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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

A variance spillover analysis without covariances : what do we miss?

Fengler, Matthias; Gisler, Katja I. M. - In: Journal of international money and finance 51 (2015), pp. 174-195

Persistent link: https://www.econbiz.de/10011475252

Specification and structural break tests for additive models with applications to realized variance data

Fengler, Matthias; Mammen, Enno; Vogt, Michael - In: Journal of econometrics 188 (2015) 1, pp. 196-218

Persistent link: https://www.econbiz.de/10011500308

Measuring spot variance spillovers when (co)variances are time-varying : the case of multivariate GARCH models

Fengler, Matthias; Herwartz, Helmut - In: Oxford bulletin of economics and statistics 80 (2018) 1, pp. 135-159

Persistent link: https://www.econbiz.de/10011969544

Measuring spot variance spillovers when (co)variances are time-varying : the case of multivariate GARCH models

Fengler, Matthias; Herwartz, Helmut - 2015

Persistent link: https://www.econbiz.de/10011717132