C. A.
Deutsche Bank AG
Podolskij, Mark
University of Heidelberg - Institute of Applied Mathematics
Posted:
21 Jan 08
Last Revised:
29 Oct 10
278
(67,033)
20

17.  
Hautsch, Nikolaus
University of Vienna - Department of Statistics and Operations Research
Kyj, Lada M.
Humboldt University of Berlin
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
18 Oct 09
Last Revised:
22 Aug 10
233
(80,907)
11

18.  
Realized Mixed-Frequency Factor Models for Vast Dimensional Covariance Estimation | Show Abstract | Download This Paper |
ERIM Report Series Reference No. ERS-2012-017-F&A
Number of Pages in PDF File: 45
Bannouh, Karim
Erasmus University Rotterdam (EUR) - Department of Econometrics
Martens, Martin
Erasmus University Rotterdam (EUR)
Oomen, Roel C. A.
Deutsche Bank AG
van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Posted:
24 Oct 12
151
(122,232)
4

19.   Incl. Electronic Paper
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
17 Aug 05
Last Revised:
29 Jul 10
78
(197,391)
51

20.  
Griffin, Jim E.
University of Kent
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
26 Jul 09
Last Revised:
27 Jul 09
60
(228,162)
14

21.  
Christensen, Kim
University of Aarhus - CREATES
Oomen, Roel C. A.
Deutsche Bank AG
Podolskij, Mark
University of Heidelberg - Institute of Applied Mathematics
Posted:
09 May 09
Last Revised:
30 Sep 09
54
(240,206)
21

22.  
Christensen, Kim
University of Aarhus - CREATES
Oomen, Roel C. A.
Deutsche Bank AG
Podolskij, Mark
University of Heidelberg - Institute of Applied Mathematics
Posted:
20 Nov 12
Last Revised:
29 Jan 13
35
(286,376)
5

23.  
International Dynamic Asset Allocation and Return Predictability | Show Abstract | Add to Cart |
Journal of Business Finance & Accounting, Vol. 37, No. 7-8, pp. 1008-1025, July/August 2010
Number of Pages in PDF File: 18
Basu, Devraj
Université Lille Nord de France - Skema Business School
Oomen, Roel C. A.
Deutsche Bank AG
Stremme, Alexander
University of Warwick - Finance Group
Posted:
20 Sep 10
4
(411,047)
2

24.  
What Every Investor Should Know About Commodities, Part I | Show Abstract |
Journal of Investment Management, Vol. 5, No. 1, First Quarter 2007
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
28 Mar 07
 


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