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Oomen, Roel C. A.


 SSRN Author Rank: 613 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
20,872
Total
Citations
289
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 |
Alternative Investment Research Centre Working Paper No. 29, Cass Business School Research Paper
Working Paper Series
Kat, Harry M.
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
27 Jan 06
4,829
(734)
14

2.   Incl. Electronic Paper
Kat, Harry M.
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
14 Jun 06
Last Revised:
21 Nov 07
3,664
(1,168)
13

3.  
How to Time the Commodity Market | Show Abstract | Download |
Journal of Derivatives & Hedge Funds, Vol. 16, No. 1, pp. 1-8, 2010
Working Paper Series
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
2,803
(1,892)
2

4.  
Oomen, Roel C. A.
Deutsche Bank AG
Jiang, George J.
Washington State University
Posted:
20 Mar 02
1,938
(3,606)
2

5.  
Zero-Intelligence Realized Variance Estimation | Show Abstract | Download |
Finance and Stochastics, Vol. 14, No. 2, pp. 249-283, 2010
Accepted Paper Series
Gatheral, Jim
Baruch College, CUNY
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
15 Mar 07
Last Revised:
15 Mar 10
1,817
(4,043)
14

6.  
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
01 May 01
1,050
(10,236)
3

7.  
Covariance Measurement in the Presence of Non-Synchronous Trading and Market Microstructure Noise | Show Abstract | Download |
Journal of Econometrics, Vol. 160, No. 1, pp. 58-68, 2011
Accepted Paper Series
Griffin, Jim E.
University of Kent
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
07 Jul 06
Last Revised:
15 Dec 10
615
(22,599)
18

8.  
Statistical Models for High Frequency Security Prices | Show Abstract | Download |
EFA 2003 Annual Conference Paper No. 105
Working Paper Series
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
23 Jul 03
596
(23,580)
3

9.  
When to Pick the Losers: Do Sentiment Indicators Improve Dynamic Asset Allocation? | Show Abstract | Download |
EFA 2006 Zurich Meetings Paper, Cass Business School Research Paper, Durham Business School Working Paper
Working Paper Series
Basu, Devraj
Université Lille Nord de France - Skema Business School
Hung, Chi-Hsiou Daniel
Adam Smith Business School
Oomen, Roel C. A.
Deutsche Bank AG
Stremme, Alexander
University of Warwick - Finance Group
Posted:
08 Mar 06
531
(27,678)
2

10.  
Testing for Jumps When Asset Prices are Observed with Noise - A Swap Variance Approach | Show Abstract | Download |
Journal of Econometrics, Vol. 144, No. 2, pp. 352-370, 2008
Accepted Paper Series
Jiang, George J.
Washington State University
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
21 Nov 05
Last Revised:
08 Jul 08
482
(31,440)
15

11.  
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? | Show Abstract | Download |
Econometric Reviews, Vol. 27, No. 1, pp. 230-253, 2008
Accepted Paper Series
Griffin, Jim E.
University of Kent
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
06 Jun 06
Last Revised:
08 Jul 08
391
(40,978)
10

12.  
Fact or Friction: Jumps at Ultra High Frequency | Show Abstract | Download |
Journal of Financial Economics (JFE), Forthcoming
Accepted Paper Series
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
382
(42,157)
7

13.  
Properties of Realized Variance Under Alternative Sampling Schemes | Show Abstract | Download |
Journal of Business and Economic Statistics, Vol. 24, No. 2, pp. 219-237, 2006
Accepted Paper Series
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
06 Dec 05
Last Revised:
15 Feb 08
334
(49,455)
54

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
310
(50,194)
3

15.  
High Dimensional Covariance Forecasting for Short Intra-Day Horizons | Show Abstract | Download |
Quantitative Finance, Vol. 10, No. 10, pp. 1173-1185, 2010
Accepted Paper Series
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
10 May 09
Last Revised:
29 Oct 10
280
(60,810)
2

16.  
Realised Quantile-Based Estimation of the Integrated Variance | Show Abstract | Download |
Journal of Econometrics, Vol 159, No. 1, pp. 74-98, 2010
Accepted Paper Series
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
275
(62,044)
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
220
(78,675)
11

18.  
Realized Mixed-Frequency Factor Models for Vast Dimensional Covariance Estimation | Show Abstract | Download |
ERIM Report Series Reference No. ERS-2012-017-F&A
Working Paper Series
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
136
(123,019)
4

19.   Incl. Electronic Paper
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
17 Aug 05
Last Revised:
29 Jul 10
77
(183,670)
51

20.  
Griffin, Jim E.
University of Kent
Oomen, Roel C. A.
Deutsche Bank AG
Posted:
26 Jul 09
Last Revised:
27 Jul 09
58
(214,140)
13

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
(221,595)
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
26
(291,488)
5

23.  
International Dynamic Asset Allocation and Return Predictability | Show Abstract | Download |
Journal of Business Finance & Accounting, Vol. 37, No. 7-8, pp. 1008-1025, July/August 2010
Accepted Paper Series
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
(379,015)
2

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


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