Ross Maller

Finance · 2000–2009

A researcher in the Science corpus: 13 papers; trusts 27 researchers and is trusted by 34 researchers here, as inferred from the citation graph.

Subfields

• Finance — 55 citations into it; #847 of 10,518 by trust here, #956 by citations
• Economics and Econometrics — 29 citations into it; #6,067 of 23,481 by trust here, #9,259 by citations
• Management Science and Operations Research — 14 citations into it; #1,167 of 11,946 by trust here, #1,061 by citations
• Demography — 13 citations into it; #1,639 of 4,236 by trust here, #2,373 by citations
• Mathematical Physics — 13 citations into it; #1,806 of 8,562 by trust here, #2,038 by citations
• Statistics and Probability — 7 citations into it; #8,105 of 12,932 by trust here, #7,508 by citations

Whom Ross Maller trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Ole E. Barndorff-Nielsen
2. Claudia Klüppelberg
3. N. Shephard
4. Y. Wang
5. A. Lindner
6. Robert F. Engle
7. Tim Bollerslev
8. Valentina Corradi
9. V. Rivero
10. Marc Yor

Who trusts Ross Maller overall

1. A. Lindner
2. Peter J. Brockwell
3. Ken-iti Sato
4. Claudia Klüppelberg
5. Andreas E. Kyprianou
6. Alexander Iksanov
7. V. Todorov
8. Gernot J. Müller
9. María Emilia Caballero
10. Toshiro Watanabe

Papers from Ross Maller's perspective

Ordered by how strongly the researchers Ross Maller trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics
3. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
4. Stochastic Volatility: Selected Readings
5. Application of Generalized Hyperbolic Lévy Motions to Finance
6. The Variance Gamma (V.G.) Model for Share Market Returns
7. Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
8. Modelling by Lévy Processess for Financial Econometrics
9. Superposition of Ornstein--Uhlenbeck Type Processes
10. Modelling by L´ evy Processes for Financial Econometrics

Their papers

• Ruin probabilities and overshoots for general Lévy insurance risk processes (2004) — 196 citations
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour (2004) — 286 citations
• Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes (2005) — 89 citations
• Stability of perpetuities (2000) — 171 citations
• Generalised Ornstein-Uhlenbeck Processes and the Convergence of Levy Integrals (2005) — 64 citations
• Stability and Attraction to Normality for Lévy Processes at Zero and at Infinity (2002) — 78 citations
• STABILITY OF THE OVERSHOOT FOR LÉVY PROCESSES (2002) — 47 citations
• On Continuity Properties of the Law of Integrals of Lévy Processes (2006) — 61 citations
• GARCH modelling in continuous time for irregularly spaced time series data (2008) — 69 citations
• Bias and consistency of the maximum Sharpe ratio (2005) — 57 citations
• Ornstein–Uhlenbeck Processes and Extensions (2009) — 110 citations
• Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models (2006) — 83 citations
• A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS (2006) — 56 citations