Paul Malliavin

Finance · 2001–2009

A researcher in the Science corpus: 3 papers; trusts 7 researchers and is trusted by 6 researchers here, as inferred from the citation graph.

Subfields

• Finance — 11 citations into it; #5,239 of 10,518 by trust here, #6,671 by citations
• Economics and Econometrics — 9 citations into it

Whom Paul Malliavin trusts overall

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

1. Emilio Barucci
2. Ole E. Barndorff-Nielsen
3. P. R. Hansen
4. Lan Zhang
5. Asger Lunde
6. N. Shephard
7. Roberto Renò
8. Valeri Voev
9. Torben G. Andersen
10. Jean Jacod

Who trusts Paul Malliavin overall

1. Lukasz Delong
2. Ivan Nourdin
3. Peter Imkeller
4. David Nualart
5. Guillaume Poly

Papers from Paul Malliavin's perspective

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

1. Realized Variance and Market Microstructure Noise
2. Econometric analysis of realised volatility and its use in estimating stochastic volatility models
3. Integrated Covariance Estimation using High-frequency Data in the Presence of Noise
4. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
5. Estimating Covariation: Epps Effect, Microstructure Noise
6. Consistent High-precision Volatility from High-frequency Data
7. On measuring volatility and the GARCH forecasting performance
8. Stochastic Calculus of Variations in Mathematical Finance
9. ANOVA for diffusions and Itô processes
10. Separating Microstructure Noise from Volatility

Their papers

• A Fourier transform method for nonparametric estimation of multivariate volatility (2009) — 140 citations
• Stochastic Calculus of Variations in Mathematical Finance (2005) — 220 citations
• Unitarizing probability measures for representations of Virasoro algebra (2001) — 62 citations