Roel C.A. Oomen : Citation Profile


Are you Roel C.A. Oomen?

University of Warwick

10

H index

10

i10 index

492

Citations

RESEARCH PRODUCTION:

7

Articles

6

Papers

RESEARCH ACTIVITY:

   9 years (2001 - 2010). See details.
   Cites by year: 54
   Journals where Roel C.A. Oomen has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 3 (0.61 %)

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   Permalink: http://citec.repec.org/poo13
   Updated: 2024-12-03    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 (17)

Degiannakis, Stavros (16)

Ait-Sahalia, Yacine (12)

Andersen, Torben (12)

Podolskij, Mark (12)

Patton, Andrew (11)

Bollerslev, Tim (10)

Cartea, Álvaro (9)

Medeiros, Marcelo (9)

Maheu, John (9)

Hanousek, Jan (8)

Cites to:

Bollerslev, Tim (15)

Andersen, Torben (13)

Shephard, Neil (10)

Diebold, Francis (9)

Ait-Sahalia, Yacine (9)

Large, Jeremy (8)

Lunde, Asger (7)

Hansen, Peter (7)

Podolskij, Mark (7)

pan, jun (7)

Tauchen, George (6)

Main data


Where Roel C.A. Oomen has published?


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

Recent works citing Roel C.A. Oomen (2024 and 2023)


YearTitle of citing document
2023On regularized optimal execution problems and their singular limits. (2021). Thamsten, Yuri ; Souza, Max O. In: Papers. RePEc:arx:papers:2101.02731.

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2023Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2022). Streicher, Sina ; Polivka, Jeannine ; Halbleib, Roxana ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2212.11833.

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2023Approximately optimal trade execution strategies under fast mean-reversion. (2023). Thamsten, Yuri ; Evangelista, David. In: Papers. RePEc:arx:papers:2307.07024.

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2023Transformers versus LSTMs for electronic trading. (2023). Qiu, Yitao ; Bilokon, Paul. In: Papers. RePEc:arx:papers:2309.11400.

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

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2024.

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2023Active attention, retail investor base, and stock returns. (2023). Craig, Karen Ann ; Chen, Zhongdong. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000345.

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

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2023State-domain change point detection for nonlinear time series regression. (2023). Zhou, Zhou ; Yang, Jun ; Cui, Yan. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:3-27.

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2023Volatility measurement with pockets of extreme return persistence. (2023). Todorov, Viktor ; Li, Yingying ; Andersen, Torben G ; Zhou, BO. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407620303924.

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2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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2023Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities. (2023). Park, Jeayoung ; Huh, Sahn-Wook ; Han, Seung-Oh. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:276-307.

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

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2023Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum. (2023). Sanhaji, Bilel ; Chevallier, Julien. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:3:p:19-:d:1214066.

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2023Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2023). Tomanova, Petra ; Hol, Vladimir. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-021-10210-w.

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2023Information loss in volatility measurement with flat price trading. (2023). Yu, Jun ; Phillips, Peter. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02353-y.

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2023Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7.

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2023Information shocks, market returns and volatility: a comparative analysis of developed equity markets in Asia. (2023). Khan, Muhammad Zeb ; Ahmed, Shakeel ; Maqsood, Huma ; Zada, Hassan. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00417-w.

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Works by Roel C.A. Oomen:


YearTitleTypeCited
2009Realised Quantile-Based Estimation of the Integrated Variance In: CREATES Research Papers.
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paper74
2006Comment In: Journal of Business & Economic Statistics.
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article0
2006Properties of Realized Variance Under Alternative Sampling Schemes In: Journal of Business & Economic Statistics.
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article96
2004Statistical Models for High Frequency Security Prices In: Econometric Society 2004 North American Winter Meetings.
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paper5
2008Testing for jumps when asset prices are observed with noise-a swap variance approach In: Journal of Econometrics.
[Full Text][Citation analysis]
article135
2001Using high frequency stock market index data to calculate, model and forecast realized return variance In: Economics Working Papers.
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paper22
2009A blocking and regularization approach to high dimensional realized covariance estimation In: SFB 649 Discussion Papers.
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paper10
2005Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes In: Journal of Financial Econometrics.
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article40
2007Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data In: Journal of Financial Econometrics.
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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.
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article41
2008Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? In: Econometric Reviews.
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article40
In: .
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paper7

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