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 8 27 2 3 42 105
A dynamic copula approach to recovering the index implied volatility skew 0 0 0 173 0 2 9 426
A dynamic semiparametric factor model for implied volatility string dynamics 1 1 2 355 2 5 16 887
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 0 31 0 4 14 97
A variance spillover analysis without covariances: what do we miss? 0 1 1 62 1 6 22 316
Additive modeling of realized variance: tests for parametric specifications and structural breaks 0 0 0 52 1 9 14 119
Arbitrage-free smoothing of the implied volatility surface 0 1 5 936 2 12 52 2,198
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 1 3 130 1 6 45 452
Correlation Risk Premia for Multi-Asset Equity Options 0 0 0 43 0 3 9 120
DSFM fitting of implied volatility surfaces 0 0 0 168 0 1 7 522
Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface 0 0 0 52 0 2 12 169
GARCH option pricing models with Meixner innovations 0 0 0 50 0 3 16 130
Global estimation of realized spot volatility in the presence of price jumps 0 0 0 48 0 5 14 108
Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model 0 0 0 9 0 3 34 44
Implied volatility string dynamics 0 1 1 30 0 3 15 128
Locally adaptive modeling of unconditional heteroskedasticity 0 0 10 11 0 3 25 26
Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models 0 0 1 15 1 1 7 56
Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models 0 0 1 106 0 5 18 208
Media-expressed tone, Option Characteristics, and Stock Return Predictability 0 0 0 6 1 6 19 44
Monitoring Consumption Switzerland: Data, Background, and Use Cases 0 0 2 25 0 7 26 62
Multivariate volatility models 0 0 0 231 0 0 11 776
Option data and modeling BSM implied volatility 2 2 2 190 2 2 9 423
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 30 0 1 15 242
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 0 0 2 7 66
Proxy-identification of a structural MGARCH model for asset returns 0 0 1 94 0 4 23 257
Proxy-identification of a structural MGARCH model for asset returns 0 0 3 7 0 1 35 49
Realized Copula 0 0 0 102 1 5 16 338
Realized copula 0 0 1 60 1 3 15 147
Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints 0 0 0 138 0 1 12 342
Structural Volatility Impulse Response Analysis 0 0 0 3 0 4 10 20
Structural Volatility Impulse Response Analysis 0 0 2 100 0 6 30 138
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 0 0 5 0 7 17 56
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 0 3 143 6 13 47 392
The Transmission of Monetary Policy to the Cost of Hedging 0 0 3 6 1 4 35 51
The Transmission of Monetary Policy to the Cost of Hedging 0 0 2 3 2 8 26 31
The Transmission of Monetary Policy to the Cost of Hedging 0 0 0 7 0 4 12 27
The analysis of implied volatilities 0 0 1 84 0 3 14 410
The dynamics of implied volatilities: A common principal components approach 0 2 2 148 1 10 24 677
The dynamics of implied volatilities: a common principal components approach 0 0 0 0 0 2 11 48
The transmission of monetary policy to the cost of hedging 0 0 0 1 0 2 15 25
Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective 0 0 1 8 1 4 24 33
Total Working Papers 3 9 55 3,689 26 175 824 10,765

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 7 19 111
A semiparametric factor model for implied volatility surface dynamics 2 7 9 72 2 12 26 164
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 0 7 0 4 11 53
A variance spillover analysis without covariances: What do we miss? 0 0 1 25 0 2 12 178
Arbitrage-free smoothing of the implied volatility surface 0 0 9 298 12 27 73 887
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 0 17 0 3 12 85
Consumer spending in Switzerland: insights from a novel transactional data index 0 1 1 1 3 8 12 12
GARCH option pricing models with Meixner innovations 0 0 0 14 1 1 7 59
Hedging under alternative stickiness assumptions: an empirical analysis for barrier options 1 2 3 4 2 5 11 16
Managing risk with a realized copula parameter 0 0 0 20 0 2 10 64
Measuring Spot Variance Spillovers when (Co)variances are Time†varying – The Case of Multivariate GARCH Models 0 0 0 10 0 0 1 30
Media-expressed tone, option characteristics, and stock return predictability 0 0 2 6 0 2 15 38
Monitoring consumption Switzerland: data, background, and use cases 0 0 1 10 1 7 19 49
On extracting information implied in options 0 0 1 91 1 5 10 222
Price variability and price dispersion in a stable monetary environment: evidence from German retail markets 0 0 0 26 0 6 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 3 20 120
Specification and structural break tests for additive models with applications to realized variance data 0 0 1 6 1 1 14 79
Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis 0 0 0 34 0 6 15 105
Static versus dynamic hedges: an empirical comparison for barrier options 0 0 1 222 2 3 11 507
Structural Volatility Impulse Response Analysis 0 0 1 1 0 2 6 6
The Dynamics of Implied Volatilities: A Common Principal Components Approach 0 0 2 473 1 3 14 1,212
Unveiling themes in 10-K disclosures: A new topic modeling perspective 0 1 2 2 0 9 42 44
Total Journal Articles 3 12 37 1,384 26 118 375 4,253

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 5 7 7
Semiparametric Modeling of Implied Volatility 0 0 0 0 0 4 10 10
Total Books 0 0 0 0 0 9 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 3 4 4
Applications in Finance 0 0 0 0 0 2 3 3
Canonical Correlation Analysis 0 0 0 0 0 1 3 3
Cluster Analysis 0 0 0 0 1 2 2 2
Comparison of Batches 0 0 0 0 0 2 4 4
Computationally Intensive Techniques 0 0 0 0 0 3 6 6
Conjoint Measurement Analysis 0 0 0 0 0 1 3 3
Correction to: Cluster Analysis 0 0 0 0 1 2 5 5
Correspondence Analysis 0 0 0 0 0 2 3 3
Decomposition of Data Matrices by Factors 0 0 0 0 0 2 5 5
Discriminant Analysis 0 0 0 0 0 1 3 3
Factor Analysis 0 0 0 0 0 1 4 4
Hypothesis Testing 0 0 0 0 0 2 2 2
Least Squares Kernel Smoothing of the Implied Volatility Smile 0 0 0 0 0 3 5 5
Locally Linear Embedding 0 0 0 0 0 3 6 6
Moving to Higher Dimensions 0 0 0 0 0 1 3 3
Multidimensional Scaling 0 0 0 0 0 2 5 5
Multivariate Distributions 0 0 0 0 1 2 5 5
Multivariate Volatility Models 0 0 0 0 0 3 8 8
Principal Component Analysis 0 0 0 0 0 5 9 9
Regression Models 0 0 0 0 0 1 1 1
Stochastic Neighborhood Embedding 0 0 0 0 0 3 6 6
Theory of Estimation 0 0 0 0 0 1 3 3
Theory of the Multinormal 0 0 0 0 0 1 1 1
Uniform Manifold Approximation and Projection 0 0 0 0 2 9 21 21
Variable Selection 0 0 0 0 0 3 4 4
Total Chapters 0 0 0 0 5 61 124 124

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