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 2 3 8 19 2 5 29 62
A dynamic copula approach to recovering the index implied volatility skew 0 0 0 173 0 0 4 417
A dynamic semiparametric factor model for implied volatility string dynamics 0 1 1 353 0 1 4 871
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 0 30 0 0 4 82
A variance spillover analysis without covariances: what do we miss? 0 0 0 61 0 0 2 294
Additive modeling of realized variance: tests for parametric specifications and structural breaks 0 0 0 52 1 1 3 105
Arbitrage-free smoothing of the implied volatility surface 1 2 23 930 4 6 44 2,142
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 1 1 127 0 2 7 407
Correlation Risk Premia for Multi-Asset Equity Options 0 0 0 43 0 1 3 111
DSFM fitting of implied volatility surfaces 0 0 0 168 0 0 2 515
Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface 0 1 3 52 0 1 6 157
GARCH option pricing models with Meixner innovations 0 1 2 50 0 1 7 113
Global estimation of realized spot volatility in the presence of price jumps 0 0 0 47 0 0 3 91
Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model 0 0 0 9 0 1 2 10
Implied volatility string dynamics 0 1 1 28 0 1 3 111
Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models 0 0 0 14 0 0 1 49
Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models 0 0 0 105 0 1 1 189
Media-expressed tone, Option Characteristics, and Stock Return Predictability 0 0 0 6 0 0 1 25
Monitoring Consumption Switzerland: Data, Background, and Use Cases 0 0 1 23 0 1 7 35
Multivariate volatility models 0 0 0 231 0 2 5 764
Option data and modeling BSM implied volatility 0 1 2 188 0 1 8 413
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 0 0 0 0 59
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 30 0 0 1 227
Proxy-identification of a structural MGARCH model for asset returns 0 1 4 4 1 4 14 14
Proxy-identification of a structural MGARCH model for asset returns 0 0 7 93 0 1 17 233
Realized Copula 0 0 0 102 0 0 2 321
Realized copula 0 0 0 59 0 0 2 131
Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints 0 0 2 138 0 3 7 329
Structural Volatility Impulse Response Analysis 0 1 3 3 0 5 10 10
Structural Volatility Impulse Response Analysis 0 1 7 98 0 3 20 108
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 0 0 5 0 1 12 39
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 0 5 140 0 2 20 343
The Transmission of Monetary Policy to the Cost of Hedging 0 0 1 1 0 0 4 4
The Transmission of Monetary Policy to the Cost of Hedging 0 0 1 1 1 3 12 12
The Transmission of Monetary Policy to the Cost of Hedging 0 4 4 4 0 4 12 12
The analysis of implied volatilities 0 0 0 83 0 1 2 396
The dynamics of implied volatilities: A common principal components approach 0 0 2 146 0 0 3 653
The dynamics of implied volatilities: a common principal components approach 0 0 0 0 0 0 3 37
The transmission of monetary policy to the cost of hedging 0 0 0 0 1 2 9 9
Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective 0 2 7 7 0 4 9 9
Total Working Papers 3 20 85 3,623 10 58 305 9,909


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 0 0 92
A semiparametric factor model for implied volatility surface dynamics 0 0 1 63 0 0 4 137
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 0 7 0 1 2 42
A variance spillover analysis without covariances: What do we miss? 0 0 0 24 0 0 2 166
Arbitrage-free smoothing of the implied volatility surface 1 3 4 289 2 7 21 813
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 1 1 17 0 2 7 73
GARCH option pricing models with Meixner innovations 0 0 1 14 0 0 2 52
Hedging under alternative stickiness assumptions: an empirical analysis for barrier options 0 1 1 1 0 4 4 4
Managing risk with a realized copula parameter 0 0 2 20 0 0 2 54
Measuring Spot Variance Spillovers when (Co)variances are Time†varying – The Case of Multivariate GARCH Models 0 0 0 10 2 2 2 29
Media-expressed tone, option characteristics, and stock return predictability 0 0 0 4 0 1 5 23
Monitoring consumption Switzerland: data, background, and use cases 0 0 1 8 1 2 13 28
On extracting information implied in options 0 1 3 90 1 2 5 212
Price variability and price dispersion in a stable monetary environment: evidence from German retail markets 0 0 0 26 0 1 2 197
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints 0 0 0 25 0 0 1 98
Specification and structural break tests for additive models with applications to realized variance data 0 0 0 5 0 0 2 63
Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis 0 0 0 34 1 1 3 90
Static versus dynamic hedges: an empirical comparison for barrier options 1 1 1 221 2 2 4 496
Structural Volatility Impulse Response Analysis 0 0 0 0 0 0 0 0
The Dynamics of Implied Volatilities: A Common Principal Components Approach 1 1 3 470 2 2 6 1,196
Total Journal Articles 3 8 18 1,345 11 27 87 3,865


Statistics updated 2025-05-12