Matthias R. Fengler

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Media-expressed tone, option characteristics, and stock return predictability Journal of Economic Dynamics and Control	2022-03-15	Paper
GARCH option pricing models with Meixner innovations Review of Derivatives Research	2019-01-23	Paper
Managing risk with a realized copula parameter Computational Statistics and Data Analysis	2018-08-15	Paper
Specification and structural break tests for additive models with applications to realized variance data Journal of Econometrics	2015-07-27	Paper
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints Journal of Econometrics	2015-05-06	Paper
Option data and modeling BSM implied volatility Handbook of Computational Finance	2012-01-10	Paper
On extracting information implied in options Computational Statistics	2010-04-22	Paper
Arbitrage-free smoothing of the implied volatility surface Quantitative Finance	2010-02-05	Paper
Multivariate Volatility Models Applied Quantitative Finance	2008-12-01	Paper
Least Squares Kernel Smoothing of the Implied Volatility Smile Applied Quantitative Finance	2008-12-01	Paper
Static versus dynamic hedges: an empirical comparison for barrier options Review of Derivatives Research	2008-01-14	Paper
Semiparametric modeling of implied volatility. Springer Finance	2005-11-03	Paper
The dynamics of implied volatilities: a common principal components approach Review of Derivatives Research	2004-01-06	Paper
scientific article; zbMATH DE number 1780445 (Why is no real title available?)	2002-08-13	Paper

Research outcomes over time

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