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Volatilität
Optionspreistheorie
51
Option pricing theory
48
Volatility
47
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Fengler, Matthias R.
37
Fengler, Matthias
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5
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Discussion papers of interdisciplinary research project 373
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GARCH option pricing models with Meixner innovations
Fengler, Matthias
;
Melnikov, Alexander
- In:
Review of derivatives research
21
(
2018
)
3
,
pp. 277-305
Persistent link: https://www.econbiz.de/10012055743
Saved in:
2
Semiparametric modeling of implied volatility
Fengler, Matthias
-
2005
Persistent link: https://www.econbiz.de/10003042059
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Identifying structural shocks to volatility through a proxy-MGARCH model
Fengler, Matthias
;
Polivka, Jeannine
-
2021
Persistent link: https://www.econbiz.de/10012516889
Saved in:
6
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
Saved in:
7
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
Saved in:
8
Multivariate volatility models
Fengler, Matthias
;
Herwartz, Helmut
;
Raters, F. H. C.
- In:
Applied quantitative finance
,
(pp. 25-37)
.
2017
Persistent link: https://www.econbiz.de/10011794951
Saved in:
9
Global estimation of realized spot volatility in the presence of price jumps
Dare, Wale
;
Fengler, Matthias
-
2017
Persistent link: https://www.econbiz.de/10011799708
Saved in:
10
Structural volatility impulse response analysis
Fengler, Matthias
;
Polivka, Jeannine
-
2022
Persistent link: https://www.econbiz.de/10013399810
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