Roel C.A. Oomen : Citation Profile

University of Warwick

10

H index

11

i10 index

573

Citations

RESEARCH PRODUCTION:

7

Articles

6

Papers

RESEARCH ACTIVITY:

   9 years (2001 - 2010). See details.
   Cites by year: 63
   Journals where Roel C.A. Oomen has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 3 (0.52 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/poo13
   Updated: 2025-12-13    RAS profile: 2023-02-24    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Roel C.A. Oomen.

Is cited by:

Christensen, Kim (18)

Degiannakis, Stavros (16)

Patton, Andrew (14)

Podolskij, Mark (12)

Andersen, Torben (12)

Ait-Sahalia, Yacine (12)

Maheu, John (12)

Veliyev, Bezirgen (11)

Bollerslev, Tim (11)

Cartea, Álvaro (9)

Medeiros, Marcelo (9)

Cites to:

Bollerslev, Tim (15)

Andersen, Torben (13)

Shephard, Neil (10)

Diebold, Francis (9)

Ait-Sahalia, Yacine (9)

Podolskij, Mark (8)

Large, Jeremy (8)

Lunde, Asger (7)

pan, jun (7)

Hansen, Peter (7)

Tauchen, George (6)

Main data

Where Roel C.A. Oomen has published?

Journals with more than one article published# docs
Journal of Financial Econometrics2
Journal of Business & Economic Statistics2

Recent works citing Roel C.A. Oomen (2025 and 2024)

YearTitle of citing document
2025Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2023). Polivka, Jeannine ; Dimitriadis, Timo ; Streicher, Sina ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2212.11833.

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2024Price predictability at ultra-high frequency: Entropy-based randomness test. (2024). Marmi, Stefano ; Shternshis, Andrey. In: Papers. RePEc:arx:papers:2312.16637.

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2024Trade execution games in a Markovian environment. (2024). Ohnishi, Masamitsu ; Shimoshimizu, Makoto. In: Papers. RePEc:arx:papers:2405.07184.

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2024Consistent Estimation of the High-Dimensional Efficient Frontier. (2024). Parolya, Nestor ; Hautsch, Nikolaus ; Okhrin, Yarema ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2409.15103.

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2025Comparative analysis of financial data differentiation techniques using LSTM neural network. (2025). Gajda, Janusz ; Stempie, Dominik. In: Papers. RePEc:arx:papers:2505.19243.

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2024Higher‐order moments and asset pricing in the Australian stock market. (2024). Ahadzie, Richard Mawulawoe ; Jeyasreedharan, Nagaratnam. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:75-128.

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2024Testing for jumps with robust spot volatility estimators. (2024). Sun, Yucheng. In: Statistica Neerlandica. RePEc:bla:stanee:v:78:y:2024:i:1:p:79-104.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2449.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Janeway Institute Working Papers. RePEc:cam:camjip:2423.

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2024Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China. (2024). Song, Yuping ; Xu, Yang ; Zhang, Qichao ; Huang, Jiefei. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001019.

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2025Diversifying Trends. (2025). Darolles, Serge ; Chevalier, Charles. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:56-79.

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2024Information acquisition and processing skills of institutions and retail investors around information shocks. (2024). Tsai, Shih-Chuan ; Fung, Scott ; Obaid, Khaled. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000306.

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2024Forecasting realized volatility: Does anything beat linear models?. (2024). Zevallos, Mauricio ; Rubesam, Alexandre ; Branco, Rafael R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

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2025Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes. (2025). Urga, Giovanni ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000167.

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2024Forecasting the Chinese crude oil futures volatility using jump intensity and Markov-regime switching model. (2024). Xu, Zijian ; Li, Pan ; Cao, Jiawei ; Wu, Hanlin. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002962.

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2025Forecasting the volatility of crude oil futures market: Does the simple 5-minute RV hold up?. (2025). Yang, Zhidan ; Luo, YA ; Yi, Heling ; Ke, Rui ; Qin, Zhilong ; Lyu, Yongjian. In: Energy Economics. RePEc:eee:eneeco:v:146:y:2025:i:c:s0140988325003330.

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2024Information shocks and short-term market overreaction: The role of investor attention. (2024). Meng, Yongqiang ; Xiong, Xiong ; Li, Xiao. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001510.

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2025A novel HAR-type realized volatility forecasting model using graph neural network. (2025). Yin, Xuebao ; Yao, Yuhang ; Hu, Nan. In: International Review of Financial Analysis. RePEc:eee:finana:v:98:y:2025:i:c:s1057521924008135.

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2025Warp speed price moves: Jumps after earnings announcements. (2025). Veliyev, Bezirgen ; Timmermann, Allan ; Christensen, Kim. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000182.

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2024Permutation invariant Gaussian matrix models for financial correlation matrices. (2024). Ramgoolam, Sanjaye ; Stephanou, Michael ; Barnes, George. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:651:y:2024:i:c:s0378437124005247.

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2025Volatility Dynamics and Mixed Jump-GARCH Model Based Jump Detection in Financial Markets. (2025). Song, Yuping ; Zhu, Min ; Zheng, Xin. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10633-1.

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2025Examining the role of jumps on the returns and integrated volatility of emerging Asian stock markets during global financial crises and Covid-19: an application of the swap variance jump approach. (2025). Ullah, Mirzat ; Sohag, Kazi ; Zada, Hassan. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:1:d:10.1057_s41260-025-00395-2.

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2025Revisiting EWMA in High-Frequency Portfolio Optimization: A Comparative Assessment. (2025). Romero, Laura Capera ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250041.

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2025The Memory in Return Volatility: An Analysis of Mutual Fund Returns. (2025). Duan, Kun ; Yao, Kai ; Chevapatrakul, Thanaset ; Huang, Rong. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:2930-2945.

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2024Hybrid forecasting of crude oil volatility index: The cross‐market effects of stock market jumps. (2024). Wang, LU ; Jiang, Gongyue ; Qiao, Gaoxiu ; Ma, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2378-2398.

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Works by Roel C.A. Oomen:

YearTitleTypeCited
2009Realised Quantile-Based Estimation of the Integrated Variance In: CREATES Research Papers.
[Full Text][Citation analysis]		paper77
2006Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2006Properties of Realized Variance Under Alternative Sampling Schemes In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article97
2004Statistical Models for High Frequency Security Prices In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]		paper5
2008Testing for jumps when asset prices are observed with noise-a swap variance approach In: Journal of Econometrics.
[Full Text][Citation analysis]		article146
2001Using high frequency stock market index data to calculate, model and forecast realized return variance In: Economics Working Papers.
[Full Text][Citation analysis]		paper23
2009A blocking and regularization approach to high dimensional realized covariance estimation In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper10
2005Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article40
2007Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article11
2001Using High Frequency Data to Calculate, Model and Forecast Realized Volatility In: Computing in Economics and Finance 2001.
[Citation analysis]		paper11
2010Zero-intelligence realized variance estimation In: Finance and Stochastics.
[Full Text][Citation analysis]		article42
2008Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? In: Econometric Reviews.
[Full Text][Citation analysis]		article41
2009A blocking and regularization approach to high dimensional realized covariance estimation In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper70

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