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 0 2 40 107
A dynamic copula approach to recovering the index implied volatility skew 0 0 0 173 0 0 9 426
A dynamic semiparametric factor model for implied volatility string dynamics 0 0 1 355 0 1 16 888
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 0 0 31 0 1 14 98
A variance spillover analysis without covariances: what do we miss? 0 0 1 62 0 1 23 317
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 0 2 7 938 4 12 62 2,210
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 3 130 0 3 46 455
Correlation Risk Premia for Multi-Asset Equity Options 0 0 0 43 1 1 10 121
DSFM fitting of implied volatility surfaces 0 0 0 168 0 0 7 522
Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface 0 0 0 52 0 0 10 169
GARCH option pricing models with Meixner innovations 0 0 0 50 2 3 17 133
Global estimation of realized spot volatility in the presence of price jumps 0 0 0 48 0 0 14 108
Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model 0 0 0 9 0 1 35 45
Implied volatility string dynamics 0 0 1 30 0 1 15 129
Locally adaptive modeling of unconditional heteroskedasticity 0 0 1 11 0 0 20 26
Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models 0 0 1 15 0 0 5 56
Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models 0 0 1 106 0 0 17 208
Media-expressed tone, Option Characteristics, and Stock Return Predictability 0 1 1 7 0 4 21 48
Monitoring Consumption Switzerland: Data, Background, and Use Cases 0 0 2 25 0 1 24 63
Multivariate volatility models 0 0 0 231 0 0 10 776
Option data and modeling BSM implied volatility 0 0 2 190 1 2 10 425
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 0 1 3 9 69
Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets 0 0 0 30 1 1 15 243
Proxy-identification of a structural MGARCH model for asset returns 0 1 3 8 0 1 32 50
Proxy-identification of a structural MGARCH model for asset returns 0 0 0 94 0 2 21 259
Realized Copula 0 0 0 102 0 1 16 339
Realized copula 0 0 0 60 0 1 15 148
Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints 0 0 0 138 0 0 12 342
Structural Volatility Impulse Response Analysis 0 0 0 3 0 0 9 20
Structural Volatility Impulse Response Analysis 0 0 1 100 0 2 29 140
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 0 0 5 1 3 17 59
Textual Sentiment, Option Characteristics, and Stock Return Predictability 0 0 2 143 2 4 48 396
The Transmission of Monetary Policy to the Cost of Hedging 0 0 0 7 0 2 14 29
The Transmission of Monetary Policy to the Cost of Hedging 0 0 2 6 0 5 39 56
The Transmission of Monetary Policy to the Cost of Hedging 0 0 1 3 1 2 26 33
The analysis of implied volatilities 0 0 0 84 0 1 13 411
The dynamics of implied volatilities: A common principal components approach 0 0 2 148 1 3 27 680
The dynamics of implied volatilities: a common principal components approach 0 0 0 0 0 0 10 48
The transmission of monetary policy to the cost of hedging 0 1 1 2 0 1 16 26
Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective 0 0 1 8 2 3 27 36
Total Working Papers 0 5 40 3,694 17 69 835 10,834

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 0 1 26 165
A simple and general approach to fitting the discount curve under no-arbitrage constraints 0 1 1 8 0 2 13 55
A variance spillover analysis without covariances: What do we miss? 0 0 1 25 0 2 14 180
Arbitrage-free smoothing of the implied volatility surface 1 2 8 300 5 11 77 898
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data 0 0 0 17 0 0 11 85
Consumer spending in Switzerland: insights from a novel transactional data index 0 0 1 1 0 4 16 16
GARCH option pricing models with Meixner innovations 0 0 0 14 0 3 9 62
Hedging under alternative stickiness assumptions: an empirical analysis for barrier options 0 0 2 4 1 1 10 17
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 1 2 31
Media-expressed tone, option characteristics, and stock return predictability 0 0 1 6 1 3 16 41
Monitoring consumption Switzerland: data, background, and use cases 0 0 0 10 0 1 17 50
On extracting information implied in options 0 0 0 91 0 2 11 224
Price variability and price dispersion in a stable monetary environment: evidence from German retail markets 0 0 0 26 1 1 16 213
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints 0 1 4 29 1 3 21 123
Specification and structural break tests for additive models with applications to realized variance data 0 0 1 6 0 1 11 80
Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis 0 0 0 34 0 2 17 107
Static versus dynamic hedges: an empirical comparison for barrier options 0 0 1 222 0 3 14 510
Structural Volatility Impulse Response Analysis 0 0 1 1 0 0 6 6
The Dynamics of Implied Volatilities: A Common Principal Components Approach 0 0 1 473 0 0 12 1,212
Unveiling themes in 10-K disclosures: A new topic modeling perspective 0 0 2 2 1 2 43 46
Total Journal Articles 1 4 33 1,388 10 43 390 4,296

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 5 6 13 13
Semiparametric Modeling of Implied Volatility 0 0 0 0 0 0 9 10
Total Books 0 0 0 0 5 6 22 23

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 5 5
Applications in Finance 0 0 0 0 0 0 3 3
Canonical Correlation Analysis 0 0 0 0 1 2 5 5
Cluster Analysis 0 0 0 0 0 0 2 2
Comparison of Batches 0 0 0 0 0 0 4 4
Computationally Intensive Techniques 0 0 0 0 0 0 6 6
Conjoint Measurement Analysis 0 0 0 0 1 1 4 4
Correction to: Cluster Analysis 0 0 0 0 0 0 5 5
Correspondence Analysis 0 0 0 0 0 0 3 3
Decomposition of Data Matrices by Factors 0 0 0 0 0 0 5 5
Discriminant Analysis 0 0 0 0 1 1 4 4
Factor Analysis 0 0 0 0 0 0 4 4
Hypothesis Testing 0 0 0 0 0 0 2 2
Least Squares Kernel Smoothing of the Implied Volatility Smile 0 0 0 0 0 0 5 5
Locally Linear Embedding 0 0 0 0 1 1 7 7
Moving to Higher Dimensions 0 0 0 0 0 0 3 3
Multidimensional Scaling 0 0 0 0 0 0 5 5
Multivariate Distributions 0 0 0 0 0 0 5 5
Multivariate Volatility Models 0 0 0 0 0 1 9 9
Principal Component Analysis 0 0 0 0 0 0 9 9
Regression Models 0 0 0 0 0 0 1 1
Stochastic Neighborhood Embedding 0 0 0 0 0 0 6 6
Theory of Estimation 0 0 0 0 0 0 3 3
Theory of the Multinormal 0 0 0 0 0 0 1 1
Uniform Manifold Approximation and Projection 0 0 0 0 2 3 24 24
Variable Selection 0 0 0 0 0 0 4 4
Total Chapters 0 0 0 0 6 10 134 134

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