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Option data and modeling BSM implied volatility
Fengler, Matthias R. - 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.; Hin, Lin-yee - 2011
Persistent link: https://www.econbiz.de/10009509335
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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 - 2010
Persistent link: https://www.econbiz.de/10009240321
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Realized copula
Fengler, Matthias R.; Okhrin, Ostap - 2012
Persistent link: https://www.econbiz.de/10009719900
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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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A variance spillover analysis without covariances : what do we miss?
Fengler, Matthias R.; Gisler, Katja, I. M. - 2014
Persistent link: https://www.econbiz.de/10010439167
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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