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Price variability and price dispersion in a stable monetary environment : evidence from German retail markets

Fengler, Matthias R.; Winter, Joachim - 2000

We investigate the relationship between inflation and price variation using highly disaggregated, weekly price data for consumption goods recorded in Germany during 1995, a low inflation period. We find a significant positive correlation between the rates of price change and price dispersion,...

Persistent link: https://www.econbiz.de/10009612033

Least squares kernel smoothing of the implied volatility smile

Fengler, Matthias R.; Wang, Qihua - In: Applied quantitative finance, (pp. 193-207). 2009

Persistent link: https://www.econbiz.de/10003746018

Multivariate volatility models

Fengler, Matthias R.; Herwartz, Helmut - In: Applied quantitative finance, (pp. 313-326). 2009

Persistent link: https://www.econbiz.de/10003746416

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

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

Multivariate volatility models

Fengler, Matthias R.; Herwartz, Helmut - 2001

Persistent link: https://www.econbiz.de/10001659915

Correlation risk premia for multi-asset equity options

Fengler, Matthias R. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919088

Fitting the smile revisited : a least squares kernel estimator for the implied volatility surface

Fengler, Matthias R. (contributor); Wang, Qihua (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919426

Price variability and price dispersion in a stable monetary environment: evidence from German retail markets

Fengler, Matthias R.; Winter, Joachim - 2000

Persistent link: https://www.econbiz.de/10001558561

Multivariate volatility models

Fengler, Matthias R.; Herwartz, Helmut - In: Applied quantitative finance : theory and computational …, (pp. 221-236). 2002

Persistent link: https://www.econbiz.de/10001749997

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