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Christian Pigorsch · Study

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Christian Pigorsch

8 works· latest 2012· 2 institutionscluster: provisional

h-index8

i108

Citations883

Works here8

08

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11

12

Most cited in this library

The Volatility of Realized Volatility2008 · 421 citations
A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects2008 · 203 citations
Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement2012 · 110 citations
On the definition, stationary distribution and second order structure of positive semidefinite Ornstein–Uhlenbeck type processes2009 · 41 citations
A multivariate Ornstein-Uhlenbeck type stochastic volatility model2009 · 38 citations

Works

8 shown

Futures Cross-Hedging with a Stationary Basis

Journal of Financial and Quantitative Analysis·2012·4 authors·Open access

15citations

Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement

Journal of Banking & Finance·2012·2 authors

110citations

An operational interpretation and existence of the Aumann–Serrano index of riskiness

Economics Letters·2011·2 authors

27citations

On the definition, stationary distribution and second order structure of positive semidefinite Ornstein–Uhlenbeck type processes

Bernoulli·2009·2 authors·Open access

41citations

A multivariate Ornstein-Uhlenbeck type stochastic volatility model

·2009·2 authors

38citations

A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects

Journal of Econometrics·2008·4 authors

203citations

The Volatility of Realized Volatility

Econometric Reviews·2008·4 authors·Open access

421citations

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

SSRN Electronic Journal·2008·4 authors·preprint·Open access

28citations