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Christian Pigorsch

pigorsch(Junior Professor of Econometrics)                                       

main research fields: financial econometrics, estimation of continuous time models
office phone number: +49 (0)228 733920
email address:
 christian.pigorsch(at)uni-bonn.de
Personal Homepage:

http://ect-pigorsch.mee.uni-bonn.de/

 

Selected Publications:

  • "A Discrete–Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects" joint work with Tim Bollerslev, Uta Kretschmer and George Tauchen, forthcoming Journal of Econometrics
  • "A Multivariate Generalization of the Ornstein-Uhlenbeck Stochastic Volatility Model" joint work with Robert Stelzer, submitted.

Brief CV:

  • Dr. rer. nat., University of Munich (2007)
  • Diplom in quant. Economics, University of Kiel (2002)