Skip to main content

Properties of Realized Variance for a Pure Jump Processes: Calendar Time vs Business Time Sampling

Roel Oomen is Lecturer in Finance in the Department of Accounting and Finance, Warwick Business School and Associate Research Fellow, Faculty of Finance, Cass Business School, London.
Event information
Date 26 May 2004
Time 13:00-14:00 (Timezone: Europe/London)
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

His research interests are in the risk management of derivatives, market microstructure, time series econometrics, continuous time models and high frequency data.
www.warwick.ac.uk/staff/R.C.A.Oomen

You might also like

Accounting for Equity Instruments: Does IFRS 9 Deter Gains-Trading or Long-Term Investments? By Professor Jannis Bischof

1 October 2025 · Research Seminars Seminars
Professor Jannis Bischof will be presenting his paper on Accounting for Equity Instruments on 1st October 2025 at the ICMA Centre.
Business professionals Current customers Researchers

Multiple testing for the topology of financial networks by Professor Richard Luger

15 October 2025 · Guest speaker Research Seminars Seminars
Professor Richard Luger will be presenting his paper on 'Multiple testing for the topology of financial networks' at the ICMA Centre.
Business professionals Current customers Researchers