Matthias R. Fengler

Available identifiers

Publication	Date of Publication	Type
Media-expressed tone, option characteristics, and stock return predictability	2022-03-15	Paper
GARCH option pricing models with Meixner innovations	2019-01-23	Paper
Managing risk with a realized copula parameter	2018-08-15	Paper
Specification and structural break tests for additive models with applications to realized variance data	2015-07-27	Paper
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints	2015-05-06	Paper
Option data and modeling BSM implied volatility	2012-01-10	Paper
On extracting information implied in options	2010-04-22	Paper
Arbitrage-free smoothing of the implied volatility surface	2010-02-05	Paper
Multivariate Volatility Models	2008-12-01	Paper
Least Squares Kernel Smoothing of the Implied Volatility Smile	2008-12-01	Paper
Static versus dynamic hedges: an empirical comparison for barrier options	2008-01-14	Paper
Semiparametric modeling of implied volatility.	2005-11-03	Paper
The dynamics of implied volatilities: a common principal components approach	2004-01-06	Paper
https://portal.mardi4nfdi.de/entity/Q4543485	2002-08-13	Paper

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