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Number of items: 34.

Journal paper

Item Fengler, Matthias & Melnikov, Alexander (2018) GARCH option pricing models with Meixner innovations. GARCH option pricing models with Meixner innovations, (21). 277-305.

Item Fengler, Matthias & Dare, Wale (2018) Global estimation of realized spot volatility in the presence of price jumps. [img]

Item Fengler, Matthias & Herwartz, Helmut (2018) Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models. Oxford bulletin of economics and statistics, 80 (1). 135-159. ISSN 0305-9049

Item Fengler, Matthias; Chen, Cathy; Härdle, Wolfgang & Liu, Yanchu (2018) Textual Sentiment, Option Characteristics, and Stock Return Predictability. [img]

Item Fengler, Matthias & Okhrin, Ostap (2016) Managing Risk with a Realized Copula Parameter. Computational Statistics & Data Analysis, 100 131-152. ISSN 0167-9473

Item Fengler, Matthias & Hin, Lin-Yee (2015) A simple and general approach to fitting the discount curve under no-arbitrage constraints. Finance Research Letters, 15 78-84. ISSN 1544-6123

Item Fengler, Matthias & Hin, Lin-Yee (2015) Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints. Journal of Econometrics, 184 (2). 242-261. ISSN 0304-4076

Item Fengler, Matthias; Mammen, Enno & Vogt, Michael (2015) Specification and structural break tests for additive models with applications to realized variance data. Journal of Econometrics, 188 (1). 196-218. ISSN 0304-4076

Item Audrino, Francesco & Fengler, Matthias (2015) Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data. Journal of Banking and Finance, 61 46-63. ISSN 0378-4266

Item Fengler, Matthias & Gisler, Katja (2015) A variance spillover analysis without covariances: what do we miss? Journal of International Money and Finance, 51 174-195. ISSN 0261-5606

Item Fengler, Matthias; Herwartz, H. & Werner, Christian (2012) A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew. Journal of Financial Econometrics, 10 (3). 457-493. ISSN 1479-8409

Item Fengler, Matthias; Maruhn, Jan H. & Nalholm, Morten (2011) Static hedges for reverse barrier options with robustness against skew risk : an empirical analysis. Quantitative Finance, 11 (5). 711-727. ISSN 1469-7688 [img]

Item Engelmann, Bernd; Fengler, Matthias & Schwendner, Peter (2009) Hedging under alternative stickiness assumptions: an empirical analysis for barrier options. Journal of Risk, 12 (1). 53-77. ISSN 1465-1211

Item Fengler, Matthias (2009) Arbitrage-free smoothing of the implied volatility surface. Quantitative Finance, 9 (4). 417-428. ISSN 1469-7688

Item Borak, Szymon; Fengler, Matthias & Härdle, Wolfgang K. (2009) Does hedging with implied volatility factors improve the hedging efficiency of barrier options? The Journal of Risk Model Validation, 3 (1). 73-92. ISSN 1753-9579

Item Benko, M.; Fengler, Matthias; Härdle, Wolfgang K. & Kopa, M. (2007) On Extracting Information Implied in Options. Computational Statistics, 22 (4). 543-553. ISSN 0943-4062

Item Fengler, Matthias & Winter, Joachim K. (2007) Price Variability and Price Dispersion in a Stable Monetary Environment: Evidence from Germany. Managerial and Economic Decisions, 28 (7). 789-801. ISSN 1099-1468

Item Fengler, Matthias; Härdle, Wolfgang K. & Mammen, Enno (2007) A semiparametric factor model for implied volatility surface dynamics. Journal of Financial Econometrics, 5 (2). 189-218. ISSN 1479-8409

Item Engelmann, Bernd; Fengler, Matthias; Nalholm, Morten & Schwendner, Peter (2006) Static versus Dynamic Hedges: An Empirical Comparison for Barrier Options. Review of Derivatives Research, 9 (3). 239-264. ISSN 1380-6645

Item Fengler, Matthias & Schwendner, Peter (2004) Quoting multiasset equity options in the presence of errors from estimating correlations. Journal of Derivatives, 11 (4). 43-54. ISSN 1074-1240

Item Fengler, Matthias; Härdle, Wolfgang K. & Villa, Christophe (2003) The dynamics of implied volatilities: A common principle components approach. Review of Derivatives Research, 6 (3). 179-202. ISSN 1380-6645

Item Fengler, Matthias; Härdle, Wolfgang K. & Schmidt, Peter (2002) Common Factors Governing VDAX Movements and the Maximum Loss. Financial Markets and Portfolio Management, 16 (1). 16-29. ISSN 1555-4961

Conference or Workshop Item

Item Fengler, Matthias & Polivka, Jeannine: Structural Volatility Modelling. [Conference or Workshop Item]

Item Fengler, Matthias & Dare, Wale: Global estimation of realized spot volatility in the presence of price jumps. - SoFie 2019. - Shanghai. [img]

Book

Item Fengler, Matthias : Semiparametric Modeling of Implied Volatility. 1. Ed. Heidelberg : Springer Bln, 2005, DOI:10.1007/3-540-30591-2. - ISBN 978-3-540-26234-3.

Book Section

Item Fengler, Matthias: Option data and modeling BSM implied volatility. In Jin-Chuan, Duan (ed.): Handbook of Computational Finance. Heidelberg : Springer, 2012, S. 117-142. [img]

Item Fengler, Matthias; Pilz, Kay F. & Schwendner, Peter: Basket volatility and correlation. In Nelken, Israel (ed.): Volatility as an Asset Class. London : Risk Books, 2007, S. 95-131. [img]

Item Fengler, Matthias; Härdle, Wolfgang K. & Borak, Szymon: DSFM fitting of implied volatility surfaces. In Kwaśnicka, Halina & Paprzycki, Marcin (ed.): 5th International Conference on Intelligent Systems Design and Applications : Wroclaw, Poland, September 8-10, 2005 : proceedings. Los Alamitos, Calif. : IEEE Computer Society, 2005, S. 526-531.

Item Fengler, Matthias & Wang, Q.: Least Squares Kernel Smoothing of the Implied Volatility Smile. In Applied quantitative finance : theory and computational tools. Heidelberg : Springer, 2002, S. 193-207. [img]

Item Fengler, Matthias & Herwartz, Helmut: Multivariate volatility models. In Härdle, Wolfgang; Kleinow, Torsten & Stahl, Gerhard (ed.): Applied quantitative finance : theory and computational tools. Berlin : Springer, 2002, S. 221-236. [img]

Item Fengler, Matthias; Härdle, Wolfgang K. & Schmidt, Peter: The analysis of implied volatilities. In Applied Quantitative Finance. Heidelberg : Springer Verlag, 2002, S. 127-144.

Item Fengler, Matthias & Winter, Joachim K.: Price-setting and price-adjustment behavior for fast-moving consumer goods. In Social and Economic Research with Consumer Panel Data. Mannheim : MEA, 1999, S. 95-113.

Monograph

Item Fengler, Matthias & Herwartz, Helmut: Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models. , 2015,

Item Fengler, Matthias & Wang, Qihua: Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface. Discussion Paper, 2003,

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