Concepedia

Christian Pigorsch

CP

12

Publications

990

Citations

11

H-Index

2005

Active since

Affiliations

University of Bonn(Current)

Ludwig-Maximilians-Universität München

Duke University

University of Mannheim

National Bureau of Economic Research

Christian Pigorsch is an author at University of Bonn specializing in engineering, finance, and management.

Top concepts

EngineeringFinanceManagementEconomicsStatisticsAsset PricingRisk ManagementFinancial EngineeringFinancial Risk ManagementBusiness

Publications per year

2005–2023

12

Publications

12

The Volatility of Realized Volatility

Fulvio Corsi, Stefan Mittnik, Christian Pigorsch et al. · Econometric Reviews · 2008 · 417 citations

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

Tim Bollerslev, Uta Kretschmer, Christian Pigorsch et al. · Journal of Econometrics · 2008 · 215 citations

Empirical Finance, Economics, Financial Economics +11

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

Ulrich Homm, Christian Pigorsch · Journal of Banking & Finance · 2012 · 111 citations

Engineering, Performance Analysis, Measurement +10

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

Christian Pigorsch, Robert Stelzer · Bernoulli · 2009 · 44 citations · Full text

Spectral Theory, Driving Matrix Subordinator, Engineering +12

Michael Sedlmair, Petra Isenberg, Dominikus Baur et al. · 2011 · 42 citations · Full text

Interactive Visualization, Engineering, Data Science +12

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