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Publications

by members of

Universität St. Gallen → School of Economics and Political Science → Fachbereich für Mathematik und Statistik

University of St. Gallen → Group for Mathematics and Statistics

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Books | Chapters |

Working papers

2025

  1. Matthias R. Fengler & Bruno Jäger & Ostap Okhrin, 2025, "Locally adaptive modeling of unconditional heteroskedasticity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-60, Jun.

2024

  1. Francesco Audrino & Jonathan Chassot, 2024, "HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning," Papers, arXiv.org, number 2406.08041, Jun.
  2. Francesco Audrino & Jessica Gentner & Simon Stalder, 2024, "Quantifying Uncertainty: A New Era of Measurement through Large Language Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-68, Aug.
  3. Jule Schuettler & Francesco Audrino & Fabio Sigrist, 2024, "Does sentiment help in asset pricing? A novel approach using large language models and market-based labels," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-69, Aug.
  4. Matthias Fengler & Winfried Koeniger & Stephan Minger, 2024, "The Transmission of Monetary Policy to the Cost of Hedging," CESifo Working Paper Series, CESifo, number 11556.
  5. Matthias R. Fengler & Minh Tri Phan, 2024, "Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-106, Oct.
  6. Matthias R. Fengler & Jeannine Polivka, 2024, "Proxy-identification of a structural MGARCH model for asset returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-55, Oct.
  7. Matthias R. Fengler & Jeannine Polivka, 2024, "Structural Volatility Impulse Response Analysis," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-63, Nov.
  8. Jessica Gentner, 2024, "The role of hedge funds in the Swiss franc foreign exchange market," Working Papers, Swiss National Bank, number 2024-05.

2023

  1. Brown, Martin & Fengler, Matthias & Huwyler, Jonas & Koeniger, Winfried & Lalive, Rafael & Rohrkemper, Robert, 2023, "Monitoring Consumption Switzerland: Data, Background, and Use Cases," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 2301, Jan.
  2. Fengler, Matthias & Phan, Minh Tri, 2023, "A Topic Model for 10-K Management Disclosures," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 2307, Aug.

2022

  1. Fengler, Matthias & Polivka, Jeanine, 2022, "Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model," VfS Annual Conference 2022 (Basel): Big Data in Economics, Verein für Socialpolitik / German Economic Association, number 264010.
  2. Timo Dimitriadis & Roxana Halbleib & Jeannine Polivka & Jasper Rennspies & Sina Streicher & Axel Friedrich Wolter, 2022, "Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models," Papers, arXiv.org, number 2212.11833, Dec, revised Oct 2025.

2019

  1. Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu, 2019, "Media-expressed tone, Option Characteristics, and Stock Return Predictability," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2019-015.

2018

  1. Yi-Hsuan Chen, Cathy & Fengler, Matthias & Härdle, Wolfgang Karl & Liu, Yanchu, 2018, "Textual Sentiment, Option Characteristics, and Stock Return Predictability," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1808, Jun.

2017

  1. Alessandra Cillo & Enrico De Giorgi, 2017, "A New Approach to the Study of Editing of Repeated Lotteries," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 603.
  2. Fengler, Matthias & Melnikov, Alexander, 2017, "GARCH option pricing models with Meixner innovations," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1702, Feb.
  3. Dare, Wale & Fengler, Matthias, 2017, "Global estimation of realized spot volatility in the presence of price jumps," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1715, Sep.

2016

  1. Enrico G. De Giorgi & Ola Mahmoud, 2016, "Naive Diversification Preferences and their Representation," Papers, arXiv.org, number 1611.01285, Nov, revised Nov 2016.

2015

  1. Audrino, Francesco & Camponovo, Lorenzo & Roth, Constantin, 2015, "Testing the lag structure of assets’ realized volatility dynamics," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1501, Jan.
  2. Enrico G. De Giorgi & Ola Mahmoud, 2015, "Diversification Preferences in the Theory of Choice," Papers, arXiv.org, number 1507.02025, Jul, revised Oct 2016.
  3. Fengler, Matthias R. & Herwartz, Helmut, 2015, "Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models," MPRA Paper, University Library of Munich, Germany, number 72197, Mar, revised 10 Jun 2016.

2014

  1. Audrino, Francesco & Huitema, Robert & Ludwig, Markus, 2014, "An Empirical Analysis of the Ross Recovery Theorem," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1411, May.
  2. Fengler, Matthias R. & Gisler, Katja I. M., 2014, "A variance spillover analysis without covariances: what do we miss?," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1409, Apr.
  3. Fengler, Matthias R. & Hin, Lin-Yee, 2014, "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1423, Aug.

2013

  1. Francesco Audrino & Lorenzo Camponovo, 2013, "Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models," Papers, arXiv.org, number 1312.1473, Dec.
  2. Audrino, Francesco & Fengler, Matthias, 2013, "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1311, Mar.
  3. Fengler, Matthias R. & Mammen, Enno & Vogt, Michael, 2013, "Additive modeling of realized variance: tests for parametric specifications and structural breaks," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1332, Nov.

2012

  1. Corsi, Fulvio & Peluso, Stefano & Audrino, Francesco, 2012, "Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1202, Jan.
  2. Audrino, Francesco & Meier, Pirmin, 2012, "Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1210, Apr.
  3. Audrino, Francesco & Knaus, Simon, 2012, "Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1224, Nov.
  4. Enrico G. De Giorgi & Thierry Post & Atakan Yalcin, 2012, "A Concave Security Market Line," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1211, May.
  5. Fengler, Matthias & Okhrin, Ostap, 2012, "Realized Copula," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1214, May.

