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A discrete-time model for daily S & P500 returns and realized variations : jumps and leverage effects
Bollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian; … - In: Journal of econometrics 150 (2009) 2, pp. 151-166
Persistent link: https://www.econbiz.de/10003858496
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An operational interpretation and existence of the Aumann-Serrano index of riskiness
Homm, Ulrich; Pigorsch, Christian - In: Economics letters 114 (2012) 3, pp. 265-267
Persistent link: https://www.econbiz.de/10009550792
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Futures cross-hedging with a stationary basis
Ankirchner, Stefan; Dimitroff, Georgi; Heyne, Gregor; … - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 6, pp. 1361-1395
Persistent link: https://www.econbiz.de/10009728904
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Essays in statistics
Gleim, Alexander - 2016
Persistent link: https://www.econbiz.de/10011552731
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Estimating residual hedging risk with least-squares Monte Carlo
Ankirchner, Stefan; Pigorsch, Christian; Schweizer, Nikolaus - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10010498866
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The volatility of realized volatility
Corsi, Fulvio; Mittnik, Stefan; Pigorsch, Christian; … - In: Econometric reviews 27 (2008) 1/3, pp. 46-78
Persistent link: https://www.econbiz.de/10003761214
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Monetary policy in an imperfect information environment
Other, Lars - 2021
Persistent link: https://www.econbiz.de/10012519676
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Coping with choice modeling : theoretical and methodological insights
Rodenburger, Daniel - 2021
Persistent link: https://www.econbiz.de/10012586151
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A discrete-time model for daily S&P500 returns and realized variations : jumps and leverage effects
Bollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian; … - 2005
Persistent link: https://www.econbiz.de/10010218862