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 27 9 26 42 102
A dynamic copula approach to recovering the index implied volatility skew 0 0 0 173 2 3 7 424
A dynamic semiparametric factor model for implied volatility string dynamics 0 0 1 354 2 7 11 882
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 1 31 1 4 11 93
A variance spillover analysis without covariances: what do we miss? 0 0 0 61 2 14 16 310
Additive modeling of realized variance: tests for parametric specifications and structural breaks 0 0 0 52 0 4 6 110
Arbitrage-free smoothing of the implied volatility surface 1 2 6 935 7 14 48 2,186
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 1 2 2 129 4 22 39 446
Correlation Risk Premia for Multi-Asset Equity Options 0 0 0 43 1 5 6 117
DSFM fitting of implied volatility surfaces 0 0 0 168 0 5 6 521
Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface 0 0 0 52 0 6 10 167
GARCH option pricing models with Meixner innovations 0 0 0 50 1 7 14 127
Global estimation of realized spot volatility in the presence of price jumps 0 0 1 48 1 2 12 103
Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model 0 0 0 9 4 29 31 41
Implied volatility string dynamics 0 0 1 29 1 5 14 125
Locally adaptive modeling of unconditional heteroskedasticity 0 0 11 11 2 6 23 23
Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models 0 0 1 15 0 1 6 55
Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models 0 0 1 106 1 11 14 203
Media-expressed tone, Option Characteristics, and Stock Return Predictability 0 0 0 6 1 10 13 38
Monitoring Consumption Switzerland: Data, Background, and Use Cases 0 2 2 25 6 14 20 55
Multivariate volatility models 0 0 0 231 0 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 30 1 4 14 241
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 0 0 1 5 64
Proxy-identification of a structural MGARCH model for asset returns 0 0 1 94 3 12 20 253
Proxy-identification of a structural MGARCH model for asset returns 0 0 3 7 2 11 35 48
Realized Copula 0 0 0 102 0 9 12 333
Realized copula 0 0 1 60 1 9 13 144
Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints 0 0 0 138 0 6 12 341
Structural Volatility Impulse Response Analysis 0 1 2 100 2 13 24 132
Structural Volatility Impulse Response Analysis 0 0 0 3 1 1 6 16
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 0 0 5 3 6 10 49
Textual Sentiment, Option Characteristics, and Stock Return Predictability 1 1 3 143 6 23 36 379
The Transmission of Monetary Policy to the Cost of Hedging 0 0 3 7 1 7 11 23
The Transmission of Monetary Policy to the Cost of Hedging 0 1 5 6 4 17 36 47
The Transmission of Monetary Policy to the Cost of Hedging 0 1 2 3 1 13 19 23
The analysis of implied volatilities 0 0 1 84 0 4 11 407
The dynamics of implied volatilities: A common principal components approach 0 0 0 146 0 10 14 667
The dynamics of implied volatilities: a common principal components approach 0 0 0 0 1 4 9 46
The transmission of monetary policy to the cost of hedging 0 0 1 1 1 12 15 23
Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective 0 1 1 8 1 6 20 29
Total Working Papers 4 14 60 3,680 73 377 691 10,590

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 2 7 12 104
A semiparametric factor model for implied volatility surface dynamics 1 2 2 65 2 11 15 152
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 0 7 1 4 7 49
A variance spillover analysis without covariances: What do we miss? 0 0 1 25 2 4 10 176
Arbitrage-free smoothing of the implied volatility surface 2 4 10 298 8 13 49 860
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 0 17 0 5 9 82
Consumer spending in Switzerland: insights from a novel transactional data index 0 0 0 0 1 4 4 4
GARCH option pricing models with Meixner innovations 0 0 0 14 2 4 6 58
Hedging under alternative stickiness assumptions: an empirical analysis for barrier options 0 0 1 2 1 3 7 11
Managing risk with a realized copula parameter 0 0 0 20 1 5 8 62
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 1 8 13 36
Monitoring consumption Switzerland: data, background, and use cases 0 0 2 10 0 4 15 42
On extracting information implied in options 0 0 1 91 0 2 6 217
Price variability and price dispersion in a stable monetary environment: evidence from German retail markets 0 0 0 26 1 6 9 206
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints 0 1 2 27 0 7 19 117
Specification and structural break tests for additive models with applications to realized variance data 1 1 1 6 2 5 15 78
Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis 0 0 0 34 0 6 10 99
Static versus dynamic hedges: an empirical comparison for barrier options 0 1 2 222 0 7 10 504
Structural Volatility Impulse Response Analysis 0 1 1 1 0 2 4 4
The Dynamics of Implied Volatilities: A Common Principal Components Approach 0 1 4 473 0 3 15 1,209
Unveiling themes in 10-K disclosures: A new topic modeling perspective 0 0 1 1 7 16 35 35
Total Journal Articles 4 11 30 1,372 31 127 281 4,135

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 0 1 1 1
Canonical Correlation Analysis 0 0 0 0 1 2 2 2
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 1 3 3 3
Conjoint Measurement Analysis 0 0 0 0 0 2 2 2
Correction to: Cluster Analysis 0 0 0 0 0 1 3 3
Correspondence Analysis 0 0 0 0 0 1 1 1
Decomposition of Data Matrices by Factors 0 0 0 0 0 3 3 3
Discriminant Analysis 0 0 0 0 0 2 2 2
Factor Analysis 0 0 0 0 0 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 0 2 2 2
Locally Linear Embedding 0 0 0 0 1 2 3 3
Moving to Higher Dimensions 0 0 0 0 0 2 2 2
Multidimensional Scaling 0 0 0 0 0 3 3 3
Multivariate Distributions 0 0 0 0 1 2 3 3
Multivariate Volatility Models 0 0 0 0 1 4 5 5
Principal Component Analysis 0 0 0 0 2 4 4 4
Regression Models 0 0 0 0 0 0 0 0
Stochastic Neighborhood Embedding 0 0 0 0 0 2 3 3
Theory of Estimation 0 0 0 0 0 2 2 2
Theory of the Multinormal 0 0 0 0 0 0 0 0
Uniform Manifold Approximation and Projection 0 0 0 0 5 11 12 12
Variable Selection 0 0 0 0 0 1 1 1
Total Chapters 0 0 0 0 12 56 63 63

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