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Pigorsch, Christian's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
591 |
Total
Citations
48 |
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1.
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Bollerslev, Tim
Duke University - Finance Kretschmer, Uta
University of Bonn, Department of Economics Pigorsch, Christian
Ludwig Maximilians University of Munich - Department of Statistics Tauchen, George
Duke University - Economics Group
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402
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25
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Stochastic volatility, Realized volatility, Bipower variation, Jumps, Leverage effect, Return distributions, Simultaneous equation model
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2.
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Bollerslev, Tim
Duke University - Finance Kretschmer, Uta
University of Bonn, Department of Economics Pigorsch, Christian
Ludwig Maximilians University of Munich - Department of Statistics Tauchen, George
Duke University - Economics Group
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116
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23
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Realized volatility, Bipower variation, Jumps, Leverage effect, Simultaneous equation model
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3.
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Ankirchner, Stefan
University of Bonn Pigorsch, Christian
Ludwig Maximilians University of Munich - Department of Statistics Schweizer, Nikolaus
Saarland University
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30 Oct 12
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Last Revised:
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06 Mar 13
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73
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basis risk, cross-hedging, hedging error, incomplete markets, least-squares Monte Carlo
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4.
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Corsi, Fulvio
Kretschmer, Uta
University of Bonn, Department of Economics Mittnik, Stefan
University of Kiel - Institute of Statistics & Econometrics Pigorsch, Christian
Ludwig Maximilians University of Munich - Department of Statistics
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Finance, Realized Volatility, Realized Quarticity, GARCH, Normal Inverse
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Records 1 -
4
of 4 matches
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