Christian Pigorsch

Ludwig Maximilian University of Munich - Department of Statistics

Ludwigstr. 33

Munchen, D-80539

Germany

SCHOLARLY PAPERS

4

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CITATIONS
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54

Scholarly Papers (4)

1.

A Discrete-Time Model for Daily S&P 500 Returns and Realized Variations: Jumps and Leverage Effects

Number of pages: 43 Posted: 24 Aug 2005
Tim Bollerslev, Uta Kretschmer, Christian Pigorsch and George Tauchen
Duke University - Finance, University of Bonn, Department of Economics, Ludwig Maximilian University of Munich - Department of Statistics and Duke University - Economics Group
Downloads 459 (60,859)
Citation 21

Abstract:

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Stochastic volatility, Realized volatility, Bipower variation, Jumps, Leverage effect, Return distributions, Simultaneous equation model

2.

Estimating Residual Hedging Risk with Least-Squares Monte Carlo

Number of pages: 30 Posted: 30 Oct 2012 Last Revised: 06 Mar 2013
Stefan Ankirchner, Christian Pigorsch and Nikolaus Schweizer
University of Bonn, Ludwig Maximilian University of Munich - Department of Statistics and Tilburg School of Economics and Management
Downloads 210 (143,250)
Citation 2

Abstract:

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basis risk, cross-hedging, hedging error, incomplete markets, least-squares Monte Carlo

3.

A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects

Economic Research Initiatives at Duke (ERID) Working Paper No. 6
Number of pages: 49 Posted: 23 Jun 2008
Tim Bollerslev, Uta Kretschmer, Christian Pigorsch and George Tauchen
Duke University - Finance, University of Bonn, Department of Economics, Ludwig Maximilian University of Munich - Department of Statistics and Duke University - Economics Group
Downloads 197 (152,056)
Citation 36

Abstract:

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Realized volatility, Bipower variation, Jumps, Leverage effect, Simultaneous equation model

4.

The Volatility of Realized Volatility

CFS Working Paper No. 2005/33
Posted: 07 Jun 2006
Fulvio Corsi, Uta Kretschmer, Stefan Mittnik and Christian Pigorsch
University of Pisa - Department of Economics, University of Bonn, Department of Economics, University of Kiel - Institute of Statistics & Econometrics and Ludwig Maximilian University of Munich - Department of Statistics

Abstract:

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Finance, Realized Volatility, Realized Quarticity, GARCH, Normal Inverse