Similar Search Results

Structural volatility impulse response analysis

Fengler, Matthias; Polivka, Jeannine - 2022

Persistent link: https://www.econbiz.de/10013399810

Identifying structural shocks to volatility through a proxy-MGARCH model

Fengler, Matthias; Polivka, Jeannine - 2021

Persistent link: https://www.econbiz.de/10012516889

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

Structural volatility impulse response analysis

Fengler, Matthias; Polivka, Jeannine - 2024

Persistent link: https://www.econbiz.de/10015130707

Semiparametric modeling of implied volatility

Fengler, Matthias - 2005

Persistent link: https://www.econbiz.de/10003042059

A dynamic semiparametric factor model for implied volatility string dynamics

Fengler, Matthias (contributor); … - 2005

A primary goal in modelling the implied volatility surface (IVS) for pricing and hedging aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure...

Persistent link: https://www.econbiz.de/10003036581

Additive modeling of realized variance : tests for parametric specifications and structural breaks

Fengler, Matthias; Mammen, Enno; Vogt, Michael - 2013

Persistent link: https://www.econbiz.de/10010244914

Implied volatility string dynamics

Fengler, Matthias; Härdle, Wolfgang; Mammen, Enno - 2003

A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of the...

Persistent link: https://www.econbiz.de/10009663844

A semiparametric factor model for implied volatility surface dynamics

Fengler, Matthias; Härdle, Wolfgang; Mammen, Enno - In: Journal of financial econometrics : official journal of … 5 (2007) 2, pp. 189-218

Persistent link: https://www.econbiz.de/10003518308

Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data

Audrino, Francesco; Fengler, Matthias - In: Journal of banking & finance 61 (2015), pp. 46-63

Persistent link: https://www.econbiz.de/10011545126