Browsing All of EconStor by Author Fengler, Matthias R.

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Showing results 1 to 13 of 13
Year of PublicationTitleAuthor(s)
2000 Price variability and price dispersion in a stable monetary environment: Evidence from German retail marketsFengler, Matthias R.; Winter, Joachim K.
2001 Multivariate volatility modelsFengler, Matthias R.; Herwartz, Helmut
2001 The analysis of implied volatilitiesFengler, Matthias R.; Härdle, Wolfgang; Schmidt, Peter
2001 The dynamics of implied volatilities: A common principal components approachFengler, Matthias R.; Härdle, Wolfgang Karl; Villa, Christophe
2003 Implied volatility string dynamicsFengler, Matthias R.; Härdle, Wolfgang; Mammen, Enno
2003 Correlation Risk Premia for Multi-Asset Equity OptionsFengler, Matthias R.; Schwendner, Peter
2003 Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility SurfaceFengler, Matthias R.; Wang, Qihua
2005 Arbitrage-free smoothing of the implied volatility surfaceFengler, Matthias R.
2005 A dynamic semiparametric factor model for implied volatility string dynamicsFengler, Matthias R.; Härdle, Wolfgang Karl; Mammen, Enno
2005 DSFM fitting of implied volatility surfacesBorak, Szymon; Fengler, Matthias R.; Härdle, Wolfgang Karl
2012 Realized copulaFengler, Matthias R.; Okhrin, Ostap
2018 Textual Sentiment, Option Characteristics, and Stock Return PredictabilityChen, Cathy Yi-Hsuan; Fengler, Matthias R.; Härdle, Wolfgang Karl; Liu, Yanchu
2019 Media-expressed tone, Option Characteristics, and Stock Return PredictabilityChen, Cathy Yi-Hsuan; Fengler, Matthias R.; Härdle, Wolfgang Karl; Liu, Yanchu