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 1 5 350 0 1 10 852
A dynamic copula approach to recovering the index implied volatility skew 0 0 1 170 1 2 13 394
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 1 30 0 2 8 71
A variance spillover analysis without covariances: what do we miss? 0 0 2 57 3 5 13 194
Additive modeling of realized variance: tests for parametric specifications and structural breaks 0 0 3 52 0 0 5 97
Arbitrage-Free Smoothing of the Implied Volatility Surface 1 2 4 877 5 16 34 1,980
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 1 4 123 2 4 15 385
Correlation Risk Premia for Multi-Asset Equity Options 0 0 5 40 0 1 7 94
DSFM fitting of Implied Volatility Surfaces 0 0 0 166 0 1 6 505
Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface 0 0 8 41 0 2 25 130
GARCH option pricing models with Meixner innovations 0 0 2 44 1 2 8 98
Global estimation of realized spot volatility in the presence of price jumps 0 0 3 45 0 2 11 84
Implied volatility string dynamics 0 0 0 24 1 1 11 89
Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models 0 0 0 13 1 1 8 43
Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models 0 0 1 104 0 1 11 178
Multivariate volatility models 0 0 1 224 0 0 3 745
Option data and modeling BSM implied volatility 0 0 3 179 0 2 24 370
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 30 1 4 11 196
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 0 0 2 7 34
Realized Copula 0 0 0 57 1 1 5 114
Realized Copula 0 2 4 97 1 7 12 298
Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints 0 1 4 126 0 1 10 302
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 2 13 121 3 10 55 262
The analysis of implied volatilities 0 0 2 82 0 2 5 388
The dynamics of implied volatilities: A common principal components approach 0 0 2 141 0 1 8 635
The dynamics of implied volatilities: a common principal components approach 0 0 0 0 0 1 8 24
Total Working Papers 1 9 68 3,193 20 72 333 8,562


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 13 0 2 4 71
A semiparametric factor model for implied volatility surface dynamics 1 3 9 44 1 4 17 93
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 1 6 0 0 6 29
A variance spillover analysis without covariances: What do we miss? 0 0 3 15 3 7 26 102
Arbitrage-free smoothing of the implied volatility surface 0 2 7 241 1 4 12 648
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 1 7 0 0 6 45
GARCH option pricing models with Meixner innovations 0 0 4 10 1 2 12 42
Managing risk with a realized copula parameter 0 1 3 14 0 1 6 38
Measuring Spot Variance Spillovers when (Co)variances are Time†varying – The Case of Multivariate GARCH Models 0 0 0 5 0 0 1 18
On extracting information implied in options 0 0 3 76 1 1 5 173
Price variability and price dispersion in a stable monetary environment: evidence from German retail markets 0 0 0 26 3 3 8 194
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints 0 0 1 14 0 0 7 68
Specification and structural break tests for additive models with applications to realized variance data 0 0 0 5 0 1 6 55
Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis 0 1 1 31 2 3 4 76
Static versus dynamic hedges: an empirical comparison for barrier options 0 0 2 215 1 2 10 478
The Dynamics of Implied Volatilities: A Common Principal Components Approach 0 0 3 460 1 5 12 1,161
Total Journal Articles 1 7 38 1,182 14 35 142 3,291


Statistics updated 2021-01-03