Access Statistics for Matthias R. Fengler

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics 0 1 1 351 0 1 1 865
A Topic Model for 10-K Management Disclosures 2 3 3 3 2 6 6 6
A dynamic copula approach to recovering the index implied volatility skew 0 0 1 171 2 2 8 406
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 0 30 0 0 1 77
A variance spillover analysis without covariances: what do we miss? 0 0 0 61 0 0 16 290
Additive modeling of realized variance: tests for parametric specifications and structural breaks 0 0 0 52 0 0 0 102
Arbitrage-Free Smoothing of the Implied Volatility Surface 0 1 10 905 0 7 30 2,087
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 1 1 1 125 1 1 3 397
Correlation Risk Premia for Multi-Asset Equity Options 0 0 0 43 0 0 2 107
DSFM fitting of Implied Volatility Surfaces 0 0 0 168 0 0 1 513
Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface 0 1 5 49 0 1 8 151
GARCH option pricing models with Meixner innovations 0 0 0 46 0 0 0 103
Global estimation of realized spot volatility in the presence of price jumps 0 0 1 47 0 1 3 88
Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model 0 0 9 9 0 1 5 6
Identifying structural shocks to volatility through a proxy-MGARCH model 0 0 17 84 1 3 48 208
Implied volatility string dynamics 0 1 2 27 0 3 5 107
Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models 0 0 0 14 0 0 0 48
Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models 0 0 0 105 0 0 2 188
Media-expressed tone, Option Characteristics, and Stock Return Predictability 1 1 3 6 2 2 7 22
Monitoring Consumption Switzerland: Data, Background, and Use Cases 2 4 20 20 2 4 22 22
Multivariate volatility models 0 0 1 231 0 0 2 758
Option data and modeling BSM implied volatility 0 2 4 185 0 2 8 400
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 0 0 0 4 59
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 30 0 0 2 226
Realized Copula 0 0 1 59 0 0 1 128
Realized Copula 0 0 0 102 0 1 2 319
Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints 0 1 5 135 0 1 6 319
Structural Volatility Impulse Response Analysis 1 2 84 84 1 3 69 74
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 0 1 5 0 0 3 24
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 0 6 133 3 5 19 315
The analysis of implied volatilities 0 0 0 83 0 0 0 393
The dynamics of implied volatilities: A common principal components approach 0 0 2 144 0 1 4 648
The dynamics of implied volatilities: a common principal components approach 0 0 0 0 0 0 4 33
Total Working Papers 7 18 177 3,507 14 45 292 9,489


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew 0 0 1 16 1 1 4 90
A semiparametric factor model for implied volatility surface dynamics 1 1 4 61 2 2 11 128
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 1 7 0 1 2 40
A variance spillover analysis without covariances: What do we miss? 0 0 2 23 0 0 18 160
Arbitrage-free smoothing of the implied volatility surface 0 4 16 278 0 5 31 774
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 1 2 15 0 1 3 64
GARCH option pricing models with Meixner innovations 0 0 1 13 0 0 1 50
Managing risk with a realized copula parameter 0 0 0 18 0 0 1 51
Measuring Spot Variance Spillovers when (Co)variances are Time†varying – The Case of Multivariate GARCH Models 0 0 1 9 0 0 1 25
Media-expressed tone, option characteristics, and stock return predictability 1 1 4 4 1 1 8 17
Monitoring consumption Switzerland: data, background, and use cases 2 2 4 4 4 4 10 10
On extracting information implied in options 3 4 4 87 6 7 7 203
Price variability and price dispersion in a stable monetary environment: evidence from German retail markets 0 0 0 26 0 0 1 195
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints 1 2 3 22 1 4 7 92
Specification and structural break tests for additive models with applications to realized variance data 0 0 0 5 0 0 1 61
Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis 0 0 0 34 0 0 1 87
Static versus dynamic hedges: an empirical comparison for barrier options 0 0 1 219 0 0 3 491
The Dynamics of Implied Volatilities: A Common Principal Components Approach 0 0 2 466 0 1 3 1,187
Total Journal Articles 8 15 46 1,307 15 27 113 3,725


Statistics updated 2023-11-05