Roel C. A. Oomen

Deutsche Bank AG (London)

Winchester House

1 Great Winchester Street

London, EC2N 2DB

United Kingdom

London School of Economics & Political Science (LSE) - Department of Statistics

Houghton Street

London, England WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

29

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25,571

CITATIONS
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Top 2,352

in Total Papers Citations

327

Scholarly Papers (29)

1.

What Every Investor Should Know About Commodities, Part I: Univariate Return Analysis

Alternative Investment Research Centre Working Paper No. 29, Cass Business School Research Paper
Number of pages: 35 Posted: 27 Jan 2006
Harry M. Kat and Roel C. A. Oomen
Independent and Deutsche Bank AG (London)
Downloads 5,355 (1,315)
Citation 18

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Commodities, commodity futures, risk premium, volatility, skewness, kurtosis, autocorrelation

What Every Investor Should Know About Commodities, Part Ii: Multivariate Return Analysis

Alternative Investment Research Centre Working Paper No. 33
Number of pages: 35 Posted: 14 Jun 2006 Last Revised: 20 Oct 2016
Harry M. Kat and Roel C. A. Oomen
Independent and Deutsche Bank AG (London)
Downloads 4,124 (2,046)
Citation 18

Abstract:

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Commodities, commodity futures, correlation, tail-dependence, SJC copula, inflation

What Every Investor Should Know About Commodities Part II: Multivariate Return Analysis

Journal of Investment Management, Vol. 5, No. 3, Third Quarter 2007
Posted: 22 Oct 2007
Harry M. Kat and Roel C. A. Oomen
Independent and Deutsche Bank AG (London)

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Commodities, commodity futures, correlation, tail-dependence, SJC copula, inflation

3.

How to Time the Commodity Market

Journal of Derivatives & Hedge Funds, Vol. 16, No. 1, pp. 1-8, 2010
Number of pages: 16 Posted: 22 Jun 2006 Last Revised: 10 Sep 2016
Devraj Basu, Roel C. A. Oomen and Alexander Stremme
SKEMA Business School - Lille Campus, Deutsche Bank AG (London) and University of Warwick - Finance Group
Downloads 3,462 (2,798)
Citation 3

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commodities, active asset management, return predictability, Commitment of Traders report

4.

Zero-Intelligence Realized Variance Estimation

Finance and Stochastics, Vol. 14, No. 2, pp. 249-283, 2010
Number of pages: 30 Posted: 15 Mar 2007 Last Revised: 15 Mar 2010
Jim Gatheral and Roel C. A. Oomen
CUNY Baruch College and Deutsche Bank AG (London)
Downloads 2,354 (5,426)

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5.

Hedging Derivatives Risks - a Simulation Study

Number of pages: 46 Posted: 20 Mar 2002
Roel C. A. Oomen and George J. Jiang
Deutsche Bank AG (London) and Washington State University
Downloads 2,125 (6,425)

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Derivatives Risks, Model Risk, Hedging Strategies, Hedging Performance, Simulation Study

6.

Using High Frequency Stock Market Index Data to Calculate, Model & Forecast Realized Return Variance

European Univ., Economics Discussion Paper No. 2001/6
Number of pages: 30 Posted: 01 May 2001
Roel C. A. Oomen
Deutsche Bank AG (London)
Downloads 1,180 (16,755)
Citation 8

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High Frequency Data, Realized Volatility, Market Microstructure, Temporal Aggregation, Fractional Integration, GARCH

7.

Testing for Jumps When Asset Prices are Observed with Noise - A Swap Variance Approach

Journal of Econometrics, Vol. 144, No. 2, pp. 352-370, 2008
Number of pages: 41 Posted: 21 Nov 2005 Last Revised: 08 Jul 2008
George J. Jiang and Roel C. A. Oomen
Washington State University and Deutsche Bank AG (London)
Downloads 697 (35,685)
Citation 4

Abstract:

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swap variance, jumps, bi-power variation, market microstructure noise

8.

Covariance Measurement in the Presence of Non-Synchronous Trading and Market Microstructure Noise

Journal of Econometrics, Vol. 160, No. 1, pp. 58-68, 2011
Number of pages: 25 Posted: 07 Jul 2006 Last Revised: 15 Dec 2010
Jim E. Griffin and Roel C. A. Oomen
University of Kent and Deutsche Bank AG (London)
Downloads 686 (36,492)

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realized covariance, optimal sampling, lead-lag correlations, bias correction

9.

Fact or Friction: Jumps at Ultra High Frequency

Journal of Financial Economics (2014), vol. 114 (3), pp. 576-599.
Number of pages: 44 Posted: 22 May 2011 Last Revised: 19 Jul 2016
Kim Christensen, Roel C. A. Oomen and Mark Podolskij
Aarhus University - CREATES, Deutsche Bank AG (London) and Aarhus University - School of Economics and Management
Downloads 678 (37,145)
Citation 13

Abstract:

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jump variation, high-frequency data, market microstructure noise, pre-averaging, realised variation, outliers

10.

