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: |
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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
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