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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