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 2 8 27 1 19 41 103
A dynamic copula approach to recovering the index implied volatility skew 0 0 0 173 1 4 8 425
A dynamic semiparametric factor model for implied volatility string dynamics 0 0 1 354 3 7 14 885
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 1 31 4 6 15 97
A variance spillover analysis without covariances: what do we miss? 1 1 1 62 5 8 21 315
Additive modeling of realized variance: tests for parametric specifications and structural breaks 0 0 0 52 7 7 12 117
Arbitrage-free smoothing of the implied volatility surface 0 1 5 935 7 16 51 2,193
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 1 2 129 4 9 43 450
Correlation Risk Premia for Multi-Asset Equity Options 0 0 0 43 3 4 9 120
DSFM fitting of implied volatility surfaces 0 0 0 168 1 3 7 522
Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface 0 0 0 52 2 4 12 169
GARCH option pricing models with Meixner innovations 0 0 0 50 3 5 17 130
Global estimation of realized spot volatility in the presence of price jumps 0 0 1 48 5 7 17 108
Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model 0 0 0 9 2 17 33 43
Implied volatility string dynamics 1 1 2 30 2 5 16 127
Locally adaptive modeling of unconditional heteroskedasticity 0 0 11 11 3 6 26 26
Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models 0 0 1 15 0 0 6 55
Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models 0 0 1 106 4 6 18 207
Media-expressed tone, Option Characteristics, and Stock Return Predictability 0 0 0 6 4 12 17 42
Monitoring Consumption Switzerland: Data, Background, and Use Cases 0 1 2 25 4 14 24 59
Multivariate volatility models 0 0 0 231 0 3 12 776
Option data and modeling BSM implied volatility 0 0 0 188 0 0 8 421
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 0 2 2 7 66
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 30 1 4 15 242
Proxy-identification of a structural MGARCH model for asset returns 0 0 1 94 2 5 22 255
Proxy-identification of a structural MGARCH model for asset returns 0 0 3 7 0 5 34 48
Realized Copula 0 0 0 102 4 5 16 337
Realized copula 0 0 1 60 2 4 15 146
Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints 0 0 0 138 1 6 13 342
Structural Volatility Impulse Response Analysis 0 0 0 3 3 4 9 19
Structural Volatility Impulse Response Analysis 0 0 2 100 6 14 30 138
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 0 0 5 6 10 16 55
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 1 3 143 5 14 41 384
The Transmission of Monetary Policy to the Cost of Hedging 0 1 5 6 3 10 38 50
The Transmission of Monetary Policy to the Cost of Hedging 0 0 2 3 3 11 22 26
The Transmission of Monetary Policy to the Cost of Hedging 0 0 3 7 4 7 15 27
The analysis of implied volatilities 0 0 1 84 3 4 14 410
The dynamics of implied volatilities: A common principal components approach 0 0 0 146 7 9 21 674
The dynamics of implied volatilities: a common principal components approach 0 0 0 0 1 3 10 47
The transmission of monetary policy to the cost of hedging 0 0 1 1 2 4 16 25
Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective 0 0 1 8 2 4 22 31
Total Working Papers 2 9 59 3,682 122 287 803 10,712

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 5 10 17 109
A semiparametric factor model for implied volatility surface dynamics 3 5 5 68 7 13 22 159
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 0 7 4 5 11 53
A variance spillover analysis without covariances: What do we miss? 0 0 1 25 1 3 11 177
Arbitrage-free smoothing of the implied volatility surface 0 4 9 298 10 20 57 870
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 0 17 3 3 12 85
Consumer spending in Switzerland: insights from a novel transactional data index 0 0 0 0 2 3 6 6
GARCH option pricing models with Meixner innovations 0 0 0 14 0 3 6 58
Hedging under alternative stickiness assumptions: an empirical analysis for barrier options 0 0 1 2 1 2 8 12
Managing risk with a realized copula parameter 0 0 0 20 2 5 10 64
Measuring Spot Variance Spillovers when (Co)variances are Time†varying – The Case of Multivariate GARCH Models 0 0 0 10 0 0 1 30
Media-expressed tone, option characteristics, and stock return predictability 0 0 2 6 2 6 15 38
Monitoring consumption Switzerland: data, background, and use cases 0 0 2 10 5 5 19 47
On extracting information implied in options 0 0 1 91 3 4 8 220
Price variability and price dispersion in a stable monetary environment: evidence from German retail markets 0 0 0 26 6 8 15 212
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints 0 1 2 27 2 3 21 119
Specification and structural break tests for additive models with applications to realized variance data 0 1 1 6 0 3 15 78
Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis 0 0 0 34 5 7 14 104
Static versus dynamic hedges: an empirical comparison for barrier options 0 0 1 222 0 0 8 504
Structural Volatility Impulse Response Analysis 0 1 1 1 2 3 6 6
The Dynamics of Implied Volatilities: A Common Principal Components Approach 0 0 3 473 0 2 13 1,209
Unveiling themes in 10-K disclosures: A new topic modeling perspective 1 1 2 2 5 15 40 40
Total Journal Articles 4 13 31 1,376 65 123 335 4,200

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 4 4 6 6
Semiparametric Modeling of Implied Volatility 0 0 0 0 4 4 10 10
Total Books 0 0 0 0 8 8 16 16

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 3 3 4 4
Applications in Finance 0 0 0 0 2 3 3 3
Canonical Correlation Analysis 0 0 0 0 0 1 2 2
Cluster Analysis 0 0 0 0 1 1 1 1
Comparison of Batches 0 0 0 0 2 2 4 4
Computationally Intensive Techniques 0 0 0 0 3 4 6 6
Conjoint Measurement Analysis 0 0 0 0 1 1 3 3
Correction to: Cluster Analysis 0 0 0 0 1 2 4 4
Correspondence Analysis 0 0 0 0 2 2 3 3
Decomposition of Data Matrices by Factors 0 0 0 0 2 3 5 5
Discriminant Analysis 0 0 0 0 1 2 3 3
Factor Analysis 0 0 0 0 1 3 4 4
Hypothesis Testing 0 0 0 0 2 2 2 2
Least Squares Kernel Smoothing of the Implied Volatility Smile 0 0 0 0 3 4 5 5
Locally Linear Embedding 0 0 0 0 3 4 6 6
Moving to Higher Dimensions 0 0 0 0 1 2 3 3
Multidimensional Scaling 0 0 0 0 1 1 4 4
Multivariate Distributions 0 0 0 0 1 2 4 4
Multivariate Volatility Models 0 0 0 0 2 3 7 7
Principal Component Analysis 0 0 0 0 2 5 6 6
Regression Models 0 0 0 0 1 1 1 1
Stochastic Neighborhood Embedding 0 0 0 0 3 4 6 6
Theory of Estimation 0 0 0 0 1 2 3 3
Theory of the Multinormal 0 0 0 0 1 1 1 1
Uniform Manifold Approximation and Projection 0 0 0 0 6 13 18 18
Variable Selection 0 0 0 0 3 4 4 4
Total Chapters 0 0 0 0 49 75 112 112

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