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Number of items: 8.

Article

Breitung, Jörg ; Pigorsch, Uta (2013) A Canonical Correlation Approach for Selecting the Number of Dynamic Factors. Oxford Bulletin of Economics and Statistics Oxford [u.a.] 75 1 23-36 [Article]

Chen, Ying ; Härdle, Wolfgang ; Pigorsch, Uta (2010) Localized realized volatility modeling. Journal of the American Statistical Association : JASA London [u.a.] 105 492 1376-1393 [Article]

Bollerslev, Tim ; Pigorsch, Uta ; Pigorsch, Christian ; Tauchen, George (2009) A Discrete-Time Model for Daily S & P500 Returns and Realized Variations: Jumps and Leverage Effects. Journal of Econometrics Amsterdam [u.a.] 150 2 151-166 [Article]

Corsi, Fulvio ; Mittnik, Stefan ; Pigorsch, Christian ; Pigorsch, Uta (2008) The Volatility of Realized Volatility. Econometric Reviews Philadelphia, Pa. 27 1/3 46-78 [Article]

Book chapter

Pigorsch, Christian ; Pigorsch, Uta ; Popov, Ivaylo (2012) Volatility estimation based on high-frequency data. Duan, Jin-Chuan Handbook of Computational Finance Berlin [u.a.] 335-369 [Book chapter]

Härdle, Wolfgang ; Hautsch, Nikolaus ; Pigorsch, Uta (2009) Measuring and modeling risk using high-frequency data. Härdle, Wolfgang K. Applied Quantitative Finance Berlin [u.a.] 275-294 [Book chapter]

Working paper

Lutz, Benjamin Johannes ; Pigorsch, Uta ; Rotfuß, Waldemar (2013) Nonlinearity in cap-and-trade systems: the EUA price and its fundamentals. Open Access ZEW Discussion Papers Mannheim 13-001 [Working paper]
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Chen, Ying ; Härdle, Wolfgang ; Pigorsch, Uta (2009) Localized realized volatility modeling. SFB 649 Discussion Paper Berlin 09-003 [Working paper]

This list was created automatically on Sun Jun 13 05:06:55 2021 CEST