Similar Search Results

Static versus dynamic hedges : an empirical comparison for barrier options

Engelmann, Bernd; Fengler, Matthias R.; Nalholm, Morten; … - In: Review of derivatives research 9 (2006) 3, pp. 239-264

Persistent link: https://www.econbiz.de/10003608141

A semiparametric factor model for implied volatility surface dynamics

Fengler, Matthias R.; 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

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

Fengler, Matthias R.; Winter, Joachim K. - In: Managerial and decision economics : MDE ; the … 28 (2007) 7, pp. 789-801

Persistent link: https://www.econbiz.de/10003571200

A dynamic copula approach to recovering the index implied volatility skew

Fengler, Matthias R.; Herwartz, Helmut; Werner, Christian - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 457-493

Persistent link: https://www.econbiz.de/10009571516

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

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

Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints

Fengler, Matthias R.; Hin, Lin-Yee - In: Journal of econometrics 184 (2015) 2, pp. 242-261

Persistent link: https://www.econbiz.de/10011339347

Implied volatility string dynamics

Fengler, Matthias R.; 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

Realized copula

Fengler, Matthias R.; Okhrin, Ostap - 2012

Persistent link: https://www.econbiz.de/10009719900

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

A service of the

zbw