Statistical Models for High Frequency Security Prices

EFA 2003 Annual Conference Paper No. 105
Number of pages: 44 Posted: 23 Jul 2003
Roel C. A. Oomen
Deutsche Bank AG (London)
Downloads 657 (38,598)
Citation 5

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compound poisson process, high frequency data, market microstructure, characteristic function, OU process, realized variance bias, optimal sampling

11.

When to Pick the Losers: Do Sentiment Indicators Improve Dynamic Asset Allocation?

EFA 2006 Zurich Meetings Paper, Cass Business School Research Paper, Durham Business School Working Paper
Number of pages: 33 Posted: 08 Mar 2006
SKEMA Business School - Lille Campus, University of Glasgow - Adam Smith Business School, Deutsche Bank AG (London) and University of Warwick - Finance Group
Downloads 642 (39,825)
Citation 4

Abstract:

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Investor Sentiment, Dynamic Asset Allocation

12.

Price Signatures

Number of pages: 42 Posted: 15 May 2018 Last Revised: 23 Jun 2018
Roel C. A. Oomen
Deutsche Bank AG (London)
Downloads 604 (43,330)

Abstract:

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13.

Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?

Econometric Reviews, Vol. 27, No. 1, pp. 230-253, 2008
Number of pages: 28 Posted: 06 Jun 2006 Last Revised: 08 Jul 2008
Jim E. Griffin and Roel C. A. Oomen
University of Kent and Deutsche Bank AG (London)
Downloads 433 (65,742)

Abstract:

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realized variance, tick time, transaction time, pure jump process, market microstructure noise, optimal sampling

14.

Properties of Realized Variance Under Alternative Sampling Schemes

Journal of Business and Economic Statistics, Vol. 24, No. 2, pp. 219-237, 2006
Number of pages: 36 Posted: 06 Dec 2005 Last Revised: 15 Feb 2008
Roel C. A. Oomen
Deutsche Bank AG (London)
Downloads 385 (75,621)
Citation 1

Abstract:

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high frequency data, market microstructure noise, pure jump process, optimal sampling

15.

The Drift Burst Hypothesis

Number of pages: 58 Posted: 24 Sep 2016 Last Revised: 08 Aug 2018
Kim Christensen, Roel C. A. Oomen and Roberto RenĂ²
Aarhus University - CREATES, Deutsche Bank AG (London) and University of Verona - Department of Economics
Downloads 369 (79,698)
Citation 5

Abstract:

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flash crashes; gradual jumps; volatility bursts; liquidity; nonparametric statistics; microstructure noise

Estimating Latent Variables and Jump Diffusion Models Using High Frequency Data

Journal of Financial Econometrics, Vol. 5, No. 1, pp. 1-30, 2007
Number of pages: 39 Posted: 19 Sep 2006 Last Revised: 15 Feb 2008
George J. Jiang and Roel C. A. Oomen
Washington State University and Deutsche Bank AG (London)
Downloads 355 (82,441)

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affine jump diffusion, latent state variables, unbiased minimum-variance estimator, generalized method of moments, high frequency data

Estimating Latent Variables and Jump Diffusion Models Using High Frequency Data

Posted: 18 Aug 2006 Last Revised: 27 Feb 2013
George J. Jiang and Roel C. A. Oomen
Washington State University and Deutsche Bank AG (London)

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affine jump diffusion, latent state variables, unbiased minimum-variance estimator, generalized method of moments, high frequency data

Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data

Journal of Financial Econometrics, Vol. 5, Issue 1, pp. 1-30, 2007
Posted: 16 Jun 2008
George J. Jiang and Roel C. A. Oomen
Washington State University and Deutsche Bank AG (London)

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affine jump diffusion, generalized method of moments, high-frequency data, latent state variables, unbiased minimum-variance estimator

17.

High Dimensional Covariance Forecasting for Short Intra-Day Horizons

Quantitative Finance, Vol. 10, No. 10, pp. 1173-1185, 2010
Number of pages: 22 Posted: 10 May 2009 Last Revised: 29 Oct 2010
Roel C. A. Oomen
Deutsche Bank AG (London)
Downloads 319 (93,683)

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18.

Realised Quantile-Based Estimation of the Integrated Variance

Journal of Econometrics, Vol 159, No. 1, pp. 74-98, 2010
Number of pages: 54 Posted: 21 Jan 2008 Last Revised: 29 Oct 2010
Kim Christensen, Roel C. A. Oomen and Mark Podolskij
Aarhus University - CREATES, Deutsche Bank AG (London) and University of Heidelberg - Institute of Applied Mathematics
Downloads 304 (98,724)

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Finite activity jumps, Integrated variance, Market micro-structure noise, Order statistics, Realised variance

19.

