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 6 27 3 5 41 110
A dynamic copula approach to recovering the index implied volatility skew 0 0 0 173 2 2 11 428
A dynamic semiparametric factor model for implied volatility string dynamics 0 0 1 355 2 2 17 890
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 0 31 0 1 11 98
A variance spillover analysis without covariances: what do we miss? 1 1 2 63 3 3 26 320
Additive modeling of realized variance: tests for parametric specifications and structural breaks 0 0 0 52 0 1 15 120
Arbitrage-free smoothing of the implied volatility surface 1 3 7 939 6 17 53 2,216
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 3 130 0 2 46 455
Correlation Risk Premia for Multi-Asset Equity Options 0 0 0 43 0 1 9 121
DSFM fitting of implied volatility surfaces 0 0 0 168 5 5 12 527
Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface 0 0 0 52 1 1 11 170
GARCH option pricing models with Meixner innovations 0 0 0 50 2 4 19 135
Global estimation of realized spot volatility in the presence of price jumps 0 0 0 48 3 3 17 111
Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model 0 0 0 9 3 4 38 48
Implied volatility string dynamics 0 0 1 30 0 1 14 129
Locally adaptive modeling of unconditional heteroskedasticity 0 0 1 11 2 2 16 28
Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models 0 0 0 15 1 1 5 57
Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models 0 0 0 106 2 2 18 210
Media-expressed tone, Option Characteristics, and Stock Return Predictability 0 0 1 7 1 2 22 49
Monitoring Consumption Switzerland: Data, Background, and Use Cases 0 0 2 25 3 4 27 66
Multivariate volatility models 0 0 0 231 1 1 11 777
Option data and modeling BSM implied volatility 0 0 2 190 2 4 11 427
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 30 0 1 13 243
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 0 2 5 11 71
Proxy-identification of a structural MGARCH model for asset returns 0 0 3 8 2 2 30 52
Proxy-identification of a structural MGARCH model for asset returns 0 0 0 94 4 6 24 263
Realized Copula 0 0 0 102 4 5 19 343
Realized copula 0 0 0 60 5 6 20 153
Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints 0 0 0 138 2 2 11 344
Structural Volatility Impulse Response Analysis 0 0 1 100 0 2 28 140
Structural Volatility Impulse Response Analysis 0 0 0 3 1 1 8 21
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 0 0 5 1 4 17 60
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 0 1 143 2 5 47 398
The Transmission of Monetary Policy to the Cost of Hedging 0 0 0 7 2 4 16 31
The Transmission of Monetary Policy to the Cost of Hedging 0 0 1 3 1 3 25 34
The Transmission of Monetary Policy to the Cost of Hedging 0 0 2 6 2 6 36 58
The analysis of implied volatilities 0 0 0 84 1 2 12 412
The dynamics of implied volatilities: A common principal components approach 0 0 2 148 1 3 26 681
The dynamics of implied volatilities: a common principal components approach 0 0 0 0 1 1 8 49
The transmission of monetary policy to the cost of hedging 0 1 1 2 2 3 18 28
Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective 0 0 1 8 2 5 19 38
Total Working Papers 2 5 38 3,696 77 134 838 10,911

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 19 111
A semiparametric factor model for implied volatility surface dynamics 0 0 9 72 2 2 28 167
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 1 8 1 2 13 56
A variance spillover analysis without covariances: What do we miss? 0 0 1 25 0 2 12 180
Arbitrage-free smoothing of the implied volatility surface 0 1 8 300 10 16 73 908
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 0 17 3 3 14 88
Consumer spending in Switzerland: insights from a novel transactional data index 0 0 1 1 2 2 18 18
GARCH option pricing models with Meixner innovations 0 0 0 14 2 2 11 64
Hedging under alternative stickiness assumptions: an empirical analysis for barrier options 0 0 2 4 1 2 11 18
Managing risk with a realized copula parameter 0 0 0 20 0 0 9 64
Measuring Spot Variance Spillovers when (Co)variances are Time†varying – The Case of Multivariate GARCH Models 0 0 0 10 0 0 2 31
Media-expressed tone, option characteristics, and stock return predictability 0 0 0 6 0 1 14 41
Monitoring consumption Switzerland: data, background, and use cases 1 1 1 11 2 2 18 52
On extracting information implied in options 0 0 0 91 1 2 12 225
Price variability and price dispersion in a stable monetary environment: evidence from German retail markets 0 0 0 26 1 2 16 214
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints 1 2 5 30 4 7 24 127
Specification and structural break tests for additive models with applications to realized variance data 0 0 1 6 1 2 10 81
Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis 0 0 0 34 2 2 17 109
Static versus dynamic hedges: an empirical comparison for barrier options 0 0 1 222 1 2 15 511
Structural Volatility Impulse Response Analysis 0 0 1 1 1 1 6 7
The Dynamics of Implied Volatilities: A Common Principal Components Approach 0 0 1 473 2 2 13 1,214
Unveiling themes in 10-K disclosures: A new topic modeling perspective 0 0 2 2 4 5 43 50
Total Journal Articles 2 4 34 1,390 40 59 398 4,336

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 2 8 15 15
Semiparametric Modeling of Implied Volatility 0 0 0 0 3 3 10 13
Total Books 0 0 0 0 5 11 25 28

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 2 3 7 7
Applications in Finance 0 0 0 0 0 0 3 3
Canonical Correlation Analysis 0 0 0 0 1 3 6 6
Cluster Analysis 0 0 0 0 1 1 3 3
Comparison of Batches 0 0 0 0 0 0 4 4
Computationally Intensive Techniques 0 0 0 0 1 1 7 7
Conjoint Measurement Analysis 0 0 0 0 1 2 5 5
Correction to: Cluster Analysis 0 0 0 0 0 0 5 5
Correspondence Analysis 0 0 0 0 2 2 5 5
Decomposition of Data Matrices by Factors 0 0 0 0 3 3 8 8
Discriminant Analysis 0 0 0 0 1 2 5 5
Factor Analysis 0 0 0 0 0 0 4 4
Hypothesis Testing 0 0 0 0 1 1 3 3
Least Squares Kernel Smoothing of the Implied Volatility Smile 0 0 0 0 0 0 5 5
Locally Linear Embedding 0 0 0 0 2 3 9 9
Moving to Higher Dimensions 0 0 0 0 0 0 3 3
Multidimensional Scaling 0 0 0 0 1 1 6 6
Multivariate Distributions 0 0 0 0 0 0 5 5
Multivariate Volatility Models 0 0 0 0 1 2 10 10
Principal Component Analysis 0 0 0 0 1 1 10 10
Regression Models 0 0 0 0 0 0 1 1
Stochastic Neighborhood Embedding 0 0 0 0 1 1 7 7
Theory of Estimation 0 0 0 0 1 1 4 4
Theory of the Multinormal 0 0 0 0 0 0 1 1
Uniform Manifold Approximation and Projection 0 0 0 0 1 4 25 25
Variable Selection 0 0 0 0 0 0 4 4
Total Chapters 0 0 0 0 21 31 155 155

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