دنبال کردن
Matthias R. Fengler
Matthias R. Fengler
Professor of Econometrics, St. Gallen University (HSG)
ایمیل تأیید شده در unisg.ch - صفحهٔ اصلی
عنوان
نقل شده توسط
نقل شده توسط
سال
Arbitrage-free smoothing of the implied volatility surface‏
MR Fengler‏
Quantitative Finance 9 (4), 417-428, 2009‏
2312009
Semiparametric modeling of implied volatility‏
MR Fengler‏
Springer Science & Business Media, 2005‏
1882005
The dynamics of implied volatilities: A common principal components approach‏
MR Fengler, WK Härdle, C Villa‏
Review of Derivatives Research 6, 179-202, 2003‏
1722003
A semiparametric factor model for implied volatility surface dynamics‏
MR Fengler, WK Härdle, E Mammen‏
Journal of Financial Econometrics 5 (2), 189-218, 2007‏
1622007
A variance spillover analysis without covariances: what do we miss?‏
MR Fengler, KIM Gisler‏
Journal of International Money and Finance 51, 174-195, 2015‏
932015
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints‏
MR Fengler, LY Hin‏
Journal of Econometrics 184 (2), 242-261, 2015‏
74*2015
On extracting information implied in options‏
M Benko, MR Fengler, W Härdle, M Kopa‏
Computational Statistics 22 (4), 543-553, 2007‏
542007
Static versus dynamic hedges: an empirical comparison for barrier options‏
B Engelmann, MR Fengler, M Nalholm, P Schwendner‏
Review of Derivatives Research 9, 239-264, 2006‏
512006
Applied Multivariate Statistical Analysis‏
WK Härdle, L Simar, MR Fengler‏
Springer, 2024‏
49*2024
Managing risk with a realized copula parameter‏
MR Fengler, O Okhrin‏
Computational Statistics & Data Analysis 100, 131-152, 2016‏
48*2016
Option data and modeling BSM implied volatility‏
MR Fengler‏
Handbook of computational finance, 117-142, 2011‏
472011
Common factors governing VDAX movements and the maximum loss‏
M Fengler, W Härdle, P Schmidt‏
Financial Markets and Portfolio Management 16 (1), 16, 2002‏
432002
Hedging under alternative stickiness assumptions: an empirical analysis for barrier options‏
B Engelmann, MR Fengler, P Schwendner‏
Journal of Risk 12 (1), 53-77, 2009‏
30*2009
The Analysis of Implied Volatilities‏
MR Fengler, W Härdle, P Schmidt‏
Applied Quantitative Finance: Theory and Computational Tools, 127-144, 2002‏
27*2002
Media-expressed tone, option characteristics, and stock return predictability‏
CYH Chen, MR Fengler, WK Härdle, Y Liu‏
Journal of Economic Dynamics and Control 134, 2022‏
25*2022
Quoting multiasset equity options in the presence of errors from estimating correlations‏
MR Fengler, P Schwendner‏
Journal of Derivatives 11 (4), 43, 2004‏
25*2004
Multivariate volatility models‏
MR Fengler, H Herwartz, FHC Raters‏
Applied quantitative finance, 25-37, 2017‏
182017
Price-setting and price-adjustment behavior for fast-moving consumer goods‏
M Fengler, J Winter‏
ZUMA Symposium on Consumer Panel Data 7, 95-113, 2001‏
182001
Measuring spot variance spillovers when (co) variances are time-varying–the case of multivariate GARCH models‏
MR Fengler, H Herwartz‏
Oxford Bulletin of Economics and Statistics 80 (1), 135-159, 2018‏
172018
Specification and structural break tests for additive models with applications to realized variance data‏
MR Fengler, E Mammen, M Vogt‏
Journal of Econometrics 188 (1), 196-218, 2015‏
16*2015
سیستم در حال حاضر قادر به انجام عملکرد نیست. بعداً دوباره امتحان کنید.
مقاله‌ها 1–20