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 1 8 27 0 10 41 103
A dynamic copula approach to recovering the index implied volatility skew 0 0 0 173 1 4 9 426
A dynamic semiparametric factor model for implied volatility string dynamics 0 0 1 354 0 5 14 885
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 1 31 0 5 15 97
A variance spillover analysis without covariances: what do we miss? 0 1 1 62 0 7 21 315
Additive modeling of realized variance: tests for parametric specifications and structural breaks 0 0 0 52 1 8 13 118
Arbitrage-free smoothing of the implied volatility surface 1 2 6 936 3 17 52 2,196
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 1 2 3 130 1 9 44 451
Correlation Risk Premia for Multi-Asset Equity Options 0 0 0 43 0 4 9 120
DSFM fitting of implied volatility surfaces 0 0 0 168 0 1 7 522
Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface 0 0 0 52 0 2 12 169
GARCH option pricing models with Meixner innovations 0 0 0 50 0 4 16 130
Global estimation of realized spot volatility in the presence of price jumps 0 0 1 48 0 6 17 108
Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model 0 0 0 9 1 7 34 44
Implied volatility string dynamics 0 1 1 30 1 4 15 128
Locally adaptive modeling of unconditional heteroskedasticity 0 0 11 11 0 5 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 1 6 19 208
Media-expressed tone, Option Characteristics, and Stock Return Predictability 0 0 0 6 1 6 18 43
Monitoring Consumption Switzerland: Data, Background, and Use Cases 0 0 2 25 3 13 27 62
Multivariate volatility models 0 0 0 231 0 0 12 776
Option data and modeling BSM implied volatility 0 0 0 188 0 0 7 421
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 30 0 2 15 242
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 0 0 2 7 66
Proxy-identification of a structural MGARCH model for asset returns 0 0 3 7 1 3 35 49
Proxy-identification of a structural MGARCH model for asset returns 0 0 1 94 2 7 24 257
Realized Copula 0 0 0 102 0 4 16 337
Realized copula 0 0 1 60 0 3 14 146
Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints 0 0 0 138 0 1 13 342
Structural Volatility Impulse Response Analysis 0 0 2 100 0 8 30 138
Structural Volatility Impulse Response Analysis 0 0 0 3 1 5 10 20
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 1 3 143 2 13 42 386
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 0 0 5 1 10 17 56
The Transmission of Monetary Policy to the Cost of Hedging 0 0 5 6 0 7 37 50
The Transmission of Monetary Policy to the Cost of Hedging 0 0 3 7 0 5 15 27
The Transmission of Monetary Policy to the Cost of Hedging 0 0 2 3 3 7 25 29
The analysis of implied volatilities 0 0 1 84 0 3 14 410
The dynamics of implied volatilities: A common principal components approach 2 2 2 148 2 9 23 676
The dynamics of implied volatilities: a common principal components approach 0 0 0 0 1 3 11 48
The transmission of monetary policy to the cost of hedging 0 0 1 1 0 3 16 25
Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective 0 0 1 8 1 4 23 32
Total Working Papers 4 10 62 3,686 27 222 821 10,739

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 9 19 111
A semiparametric factor model for implied volatility surface dynamics 2 6 7 70 3 12 24 162
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 0 7 0 5 11 53
A variance spillover analysis without covariances: What do we miss? 0 0 1 25 1 4 12 178
Arbitrage-free smoothing of the implied volatility surface 0 2 9 298 5 23 61 875
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 0 17 0 3 12 85
Consumer spending in Switzerland: insights from a novel transactional data index 1 1 1 1 3 6 9 9
GARCH option pricing models with Meixner innovations 0 0 0 14 0 2 6 58
Hedging under alternative stickiness assumptions: an empirical analysis for barrier options 1 1 2 3 2 4 10 14
Managing risk with a realized copula parameter 0 0 0 20 0 3 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 0 3 15 38
Monitoring consumption Switzerland: data, background, and use cases 0 0 2 10 1 6 20 48
On extracting information implied in options 0 0 1 91 1 4 9 221
Price variability and price dispersion in a stable monetary environment: evidence from German retail markets 0 0 0 26 0 7 15 212
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints 1 1 3 28 1 3 20 120
Specification and structural break tests for additive models with applications to realized variance data 0 1 1 6 0 2 13 78
Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis 0 0 0 34 1 6 15 105
Static versus dynamic hedges: an empirical comparison for barrier options 0 0 1 222 1 1 9 505
Structural Volatility Impulse Response Analysis 0 0 1 1 0 2 6 6
The Dynamics of Implied Volatilities: A Common Principal Components Approach 0 0 2 473 2 2 14 1,211
Unveiling themes in 10-K disclosures: A new topic modeling perspective 0 1 2 2 4 16 43 44
Total Journal Articles 5 13 35 1,381 27 123 354 4,227

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 1 5 7 7
Semiparametric Modeling of Implied Volatility 0 0 0 0 0 4 10 10
Total Books 0 0 0 0 1 9 17 17

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 3 4 4
Applications in Finance 0 0 0 0 0 2 3 3
Canonical Correlation Analysis 0 0 0 0 1 2 3 3
Cluster Analysis 0 0 0 0 0 1 1 1
Comparison of Batches 0 0 0 0 0 2 4 4
Computationally Intensive Techniques 0 0 0 0 0 4 6 6
Conjoint Measurement Analysis 0 0 0 0 0 1 3 3
Correction to: Cluster Analysis 0 0 0 0 0 1 4 4
Correspondence Analysis 0 0 0 0 0 2 3 3
Decomposition of Data Matrices by Factors 0 0 0 0 0 2 5 5
Discriminant Analysis 0 0 0 0 0 1 3 3
Factor Analysis 0 0 0 0 0 1 4 4
Hypothesis Testing 0 0 0 0 0 2 2 2
Least Squares Kernel Smoothing of the Implied Volatility Smile 0 0 0 0 0 3 5 5
Locally Linear Embedding 0 0 0 0 0 4 6 6
Moving to Higher Dimensions 0 0 0 0 0 1 3 3
Multidimensional Scaling 0 0 0 0 1 2 5 5
Multivariate Distributions 0 0 0 0 0 2 4 4
Multivariate Volatility Models 0 0 0 0 1 4 8 8
Principal Component Analysis 0 0 0 0 3 7 9 9
Regression Models 0 0 0 0 0 1 1 1
Stochastic Neighborhood Embedding 0 0 0 0 0 3 6 6
Theory of Estimation 0 0 0 0 0 1 3 3
Theory of the Multinormal 0 0 0 0 0 1 1 1
Uniform Manifold Approximation and Projection 0 0 0 0 1 12 19 19
Variable Selection 0 0 0 0 0 3 4 4
Total Chapters 0 0 0 0 7 68 119 119

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