Concepedia

Roel C. A. Oomen

RC

31

Publications

1.3K

Citations

20

H-Index

2001

Active since

Affiliations

Deutsche Bank (United Kingdom)(Current)

London School of Economics and Political Science

University of Warwick

University of Amsterdam

University of Arizona

Roel C. A. Oomen is an author at Deutsche Bank (United Kingdom) specializing in business, finance, and statistics.

ORCID

Top concepts

Publications per year

2001–2022

31

Publications

31

Properties of Realized Variance Under Alternative Sampling Schemes

Roel C. A. Oomen · Journal of Business and Economic Statistics · 2006 · 175 citations

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A blocking and regularization approach to high‐dimensional realized covariance estimation

Nikolaus Hautsch, Lada M. Kyj, Roel C. A. Oomen · Journal of Applied Econometrics · 2010 · 129 citations

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

Harry M. Kat, Roel C. A. Oomen · SSRN Electronic Journal · 2006 · 127 citations · Full text

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

Jim E. Griffin, Roel C. A. Oomen · Econometric Reviews · 2008 · 82 citations

Fact or Friction: Jumps at Ultra High Frequency

Kim Christensen, Roel C. A. Oomen, Mark Podolskij · SSRN Electronic Journal · 2011 · 78 citations · Full text

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