A Blocking and Regularization Approach to High Dimensional Realized Covariance Estimation

Journal of Applied Econometrics, Forthcoming
Number of pages: 30 Posted: 18 Oct 2009 Last Revised: 22 Aug 2010
Nikolaus Hautsch, Lada M. Kyj and Roel C. A. Oomen
University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin and Deutsche Bank AG (London)
Downloads 291 (103,587)
Citation 1

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covariance estimation, blocking, realized kernel, regularization, microstructure noise, asynchronous trading

20.

Realized Mixed-Frequency Factor Models for Vast Dimensional Covariance Estimation

ERIM Report Series Reference No. ERS-2012-017-F&A
Number of pages: 45 Posted: 24 Oct 2012
NN Investment Partners, Erasmus University Rotterdam (EUR), Deutsche Bank AG (London) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 238 (127,696)

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factor models, high-frequency data, realized covariance, microstructure noise, non-synchronous trading

21.

Appendix to Fact or Friction: Jumps at Ultra High Frequency

Number of pages: 38 Posted: 20 Nov 2012 Last Revised: 29 Jan 2013
Kim Christensen, Roel C. A. Oomen and Mark Podolskij
Aarhus University - CREATES, Deutsche Bank AG (London) and University of Heidelberg - Institute of Applied Mathematics
Downloads 97 (268,924)

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Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes

Journal of Financial Econometrics, Vol. 3, No. 4, pp. 555-577, 2005
Number of pages: 22 Posted: 17 Aug 2005 Last Revised: 15 Feb 2008
Roel C. A. Oomen
Deutsche Bank AG (London)
Downloads 86 (292,997)
Citation 1

Abstract:

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realized variance, market microstructure noise, bias correction, pure jump process, diffusion limit, optimal sampling

Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes

Journal of Financial Econometrics, Vol. 3, No. 4, pp. 555-577, 2005
Posted: 29 Feb 2008
Roel C. A. Oomen
Deutsche Bank AG (London)

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bias correction, diffusion limit, market microstructure noise, optimal sampling, pure jump process, realized variance

23.

Appendix to Covariance Measurement in the Presence of Non-Synchronous Trading and Market Microstructure Noise

Number of pages: 17 Posted: 26 Jul 2009 Last Revised: 27 Jul 2009
Jim E. Griffin and Roel C. A. Oomen
University of Kent and Deutsche Bank AG (London)
Downloads 69 (330,079)
Citation 8

Abstract:

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24.

Appendix to Realised Quantile-Based Estimation of the Integrated Variance

Number of pages: 10 Posted: 09 May 2009 Last Revised: 30 Sep 2009
Kim Christensen, Roel C. A. Oomen and Mark Podolskij
Aarhus University - CREATES, Deutsche Bank AG (London) and University of Heidelberg - Institute of Applied Mathematics
Downloads 57 (363,768)
Citation 14

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25.

International Dynamic Asset Allocation and Return Predictability

Journal of Business Finance & Accounting, Vol. 37, No. 7-8, pp. 1008-1025, July/August 2010
Number of pages: 18 Posted: 20 Sep 2010
Devraj Basu, Roel C. A. Oomen and Alexander Stremme
SKEMA Business School - Lille Campus, Deutsche Bank AG (London) and University of Warwick - Finance Group
Downloads 4 (618,203)
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26.

Internalisation by Electronic FX Spot Dealers

Quantitative Finance (2017)
Posted: 28 Nov 2017 Last Revised: 23 Sep 2018
Maximilian Butz and Roel C. A. Oomen
Deutsche Bank AG (London) and Deutsche Bank AG (London)

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27.

Last Look

Quantitative Finance, 2017, 17 (7), pp 1057-1070
Posted: 16 Nov 2016 Last Revised: 26 Nov 2017
Roel C. A. Oomen
Deutsche Bank AG (London)

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28.

Execution in an Aggregator

Quantitative Finance, 2017, 17(3), pp 383-404
Posted: 12 Sep 2016 Last Revised: 26 Nov 2017
Roel C. A. Oomen
Deutsche Bank AG (London)

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Aggregation, Liquidity Access, Transaction Costs, Adverse Selection, Prisoner's Dilemma, Market Impact

29.

What Every Investor Should Know About Commodities, Part I

Journal of Investment Management, Vol. 5, No. 1, First Quarter 2007
Posted: 28 Mar 2007
Harry M. Kat and Roel C. A. Oomen
Independent and Deutsche Bank AG (London)

Abstract:

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Commodities, commodity futures, risk premium, volatility, skewness, kurtosis, autocorrelation