Christian-Yann Robert

Finance · 2007–2021

A researcher in the Science corpus: 5 papers; trusts 21 researchers and is trusted by 4 researchers here, as inferred from the citation graph.

Subfields

• Finance — 26 citations into it; #4,953 of 10,518 by trust here, #6,419 by citations
• Economics and Econometrics — 17 citations into it
• Management Science and Operations Research — 10 citations into it; #11,859 of 11,946 by trust here, #10,392 by citations
• Statistics and Probability — 10 citations into it; #6,493 of 12,932 by trust here, #10,275 by citations
• Artificial Intelligence — 6 citations into it; #35,070 of 35,345 by trust here, #32,362 by citations

Whom Christian-Yann Robert trusts overall

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

1. C. Ferro
2. Mathieu Rosenbaum
3. Lan Zhang
4. Qihe Tang
5. Takaki Hayashi
6. Ilze Kalniņa
7. Michel Denuit
8. Johan Segers
9. Robert F. Engle
10. Paul Doukhan

Who trusts Christian-Yann Robert overall

1. Paul Northrop
2. Axel Bucher
3. Yiqing Chen
4. Richard A. Davis
5. Chen Zhou
6. Marc Hoffmann

Papers from Christian-Yann Robert's perspective

Ordered by how strongly the researchers Christian-Yann Robert trusts endorse each paper. Same corpus, a different order for every researcher.

1. Separating Microstructure Noise from Volatility
2. Realized Variance and Market Microstructure Noise
3. Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
4. Are Volatility Estimators Robust with Respect to Modeling Assumptions
5. Integrated Covariance Estimation using High-frequency Data in the Presence of Noise
6. On covariance estimation of non-synchronously observed diffusion processes
7. Estimating Covariation: Epps Effect, Microstructure Noise
8. Diffusions with measurement errors. II. Optimal estimators
9. Efficient Estimation of Stochastic Volatility Using Noisy Observations: A Multi-Scale Approach
10. Probability and Measure

Their papers

• A sliding blocks estimator for the extremal index (2008) — 53 citations
• Tails of random sums of a heavy-tailed number of light-tailed terms (2007) — 71 citations
• VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (2012) — 61 citations
• Inference for the limiting cluster size distribution of extreme values (2008) — 51 citations
• From risk sharing to pure premium for a large number of heterogeneous losses (2021) — 47 citations