Christian Pigorsch

Finance · 2005–2009

A researcher in the Science corpus: 4 papers; trusts 53 researchers and is trusted by 8 researchers here, as inferred from the citation graph.

Subfields

• Finance — 109 citations into it; #4,742 of 10,518 by trust here, #2,459 by citations
• Economics and Econometrics — 88 citations into it; #10,281 of 23,481 by trust here, #6,263 by citations
• Statistics and Probability — 18 citations into it
• Artificial Intelligence — 5 citations into it
• Global and Planetary Change — 5 citations into it
• Management Science and Operations Research — 5 citations into it

Whom Christian Pigorsch trusts overall

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

1. Ole E. Barndorff-Nielsen
2. N. Shephard
3. Christian Gouriéroux
4. Torben G. Andersen
5. Peter J. Brockwell
6. Michael SØrensen
7. Tim Bollerslev
8. Lars Peter Hansen
9. P. R. Hansen
10. V. Todorov

Who trusts Christian Pigorsch overall

1. Ole E. Barndorff-Nielsen
2. Robert Stelzer
3. Fulvio Corsi
4. Tim Bollerslev
5. John M. Maheu
6. N. Shephard

Papers from Christian Pigorsch's perspective

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

1. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
2. The Distribution of Realized Exchange Rate Volatility
3. Generalized autoregressive conditional heteroskedasticity
4. The jump-risk premia implicit in options: evidence from an integrated time-series study $
5. Power and bipower variation with stochastic volatility and jumps
6. The distribution of realized stock return volatility
7. Econometric analysis of realised volatility and its use in estimating stochastic volatility models
8. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
9. Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics
10. A Simple Long Memory Model of Realized Volatility

Their papers

• The Volatility of Realized Volatility (2005) — 435 citations
• A Discrete-Time Model for Daily S & P500 Returns and Realized Variations: Jumps and Leverage Effects (2009) — 233 citations
• Financial economics: Fat-tailed distributions (2009) — 85 citations
• A multivariate Ornstein-Uhlenbeck type stochastic volatility model (2009) — 51 citations