Browsing All of EconStor by Author Fengler, Matthias R.
Showing results 1 to 13 of 13
Year of Publication | Title | Author(s) |
2000 | Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets | Fengler, Matthias R.; Winter, Joachim K. |
2001 | The analysis of implied volatilities | Fengler, Matthias R.; Härdle, Wolfgang; Schmidt, Peter |
2001 | The dynamics of implied volatilities: A common principal components approach | Fengler, Matthias R.; Härdle, Wolfgang Karl; Villa, Christophe |
2001 | Multivariate volatility models | Fengler, Matthias R.; Herwartz, Helmut |
2003 | Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface | Fengler, Matthias R.; Wang, Qihua |
2003 | Implied volatility string dynamics | Fengler, Matthias R.; Härdle, Wolfgang; Mammen, Enno |
2003 | Correlation Risk Premia for Multi-Asset Equity Options | Fengler, Matthias R.; Schwendner, Peter |
2005 | Arbitrage-free smoothing of the implied volatility surface | Fengler, Matthias R. |
2005 | A dynamic semiparametric factor model for implied volatility string dynamics | Fengler, Matthias R.; Härdle, Wolfgang Karl; Mammen, Enno |
2005 | DSFM fitting of implied volatility surfaces | Borak, Szymon; Fengler, Matthias R.; Härdle, Wolfgang Karl |
2012 | Realized copula | Fengler, Matthias R.; Okhrin, Ostap |
2018 | Textual Sentiment, Option Characteristics, and Stock Return Predictability | Chen, Cathy Yi-Hsuan; Fengler, Matthias R.; Härdle, Wolfgang Karl; Liu, Yanchu |
2019 | Media-expressed tone, Option Characteristics, and Stock Return Predictability | Chen, Cathy Yi-Hsuan; Fengler, Matthias R.; Härdle, Wolfgang Karl; Liu, Yanchu |