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 1 3 10 26 9 20 35 93
A dynamic copula approach to recovering the index implied volatility skew 0 0 0 173 1 2 5 422
A dynamic semiparametric factor model for implied volatility string dynamics 0 0 2 354 2 7 10 880
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 1 31 1 5 10 92
A variance spillover analysis without covariances: what do we miss? 0 0 0 61 1 13 14 308
Additive modeling of realized variance: tests for parametric specifications and structural breaks 0 0 0 52 0 5 6 110
Arbitrage-free smoothing of the implied volatility surface 0 2 6 934 2 14 43 2,179
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 1 1 128 1 29 35 442
Correlation Risk Premia for Multi-Asset Equity Options 0 0 0 43 0 4 5 116
DSFM fitting of implied volatility surfaces 0 0 0 168 2 6 6 521
Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface 0 0 0 52 2 6 10 167
GARCH option pricing models with Meixner innovations 0 0 0 50 1 10 13 126
Global estimation of realized spot volatility in the presence of price jumps 0 0 1 48 1 8 11 102
Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model 0 0 0 9 11 26 27 37
Implied volatility string dynamics 0 0 2 29 2 9 14 124
Locally adaptive modeling of unconditional heteroskedasticity 0 1 11 11 1 8 21 21
Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models 0 0 1 15 0 3 6 55
Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models 0 0 1 106 1 10 13 202
Media-expressed tone, Option Characteristics, and Stock Return Predictability 0 0 0 6 7 10 12 37
Monitoring Consumption Switzerland: Data, Background, and Use Cases 1 2 2 25 4 9 14 49
Multivariate volatility models 0 0 0 231 3 10 12 776
Option data and modeling BSM implied volatility 0 0 0 188 0 4 8 421
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 0 0 4 5 64
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 30 2 8 13 240
Proxy-identification of a structural MGARCH model for asset returns 0 2 3 7 3 21 33 46
Proxy-identification of a structural MGARCH model for asset returns 0 0 1 94 0 10 18 250
Realized Copula 0 0 0 102 1 9 12 333
Realized copula 0 0 1 60 1 8 12 143
Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints 0 0 0 138 5 7 14 341
Structural Volatility Impulse Response Analysis 0 1 2 100 6 17 22 130
Structural Volatility Impulse Response Analysis 0 0 0 3 0 1 6 15
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 0 0 5 1 3 7 46
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 0 2 142 3 20 32 373
The Transmission of Monetary Policy to the Cost of Hedging 1 2 5 6 3 19 34 43
The Transmission of Monetary Policy to the Cost of Hedging 0 1 2 3 7 12 18 22
The Transmission of Monetary Policy to the Cost of Hedging 0 0 4 7 2 6 13 22
The analysis of implied volatilities 0 0 1 84 1 4 11 407
The dynamics of implied volatilities: A common principal components approach 0 0 0 146 2 12 14 667
The dynamics of implied volatilities: a common principal components approach 0 0 0 0 1 3 8 45
The transmission of monetary policy to the cost of hedging 0 0 1 1 1 12 14 22
Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective 0 1 2 8 1 8 22 28
Total Working Papers 3 16 62 3,676 92 402 638 10,517

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 3 8 10 102
A semiparametric factor model for implied volatility surface dynamics 1 1 1 64 4 11 13 150
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 0 7 0 4 7 48
A variance spillover analysis without covariances: What do we miss? 0 0 1 25 0 5 8 174
Arbitrage-free smoothing of the implied volatility surface 2 4 9 296 2 15 44 852
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 0 17 0 7 9 82
Consumer spending in Switzerland: insights from a novel transactional data index 0 0 0 0 0 3 3 3
GARCH option pricing models with Meixner innovations 0 0 0 14 1 2 4 56
Hedging under alternative stickiness assumptions: an empirical analysis for barrier options 0 0 1 2 0 3 6 10
Managing risk with a realized copula parameter 0 0 0 20 2 5 7 61
Measuring Spot Variance Spillovers when (Co)variances are Time†varying – The Case of Multivariate GARCH Models 0 0 0 10 0 1 3 30
Media-expressed tone, option characteristics, and stock return predictability 0 0 2 6 3 8 12 35
Monitoring consumption Switzerland: data, background, and use cases 0 0 2 10 0 7 16 42
On extracting information implied in options 0 0 1 91 1 4 6 217
Price variability and price dispersion in a stable monetary environment: evidence from German retail markets 0 0 0 26 1 5 8 205
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints 1 2 2 27 1 9 19 117
Specification and structural break tests for additive models with applications to realized variance data 0 0 0 5 1 4 13 76
Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis 0 0 0 34 2 7 10 99
Static versus dynamic hedges: an empirical comparison for barrier options 0 1 2 222 0 8 10 504
Structural Volatility Impulse Response Analysis 1 1 1 1 1 2 4 4
The Dynamics of Implied Volatilities: A Common Principal Components Approach 0 1 4 473 2 7 15 1,209
Unveiling themes in 10-K disclosures: A new topic modeling perspective 0 1 1 1 3 15 28 28
Total Journal Articles 5 11 27 1,368 27 140 255 4,104

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 2 2
Semiparametric Modeling of Implied Volatility 0 0 0 0 0 3 6 6
Total Books 0 0 0 0 0 4 8 8

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 1 1 1
Applications in Finance 0 0 0 0 1 1 1 1
Canonical Correlation Analysis 0 0 0 0 0 1 1 1
Cluster Analysis 0 0 0 0 0 0 0 0
Comparison of Batches 0 0 0 0 0 2 2 2
Computationally Intensive Techniques 0 0 0 0 0 2 2 2
Conjoint Measurement Analysis 0 0 0 0 0 2 2 2
Correction to: Cluster Analysis 0 0 0 0 1 3 3 3
Correspondence Analysis 0 0 0 0 0 1 1 1
Decomposition of Data Matrices by Factors 0 0 0 0 1 3 3 3
Discriminant Analysis 0 0 0 0 1 2 2 2
Factor Analysis 0 0 0 0 2 3 3 3
Hypothesis Testing 0 0 0 0 0 0 0 0
Least Squares Kernel Smoothing of the Implied Volatility Smile 0 0 0 0 1 2 2 2
Locally Linear Embedding 0 0 0 0 0 2 2 2
Moving to Higher Dimensions 0 0 0 0 1 2 2 2
Multidimensional Scaling 0 0 0 0 0 3 3 3
Multivariate Distributions 0 0 0 0 0 2 2 2
Multivariate Volatility Models 0 0 0 0 0 4 4 4
Principal Component Analysis 0 0 0 0 1 2 2 2
Regression Models 0 0 0 0 0 0 0 0
Stochastic Neighborhood Embedding 0 0 0 0 1 3 3 3
Theory of Estimation 0 0 0 0 1 2 2 2
Theory of the Multinormal 0 0 0 0 0 0 0 0
Uniform Manifold Approximation and Projection 0 0 0 0 2 7 7 7
Variable Selection 0 0 0 0 1 1 1 1
Total Chapters 0 0 0 0 14 51 51 51

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