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 Topic Model for 10-K Management Disclosures 0 0 7 27 0 2 40 105
A dynamic copula approach to recovering the index implied volatility skew 0 0 0 173 0 1 9 426
A dynamic semiparametric factor model for implied volatility string dynamics 0 1 2 355 1 3 17 888
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 0 31 0 0 13 97
A variance spillover analysis without covariances: what do we miss? 0 0 1 62 1 2 23 317
Additive modeling of realized variance: tests for parametric specifications and structural breaks 0 0 0 52 0 2 14 119
Arbitrage-free smoothing of the implied volatility surface 0 1 5 936 1 6 51 2,199
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 1 3 130 1 3 45 453
Correlation Risk Premia for Multi-Asset Equity Options 0 0 0 43 0 0 9 120
DSFM fitting of implied volatility surfaces 0 0 0 168 0 0 7 522
Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface 0 0 0 52 0 0 12 169
GARCH option pricing models with Meixner innovations 0 0 0 50 1 1 17 131
Global estimation of realized spot volatility in the presence of price jumps 0 0 0 48 0 0 14 108
Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model 0 0 0 9 0 1 34 44
Implied volatility string dynamics 0 0 1 30 0 1 15 128
Locally adaptive modeling of unconditional heteroskedasticity 0 0 10 11 0 0 24 26
Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models 0 0 1 15 0 1 6 56
Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models 0 0 1 106 0 1 17 208
Media-expressed tone, Option Characteristics, and Stock Return Predictability 1 1 1 7 3 5 21 47
Monitoring Consumption Switzerland: Data, Background, and Use Cases 0 0 2 25 0 3 24 62
Multivariate volatility models 0 0 0 231 0 0 11 776
Option data and modeling BSM implied volatility 0 2 2 190 0 2 9 423
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 30 0 0 15 242
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 0 0 0 6 66
Proxy-identification of a structural MGARCH model for asset returns 1 1 4 8 1 2 36 50
Proxy-identification of a structural MGARCH model for asset returns 0 0 1 94 0 2 22 257
Realized Copula 0 0 0 102 0 1 16 338
Realized copula 0 0 1 60 0 1 15 147
Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints 0 0 0 138 0 0 12 342
Structural Volatility Impulse Response Analysis 0 0 0 3 0 1 10 20
Structural Volatility Impulse Response Analysis 0 0 1 100 0 0 27 138
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 0 0 5 0 1 16 56
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 0 3 143 1 9 48 393
The Transmission of Monetary Policy to the Cost of Hedging 0 0 2 3 0 5 25 31
The Transmission of Monetary Policy to the Cost of Hedging 0 0 0 7 0 0 12 27
The Transmission of Monetary Policy to the Cost of Hedging 0 0 3 6 1 2 36 52
The analysis of implied volatilities 0 0 0 84 0 0 12 410
The dynamics of implied volatilities: A common principal components approach 0 2 2 148 1 4 25 678
The dynamics of implied volatilities: a common principal components approach 0 0 0 0 0 1 11 48
The transmission of monetary policy to the cost of hedging 0 0 0 1 0 0 15 25
Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective 0 0 1 8 0 2 24 33
Total Working Papers 2 9 54 3,691 12 65 815 10,777

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 0 17 0 2 19 111
A semiparametric factor model for implied volatility surface dynamics 0 4 9 72 1 6 26 165
A simple and general approach to fitting the discount curve under no-arbitrage constraints 1 1 1 8 1 1 12 54
A variance spillover analysis without covariances: What do we miss? 0 0 1 25 0 1 12 178
Arbitrage-free smoothing of the implied volatility surface 1 1 8 299 5 22 74 892
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 0 17 0 0 12 85
Consumer spending in Switzerland: insights from a novel transactional data index 0 1 1 1 4 10 16 16
GARCH option pricing models with Meixner innovations 0 0 0 14 3 4 9 62
Hedging under alternative stickiness assumptions: an empirical analysis for barrier options 0 2 3 4 0 4 10 16
Managing risk with a realized copula parameter 0 0 0 20 0 0 10 64
Measuring Spot Variance Spillovers when (Co)variances are Time†varying – The Case of Multivariate GARCH Models 0 0 0 10 1 1 2 31
Media-expressed tone, option characteristics, and stock return predictability 0 0 2 6 2 2 16 40
Monitoring consumption Switzerland: data, background, and use cases 0 0 0 10 1 3 18 50
On extracting information implied in options 0 0 1 91 1 3 11 223
Price variability and price dispersion in a stable monetary environment: evidence from German retail markets 0 0 0 26 0 0 15 212
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints 0 1 3 28 0 1 18 120
Specification and structural break tests for additive models with applications to realized variance data 0 0 1 6 0 1 11 79
Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis 0 0 0 34 2 3 17 107
Static versus dynamic hedges: an empirical comparison for barrier options 0 0 1 222 2 5 13 509
Structural Volatility Impulse Response Analysis 0 0 1 1 0 0 6 6
The Dynamics of Implied Volatilities: A Common Principal Components Approach 0 0 2 473 0 3 14 1,212
Unveiling themes in 10-K disclosures: A new topic modeling perspective 0 0 2 2 1 5 43 45
Total Journal Articles 2 10 36 1,386 24 77 384 4,277

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Applied Multivariate Statistical Analysis 0 0 0 0 0 1 7 7
Semiparametric Modeling of Implied Volatility 0 0 0 0 0 0 10 10
Total Books 0 0 0 0 0 1 17 17

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Short Excursion into Matrix Algebra 0 0 0 0 0 0 4 4
Applications in Finance 0 0 0 0 0 0 3 3
Canonical Correlation Analysis 0 0 0 0 0 1 3 3
Cluster Analysis 0 0 0 0 0 1 2 2
Comparison of Batches 0 0 0 0 0 0 4 4
Computationally Intensive Techniques 0 0 0 0 0 0 6 6
Conjoint Measurement Analysis 0 0 0 0 0 0 3 3
Correction to: Cluster Analysis 0 0 0 0 0 1 5 5
Correspondence Analysis 0 0 0 0 0 0 3 3
Decomposition of Data Matrices by Factors 0 0 0 0 0 0 5 5
Discriminant Analysis 0 0 0 0 0 0 3 3
Factor Analysis 0 0 0 0 0 0 4 4
Hypothesis Testing 0 0 0 0 0 0 2 2
Least Squares Kernel Smoothing of the Implied Volatility Smile 0 0 0 0 0 0 5 5
Locally Linear Embedding 0 0 0 0 0 0 6 6
Moving to Higher Dimensions 0 0 0 0 0 0 3 3
Multidimensional Scaling 0 0 0 0 0 1 5 5
Multivariate Distributions 0 0 0 0 0 1 5 5
Multivariate Volatility Models 0 0 0 0 0 1 8 8
Principal Component Analysis 0 0 0 0 0 3 9 9
Regression Models 0 0 0 0 0 0 1 1
Stochastic Neighborhood Embedding 0 0 0 0 0 0 6 6
Theory of Estimation 0 0 0 0 0 0 3 3
Theory of the Multinormal 0 0 0 0 0 0 1 1
Uniform Manifold Approximation and Projection 0 0 0 0 0 3 21 21
Variable Selection 0 0 0 0 0 0 4 4
Total Chapters 0 0 0 0 0 12 124 124

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-08-07