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Oomen, Roel C. A.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
19,670 |
Total
Citations
280 |
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1.
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Kat, Harry M.
Oomen, Roel C. A.
Deutsche Bank AG
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4,617
(636)
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12
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Commodities, commodity futures, risk premium, volatility, skewness, kurtosis, autocorrelation
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2.
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What Every Investor Should Know About Commodities, Part II: Multivariate Return Analysis
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Versions (2)
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Kat, Harry M.
Oomen, Roel C. A.
Deutsche Bank AG
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Posted:
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14 Jun 06
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Last Revised:
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21 Nov 07
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3,523
(1,036)
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12
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Kat, Harry M.
Oomen, Roel C. A.
Deutsche Bank AG
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0
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Commodities, commodity futures, correlation, tail-dependence, SJC copula, inflation
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Kat, Harry M.
Oomen, Roel C. A.
Deutsche Bank AG
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3,523
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12
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Commodities, commodity futures, correlation, tail-dependence, SJC copula, inflation
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3.
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Basu, Devraj
Skema Business School Oomen, Roel C. A.
Deutsche Bank AG Stremme, Alexander
Warwick Business School
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22 Jun 06
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Last Revised:
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20 Aug 10
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2,607
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commodities, active asset management, return predictability, Commitment of Traders report
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4.
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Oomen, Roel C. A.
Deutsche Bank AG Jiang, George J.
Washington State University
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1,868
(3,159)
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2
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Derivatives Risks, Model Risk, Hedging Strategies, Hedging Performance, Simulation Study
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5.
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Gatheral, Jim
Baruch College, CUNY Oomen, Roel C. A.
Deutsche Bank AG
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15 Mar 07
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Last Revised:
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15 Mar 10
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1,694
(3,759)
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13
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6.
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Oomen, Roel C. A.
Deutsche Bank AG
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993
(9,368)
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3
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High Frequency Data, Realized Volatility, Market Microstructure, Temporal Aggregation, Fractional Integration, GARCH
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7.
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Griffin, Jim E.
University of Kent Oomen, Roel C. A.
Deutsche Bank AG
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07 Jul 06
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Last Revised:
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15 Dec 10
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582
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18
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realized covariance, optimal sampling, lead-lag correlations, bias correction
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8.
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Oomen, Roel C. A.
Deutsche Bank AG
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568
(21,503)
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3
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compound poisson process, high frequency data, market microstructure, characteristic function, OU process, realized variance bias, optimal sampling
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9.
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Basu, Devraj
Skema Business School Hung, Chi-Hsiou
Adam Smith Business School Oomen, Roel C. A.
Deutsche Bank AG Stremme, Alexander
Warwick Business School
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479
(26,944)
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2
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Investor Sentiment, Dynamic Asset Allocation
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10.
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Jiang, George J.
Washington State University Oomen, Roel C. A.
Deutsche Bank AG
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21 Nov 05
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Last Revised:
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08 Jul 08
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444
(29,770)
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14
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swap variance, jumps, bi-power variation, market microstructure noise
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11.
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Griffin, Jim E.
University of Kent Oomen, Roel C. A.
Deutsche Bank AG
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06 Jun 06
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Last Revised:
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08 Jul 08
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370
(37,478)
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10
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realized variance, tick time, transaction time, pure jump process, market microstructure noise, optimal sampling
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12.
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Christensen, Kim
University of Aarhus - CREATES Oomen, Roel C. A.
Deutsche Bank AG Podolskij, Mark
University of Aarhus - School of Economics and Management
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22 May 11
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Last Revised:
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20 Feb 13
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307
(46,853)
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6
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jump variation, high-frequency data, market microstructure noise, pre-averaging, realised variation, outliers
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13.
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Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data
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Versions (3)
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Jiang, George J.
Washington State University Oomen, Roel C. A.
Deutsche Bank AG
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Posted:
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18 Aug 06
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Last Revised:
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27 Feb 13
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307
(43,520)
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3
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Jiang, George J.
Washington State University Oomen, Roel C. A.
