Roel C. A. Oomen

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
AI-driven liquidity provision in OTC financial markets Quantitative Finance	2023-06-20	Paper
The drift burst hypothesis Journal of Econometrics	2022-03-16	Paper
Price signatures Quantitative Finance	2019-09-26	Paper
Last look Quantitative Finance	2018-11-19	Paper
Execution in an aggregator Quantitative Finance	2018-11-19	Paper
Covariance measurement in the presence of non-synchronous trading and market microstructure noise Journal of Econometrics	2016-08-10	Paper
Realised quantile-based estimation of the integrated variance Journal of Econometrics	2016-08-04	Paper
Testing for jumps when asset prices are observed with noise -- a ``swap variance approach Journal of Econometrics	2016-06-13	Paper
Zero-intelligence realized variance estimation. Finance and Stochastics	2011-04-06	Paper
High-dimensional covariance forecasting for short intra-day horizons Quantitative Finance	2010-12-20	Paper
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? Econometric Reviews	2008-11-19	Paper

Research outcomes over time

This page was built for person: Roel C. A. Oomen