Search results
Results: 12
Number of items: 12
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Griffin, J. E., & Oomen, R. C. A. (2011). Covariance measurement in the presence of non-synchronous trading and market microstructure noise. Journal of Econometrics, 160(1), 58-68. https://doi.org/10.1016/j.jeconom.2010.03.015
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Christensen, K., Oomen, R., & Podolskij, M. (2011). Fact or friction: jumps at ultra high frequency. (CREATES Research Paper; No. 2011-19). University of Aarhus. ftp://ftp.econ.au.dk/creates/rp/11/rp11_19.pdf
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Gatheral, J., & Oomen, R. C. A. (2010). Zero-intelligence realized variance estimation. Finance and Stochastics, 14(2), 249-283. https://doi.org/10.1007/s00780-009-0120-1
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Christensen, K., Oomen, R., & Podolskij, M. (2010). Realised quantile-based estimation of the integrated variance. Journal of Econometrics, 159(1), 74-98. https://doi.org/10.1016/j.jeconom.2010.04.008
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Basu, D., Oomen, R., & Stremme, A. (2010). International dynamic asset allocation and return predictability. Journal of Business Finance & Accounting, 37(7-8), 1008-1025. https://doi.org/10.1111/j.1468-5957.2010.02195.x
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Basu, D., Oomen, R., & Stremme, A. (2010). How to time the commodities markets. Journal of Derivatives and Hedge Funds, 16(1), 1-8. https://doi.org/10.1057/jdhf.2010.4
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Oomen, R. C. A. (2010). High-dimensional covariance forecasting for short intra-day horizons. Quantitative Finance, 10(10), 1173-1185. https://doi.org/10.1080/14697680903220349
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Jiang, G. J., & Oomen, R. C. A. (2008). Testing for jumps when asset prices are observed with noise: a "swap variance" approach. Journal of Econometrics, 144(2), 352-370. https://doi.org/10.1016/j.jeconom.2008.04.009
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Griffin, J. E., & Oomen, R. C. A. (2008). Sampling returns for realized variance calculations: tick time or transaction time? Econometric Reviews, 27(3), 230-253. https://doi.org/10.1080/07474930701873341
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Oomen, R. C. A. (2006). Comment. Journal of Business & Economic Statistics, 24(2), 195-202. https://doi.org/10.1198/073500106000000125
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