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~isPartOf:"Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics"
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The Phenomenology of Implied V...
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Nichtparametrisches Verfahren
3
Nonparametric statistics
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Fengler, Matthias R.
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Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
SFB 649 discussion paper
188
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90
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Discussion papers of interdisciplinary research project 373
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Sonderforschungsbereich 649: Ökonomisches Risiko - Diskussionspapiere
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Discussion paper / Humboldt-Universität zu Berlin, SFB 649 Economic Risk
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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IRTG 1792 discussion paper
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Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics
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Sonderforschungsbereich 649: Ökonomisches Risiko - Discussion papers
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Universitext
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Option data and modeling BSM implied volatility
Fengler, Matthias R.
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2010
Persistent link: https://www.econbiz.de/10009240320
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Semi-nonparametric estimation of the call price surface under no-arbitrage constraints
Fengler, Matthias R.
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Hin, Lin-yee
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2011
Persistent link: https://www.econbiz.de/10009509335
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3
Option pricing under time varying correlation with conditional dependence : a copula based approach to recover the index skew from the constituent dynamics
Fengler, Matthias R.
;
Herwartz, Helmut
;
Werner, Christian
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2010
Persistent link: https://www.econbiz.de/10009240321
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4
Realized copula
Fengler, Matthias R.
;
Okhrin, Ostap
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2012
Persistent link: https://www.econbiz.de/10009719900
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5
Additive modeling of realized variance : tests for parametric specifications and structural breaks
Fengler, Matthias R.
;
Mammen, Enno
;
Vogt, Michael
-
2013
Persistent link: https://www.econbiz.de/10010244914
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6
A variance spillover analysis without covariances : what do we miss?
Fengler, Matthias R.
;
Gisler, Katja, I. M.
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2014
Persistent link: https://www.econbiz.de/10010439167
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7
A simple and general approach to fitting the discount curve under no-arbitrage constraints
Fengler, Matthias R.
;
Hin, Lin-yee
-
2014
Persistent link: https://www.econbiz.de/10010439175
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