Roel C A Oomen
Biographic Data
| ID | 8920491 |
|---|---|
| NAME | Roel C A Oomen |
| GIVEN NAMES | Roel C A |
| FAMILY NAME | Oomen |
| SIGNATURE | OOMEN R C A |
| AFFILIATIONS | University of Warwick |
| ORCID | 0009-0009-4324-4068 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2006 |
| LATEST PUBLICATION YEAR | 2006 |
| H-INDEX | 0 |
Properties of Realized Variance Under Alternative Sampling Schemes
This article investigates the statistical properties of the realized variance estimator in the presence of market microstructure noise. Different from the existing literature, the analysis relies on a pure jump process for high-frequency security prices and explicitly distinguishes among alternative sampling schemes, including calendar time sampling, business time sampling, and transaction time sampling. The main finding in this article is that t…
No prominent works on this page.
Properties of Realized Variance Under Alternative Sampling Schemes
This article investigates the statistical properties of the realized variance estimator in the presence of market microstructure noise. Different from the existing literature, the analysis relies on a pure jump process for high-frequency security prices and explicitly distinguishes among alternative sampling schemes, including calendar time sampling, business time sampling, and transaction time sampling. The main finding in this article is that t…
Accounting (1 work) · Computer Science (1 work) · Database (1 work) · Database transaction (1 work) · Econometrics (1 work) · Economics (1 work) · Estimator (1 work) · Financial Markets and Investment Strategies (1 work) · Financial Risk and Volatility Modeling (1 work) · Mathematics (1 work)