Roel C. A. Oomen

Finance · 2005–2016

A researcher in the Science corpus: 9 papers; trusts 64 researchers and is trusted by 55 researchers here, as inferred from the citation graph.

Subfields

Whom Roel C. A. Oomen trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. Ole E. Barndorff-Nielsen
  2. N. Shephard
  3. F. Bandi
  4. P. R. Hansen
  5. Torben G. Andersen
  6. Lan Zhang
  7. Jeffrey R. Russell
  8. Tim Bollerslev
  9. Asger Lunde
  10. Robert F. Engle

Who trusts Roel C. A. Oomen overall

  1. Andrew J. Patton
  2. F. Bandi
  3. P. R. Hansen
  4. Michael Mcaleer
  5. Kim Christensen
  6. Torben G. Andersen
  7. Yacine Aït-Sahalia
  8. Asger Lunde
  9. Marcelo C. Medeiros
  10. Jefirey R. Russell

Papers from Roel C. A. Oomen's perspective

Ordered by how strongly the researchers Roel C. A. Oomen trusts endorse each paper. Same corpus, a different order for every researcher.

  1. Separating Microstructure Noise from Volatility
  2. The jump-risk premia implicit in options: evidence from an integrated time-series study $
  3. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
  4. Estimating Daily Volatility in Financial Markets Utilizing Intraday Data
  5. The distribution of realized stock return volatility
  6. The Distribution of Realized Exchange Rate Volatility
  7. Power and bipower variation with stochastic volatility and jumps
  8. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
  9. Generalized autoregressive conditional heteroskedasticity
  10. Microstructure Noise, Realized Variance, and Optimal Sampling

Their papers