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1
Structural volatility impulse response analysis
Fengler, Matthias
;
Polivka, Jeannine
-
2022
Persistent link: https://www.econbiz.de/10013399810
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 simple and general approach to fitting the discount curve under no-arbitrage constraints
Fengler, Matthias
;
Hin, Lin-Yee
- In:
Finance research letters
15
(
2015
),
pp. 78-84
Persistent link: https://www.econbiz.de/10011552971
Saved in:
5
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
Saved in:
6
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:
7
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:
8
GARCH option pricing models with Meixner innovations
Fengler, Matthias
;
Melnikov, Alexander
-
2017
Persistent link: https://www.econbiz.de/10011718747
Saved in:
9
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:
10
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
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