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  • Search: person:"Fengler, Matthias R."
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Year of publication
Subject
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Volatilität 52 Volatility 48 Optionspreistheorie 28 Theorie 27 Option pricing theory 25 Theory 24 Schätzung 21 Estimation 20 ARCH model 17 ARCH-Modell 17 Deutschland 17 Estimation theory 16 Germany 16 Schätztheorie 16 Zeitreihenanalyse 16 Time series analysis 15 Option trading 14 Optionsgeschäft 14 Nichtparametrisches Verfahren 12 Nonparametric statistics 12 Varianzanalyse 12 Analysis of variance 11 Kapitaleinkommen 10 Black-Scholes-Modell 9 Capital income 9 Hedging 9 Black-Scholes model 8 Spillover effect 8 Spillover-Effekt 8 Index-Futures 7 Korrelation 7 Multivariate Analyse 7 Multivariate analysis 7 Stochastic process 7 Stochastischer Prozess 7 Coronavirus 6 Correlation 6 Index futures 6 Multivariate Verteilung 6 Multivariate distribution 6
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Online availability
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Free 62 Undetermined 13 CC license 1
Type of publication
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Book / Working Paper 89 Article 33
Type of publication (narrower categories)
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Working Paper 51 Arbeitspapier 38 Graue Literatur 35 Non-commercial literature 35 Article in journal 18 Aufsatz in Zeitschrift 18 Aufsatz im Buch 3 Book section 3 Dissertation u.a. Prüfungsschriften 1 Thesis 1
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Language
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English 97 Undetermined 25
Author
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Fengler, Matthias R. 80 Fengler, Matthias 42 Härdle, Wolfgang 23 Herwartz, Helmut 15 Mammen, Enno 14 Schwendner, Peter 9 Borak, Szymon 6 Hin, Lin-Yee 6 Härdle, Wolfgang K. 6 Liu, Yanchu 6 Okhrin, Ostap 6 Schmidt, Peter 6 Härdle, Wolfgang Karl 5 Koeniger, Winfried 5 Polivka, Jeannine 5 Villa, Christophe 5 Wang, Qihua 5 Engelmann, Bernd 4 Minger, Stephan 4 Vogt, Michael 4 Winter, Joachim 4 Winter, Joachim K. 4 Audrino, Francesco 3 Chen, Cathy Yi-Hsuan 3 Nalholm, Morten 3 Werner, Christian 3 Brown, Martin 2 Gisler, Katja I. M. 2 Hin, Lin-yee 2 Huwyler, Jonas 2 Lalive, Rafael 2 Melnikov, Alexander 2 Rohrkemper, Robert 2 Tri Minh Phan 2 Chen, Cathy 1 Chen, Cathy Yi‐Hsuan 1 Chen, Yi-Hsuan 1 Dare, Wale 1 Gisler, Katja 1 Gisler, Katja I.M. 1
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Institution
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 7 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 7 School of Economics and Political Science, Universität St. Gallen 3 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 3 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics 9 Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics 8 Discussion papers of interdisciplinary research project 373 7 SFB 373 Discussion Paper 7 SFB 373 Discussion Papers 7 Research paper series / Swiss Finance Institute 5 Review of derivatives research 5 SFB 649 Discussion Paper 4 SFB 649 discussion paper 4 Applied quantitative finance 3 Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse 3 Diskussionspapier 3 Economics Working Paper Series / School of Economics and Political Science, Universität St. Gallen 3 Sonderforschungsbereich 649: Ökonomisches Risiko - Diskussionspapiere 3 Applied quantitative finance : theory and computational tools 2 IRTG 1792 Discussion Paper 2 Journal of Financial Econometrics 2 Journal of econometrics 2 Journal of financial econometrics : official journal of the Society for Financial Econometrics 2 Managerial and decision economics : MDE ; the international journal of research and progress in management economics 2 SFB 649 Discussion Papers 2 The journal of derivatives : the official publication of the International Association of Financial Engineers 2 The journal of risk model validation 2 CESifo working papers 1 CFS working paper series 1 Finance research letters 1 Journal of Econometrics 1 Journal of International Money and Finance 1 Journal of banking & finance 1 Journal of economic dynamics & control 1 Journal of financial econometrics 1 Journal of international money and finance 1 Journal of risk 1 Managerial and Decision Economics 1 Munich Reprints in Economics 1 Oxford bulletin of economics and statistics 1 SFB 649 Discussion Paper 2005-020 1 SFB 649 Discussion Paper 2005-022 1 Springer Finance 1 Swiss journal of economics and statistics 1
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Source
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ECONIS (ZBW) 80 RePEc 18 EconStor 13 OLC EcoSci 5 USB Cologne (business full texts) 3 BASE 2 USB Cologne (EcoSocSci) 1
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Showing 1 - 10 of 122
Cover Image
Locally adaptive modeling of unconditional heteroskedasticity
Fengler, Matthias; Jäger, Bruno; Okhrin, Ostap - 2025
Persistent link: https://www.econbiz.de/10015426963
Saved in:
Cover Image
The transmission of monetary policy to the cost of hedging
Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2025
Persistent link: https://www.econbiz.de/10015272995
Saved in:
Cover Image
Structural volatility impulse response analysis
Fengler, Matthias; Polivka, Jeannine - In: Journal of financial econometrics 23 (2025) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10015339180
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The transmission of monetary policy to the cost of hedging
Fengler, Matthias; Koenigera, Winfried; Minger, Stephan - 2025
Persistent link: https://www.econbiz.de/10015196770
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Unveiling themes in 10-k disclosures : a new topic modeling perspective
Fengler, Matthias; Tri Minh Phan - 2024
Persistent link: https://www.econbiz.de/10015192728
Saved in:
Cover Image
The transmission of monetary policy to the cost of hedging
Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024
We analyze the transmission of monetary policy to the costs of hedging using options order book data. Monetary policy transmits to hedging costs both by changing the relevant state variables, such as the value of the underlying, its volatility and tail risk, and by affecting option market...
Persistent link: https://www.econbiz.de/10015175386
Saved in:
Cover Image
The transmission of monetary policy to the cost of hedging
Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024
We analyze the transmission of monetary policy to the costs of hedging using options order book data. Monetary policy transmits to hedging costs both by changing the relevant state variables, such as the value of the underlying, its volatility and tail risk, and by affecting option market...
Persistent link: https://www.econbiz.de/10015158136
Saved in:
Cover Image
Proxy-identification of a structural MGARCH model for asset returns
Fengler, Matthias; Polivka, Jeannine - 2024 - Version: October 14, 2024
Persistent link: https://www.econbiz.de/10015115172
Saved in:
Cover Image
Structural volatility impulse response analysis
Fengler, Matthias; Polivka, Jeannine - 2024
Persistent link: https://www.econbiz.de/10015130707
Saved in:
Cover Image
Monitoring consumption Switzerland : data, background, and use cases
Brown, Martin; Fengler, Matthias; Huwyler, Jonas; … - 2023
Persistent link: https://www.econbiz.de/10013488928
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