10
H index
10
i10 index
492
Citations
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. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/poo13 |
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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Business & Economic Statistics | 2 |
Journal of Financial Econometrics | 2 |
Year | Title of citing document |
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2023 | On regularized optimal execution problems and their singular limits. (2021). Thamsten, Yuri ; Souza, Max O. In: Papers. RePEc:arx:papers:2101.02731. Full description at Econpapers || Download paper |
2023 | Efficient 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. Full description at Econpapers || Download paper |
2023 | Approximately optimal trade execution strategies under fast mean-reversion. (2023). Thamsten, Yuri ; Evangelista, David. In: Papers. RePEc:arx:papers:2307.07024. Full description at Econpapers || Download paper |
2023 | Transformers versus LSTMs for electronic trading. (2023). Qiu, Yitao ; Bilokon, Paul. In: Papers. RePEc:arx:papers:2309.11400. Full description at Econpapers || Download paper |
2024 | Trade execution games in a Markovian environment. (2024). Shimoshimizu, Makoto ; Ohnishi, Masamitsu. In: Papers. RePEc:arx:papers:2405.07184. Full description at Econpapers || Download paper |
2024 | . Full description at Econpapers || Download paper |
2023 | Active 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. Full description at Econpapers || Download paper |
2024 | Heterogeneity 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. Full description at Econpapers || Download paper |
2023 | State-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. Full description at Econpapers || Download paper |
2023 | Volatility 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | Detecting 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. Full description at Econpapers || Download paper |
2024 | Information 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. Full description at Econpapers || Download paper |
2023 | Tracking ‘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. Full description at Econpapers || Download paper |
2023 | Streaming 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. Full description at Econpapers || Download paper |
2023 | Information 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. Full description at Econpapers || Download paper |
2023 | Review 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. Full description at Econpapers || Download paper |
2023 | Information 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2009 | Realised Quantile-Based Estimation of the Integrated Variance In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 74 |
2006 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2006 | Properties of Realized Variance Under Alternative Sampling Schemes In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 96 |
2004 | Statistical Models for High Frequency Security Prices In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] | paper | 5 |
2008 | Testing for jumps when asset prices are observed with noise-a swap variance approach In: Journal of Econometrics. [Full Text][Citation analysis] | article | 135 |
2001 | Using high frequency stock market index data to calculate, model and forecast realized return variance In: Economics Working Papers. [Full Text][Citation analysis] | paper | 22 |
2009 | A blocking and regularization approach to high dimensional realized covariance estimation In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
2005 | Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 40 |
2007 | Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 11 |
2001 | Using High Frequency Data to Calculate, Model and Forecast Realized Volatility In: Computing in Economics and Finance 2001. [Citation analysis] | paper | 11 |
2010 | Zero-intelligence realized variance estimation In: Finance and Stochastics. [Full Text][Citation analysis] | article | 41 |
2008 | Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? In: Econometric Reviews. [Full Text][Citation analysis] | article | 40 |
In: . [Full Text][Citation analysis] | paper | 7 |
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