Deutsche Bank AG
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0
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affine jump diffusion, generalized method of moments, high-frequency data, latent state variables, unbiased minimum-variance estimator
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Jiang, George J.
Washington State University Oomen, Roel C. A.
Deutsche Bank AG
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19 Sep 06
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Last Revised:
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15 Feb 08
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307
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3
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affine jump diffusion, latent state variables, unbiased minimum-variance estimator, generalized method of moments, high frequency data
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Jiang, George J.
Washington State University Oomen, Roel C. A.
Deutsche Bank AG
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18 Aug 06
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Last Revised:
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27 Feb 13
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0
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affine jump diffusion, latent state variables, unbiased minimum-variance estimator, generalized method of moments, high frequency data
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14.
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Oomen, Roel C. A.
Deutsche Bank AG
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06 Dec 05
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Last Revised:
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15 Feb 08
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297
(48,745)
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54
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high frequency data, market microstructure noise, pure jump process, optimal sampling
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15.
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Christensen, Kim
University of Aarhus - CREATES Oomen, Roel C. A.
Deutsche Bank AG Podolskij, Mark
University of Heidelberg - Institute of Applied Mathematics
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| Posted: |
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21 Jan 08
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Last Revised:
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29 Oct 10
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270
(54,321)
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20
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Finite activity jumps, Integrated variance, Market micro-structure noise, Order statistics, Realised variance
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16.
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Oomen, Roel C. A.
Deutsche Bank AG
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10 May 09
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Last Revised:
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29 Oct 10
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263
(55,969)
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2
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17.
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Hautsch, Nikolaus
Humboldt-Universität zu Berlin Kyj, Lada M.
Humboldt University of Berlin Oomen, Roel C. A.
Deutsche Bank AG
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| Posted: |
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18 Oct 09
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Last Revised:
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22 Aug 10
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196
(76,251)
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8
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covariance estimation, blocking, realized kernel, regularization, microstructure noise, asynchronous trading
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18.
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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
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84
(152,707)
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3
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factor models, high-frequency data, realized covariance, microstructure noise, non-synchronous trading
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19.
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Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes
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Show Abstracts |
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Oomen, Roel C. A.
Deutsche Bank AG
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Posted:
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17 Aug 05
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Last Revised:
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29 Jul 10
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77
(159,954)
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52
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Oomen, Roel C. A.
Deutsche Bank AG
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0
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bias correction, diffusion limit, market microstructure noise, optimal sampling, pure jump process, realized variance
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Oomen, Roel C. A.
Deutsche Bank AG
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17 Aug 05
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Last Revised:
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15 Feb 08
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77
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52
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realized variance, market microstructure noise, bias correction, pure jump process, diffusion limit, optimal sampling
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20.
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Griffin, Jim E.
University of Kent Oomen, Roel C. A.
Deutsche Bank AG
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26 Jul 09
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Last Revised:
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27 Jul 09
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54
(193,431)
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13
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21.
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Christensen, Kim
University of Aarhus - CREATES Oomen, Roel C. A.
Deutsche Bank AG Podolskij, Mark
University of Heidelberg - Institute of Applied Mathematics
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| Posted: |
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09 May 09
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Last Revised:
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30 Sep 09
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51
(198,542)
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21
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22.
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Christensen, Kim
University of Aarhus - CREATES Oomen, Roel C. A.
Deutsche Bank AG Podolskij, Mark
University of Heidelberg - Institute of Applied Mathematics
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| Posted: |
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20 Nov 12
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Last Revised:
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29 Jan 13
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15
(292,765)
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5
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23.
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Basu, Devraj
Skema Business School Oomen, Roel C. A.
Deutsche Bank AG Stremme, Alexander
Warwick Business School
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4
(327,883)
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2
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24.
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Kat, Harry M.
Oomen, Roel C. A.
Deutsche Bank AG
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Commodities, commodity futures, risk premium, volatility, skewness, kurtosis, autocorrelation
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Records 1 -
24
of 24 matches
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1
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