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 0 0 350 0 0 3 864
A dynamic copula approach to recovering the index implied volatility skew 0 0 0 170 1 3 3 401
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 0 30 0 0 0 76
A variance spillover analysis without covariances: what do we miss? 0 0 1 61 1 4 19 278
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 2 4 10 900 4 10 27 2,073
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 0 124 0 1 1 395
Correlation Risk Premia for Multi-Asset Equity Options 0 0 2 43 0 0 4 106
DSFM fitting of Implied Volatility Surfaces 0 0 1 168 0 1 3 513
Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface 2 2 3 47 4 5 8 149
GARCH option pricing models with Meixner innovations 0 0 1 46 0 0 2 103
Global estimation of realized spot volatility in the presence of price jumps 0 1 1 47 0 1 1 86
Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model 0 8 8 8 0 0 2 2
Identifying structural shocks to volatility through a proxy-MGARCH model 1 5 18 73 7 20 61 185
Implied volatility string dynamics 0 0 0 25 1 1 6 103
Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models 0 0 0 14 0 0 1 48
Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models 0 0 0 105 0 0 1 187
Media-expressed tone, Option Characteristics, and Stock Return Predictability 1 1 2 5 2 2 9 19
Monitoring Consumption Switzerland: Data, Background, and Use Cases 4 14 14 14 3 11 11 11
Multivariate volatility models 0 1 4 231 0 1 4 757
Option data and modeling BSM implied volatility 0 1 2 182 0 3 11 395
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 30 0 0 4 224
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 0 0 0 4 55
Realized Copula 0 0 2 102 0 0 4 317
Realized Copula 0 0 1 58 0 0 2 127
Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints 1 2 3 132 1 2 3 315
Structural Volatility Impulse Response Analysis 2 10 71 71 6 30 50 50
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 0 0 4 0 0 3 22
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 1 1 128 0 1 8 300
The analysis of implied volatilities 0 0 1 83 0 0 1 393
The dynamics of implied volatilities: A common principal components approach 0 0 0 142 0 0 5 644
The dynamics of implied volatilities: a common principal components approach 0 0 0 0 1 1 4 30
Total Working Papers 13 50 146 3,445 31 97 265 9,330


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 15 1 1 2 87
A semiparametric factor model for implied volatility surface dynamics 0 0 4 57 0 3 13 121
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 1 1 7 0 1 2 39
A variance spillover analysis without covariances: What do we miss? 0 0 1 21 4 5 16 149
Arbitrage-free smoothing of the implied volatility surface 3 6 21 271 4 9 42 756
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 1 13 1 1 3 62
GARCH option pricing models with Meixner innovations 0 0 3 13 0 0 3 50
Managing risk with a realized copula parameter 0 0 2 18 0 0 3 51
Measuring Spot Variance Spillovers when (Co)variances are Time†varying – The Case of Multivariate GARCH Models 0 0 1 8 0 0 1 24
Media-expressed tone, option characteristics, and stock return predictability 2 2 2 2 2 5 14 14
On extracting information implied in options 0 0 4 83 0 0 9 196
Price variability and price dispersion in a stable monetary environment: evidence from German retail markets 0 0 0 26 0 0 0 194
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints 0 0 1 19 0 0 4 85
Specification and structural break tests for additive models with applications to realized variance data 0 0 0 5 0 1 1 61
Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis 0 0 1 34 0 0 1 86
Static versus dynamic hedges: an empirical comparison for barrier options 0 0 1 218 0 2 3 490
The Dynamics of Implied Volatilities: A Common Principal Components Approach 0 0 1 464 0 0 8 1,184
Total Journal Articles 5 9 44 1,274 12 28 125 3,649


Statistics updated 2023-03-10