2011

  1. Audrino, Francesco, 2011, "Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1112, Apr.
  2. Audrino, Francesco & Hu, Yujia, 2011, "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1138, Sep.
  3. Fengler, Matthias & Hin, Lin-Yee, 2011, "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1136, Sep, revised May 2013.

2010

  1. Francesco Audrino & Marcelo Cunha Medeiros, 2010, "Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 570, Mar.
  2. Francesco Audrino & Fulvio Corsi & Kameliya Filipova, 2010, "Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators," University of St. Gallen Department of Economics working paper series 2010, Department of Economics, University of St. Gallen, number 2010-09, Mar.
  3. Enrico G. De Giorgi & David B. Brown & Melvyn Sim, 2010, "Dual representation of choice and aspirational preferences," University of St. Gallen Department of Economics working paper series 2010, Department of Economics, University of St. Gallen, number 2010-07, Mar.
  4. Enrico G. De Giorgi & Thierry Post, 2010, "Loss aversion with a state-dependent reference point," University of St. Gallen Department of Economics working paper series 2010, Department of Economics, University of St. Gallen, number 2010-23, Jul.
  5. Matthias Fengler, 2010, "Option data and modeling BSM implied volatility," University of St. Gallen Department of Economics working paper series 2010, Department of Economics, University of St. Gallen, number 2010-32, Dec.
  6. Matthias Fengler & Helmut Herwartz & Christian Werner, 2010, "A dynamic copula approach to recovering the index implied volatility skew," University of St. Gallen Department of Economics working paper series 2010, Department of Economics, University of St. Gallen, number 1132, Dec, revised Nov 2011.

2009

  1. Francesco Audrino & Kameliya Filipova, 2009, "Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach," University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen, number 2009-10, May.
  2. Francesco Audrino & Dominik Colangelo, 2009, "Option trading strategies based on semi-parametric implied volatility surface prediction," University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen, number 2009-24, Aug.
  3. David B. Brown & Enrico G. De Giorgi & Melvyn Sim, 2009, "A Satisficing Alternative to Prospect Theory," University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen, number 2009-09, May.
  4. Enrico G. De Giorgi & Shane Legg, 2009, "Portfolio Selection with Narrow Framing: Probability Weighting Matters," University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen, number 2009-12, Jun.
  5. Enrico G. De Giorgi, 2009, "Goal-Based Investing with Cumulative Prospect Theory and Satisficing Behavior," University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen, number 2009-22, Aug.

2008

  1. Fulvio Corsi & Francesco Audrino, 2008, "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen, number 2008-04, Jan.
  2. Fulvio Corsi & Francesco Audrino, 2008, "Modeling Tick-by-Tick Realized Correlations," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen, number 2008-05, Jan.
  3. Francesco Audrino & Marcelo C. Medeiros, 2008, "Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen, number 2008-16, Aug.

2007

  1. Fulvio Corsi & Francesco Audrino, 2007, "Realized Correlation Tick-by-Tick," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-02, Jan.
  2. Francesco Audrino & Peter Bühlmann, 2007, "Splines for Financial Volatility," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-11, Apr.
  3. Francesco Audrino & Fabio Trojani, 2007, "Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-24, Jun.
  4. Francesco Audrino & Dominik Colagelo, 2007, "Forecasting Implied Volatility Surfaces," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-42, Nov.
  5. Enrico De Giorgi & Thierry Post, 2007, "Stochastic Reference Points And The Dependence Structure," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-14, Feb, revised Apr 2007.
  6. Enrico De Giorgi & Thorsten Hens & Marc Oliver Rieger, 2007, "Financial Market Equilibria With Cumulative Prospect Therory," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-21, May, revised Aug 2007.
  7. Fengler, Matthias R. & Winter, Joachim, 2007, "Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets," Munich Reprints in Economics, University of Munich, Department of Economics, number 20338.

2005

  1. Fabio Trojani & Francesco Audrino, 2005, "Accurate Yield Curve Scenarios Generation using Functional Gradient Descent," Computing in Economics and Finance 2005, Society for Computational Economics, number 14, Nov.
  2. Fabio Trojani & Francesco Audrino, 2005, "A general multivariate threshold GARCH model with dynamic conditional correlations," University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen, number 2005-04, Jan.
  3. De Giorgi, Enrico & Hens, Thorsten, 2005, "Making Prospect Theory Fit for Finance," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/19, Dec.
  4. De Giorgi, Enrico & Hens, Thorsten & Post, Thierry, 2005, "Prospect Theory and the Size and Value Premium Puzzles," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/20, Dec.
  5. Fengler, Matthias R., 2005, "Arbitrage-free smoothing of the implied volatility surface," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-019.
  6. Fengler, Matthias R. & Härdle, Wolfgang Karl & Mammen, Enno, 2005, "A dynamic semiparametric factor model for implied volatility string dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-020.
  7. Borak, Szymon & Fengler, Matthias R. & Härdle, Wolfgang Karl, 2005, "DSFM fitting of implied volatility surfaces," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-022.

2003

  1. Christophe Villa & M.R. Fengler & W.K. Hardle, 2003, "The dynamics of implied volatilities : a common principal components approach," Post-Print, HAL, number halshs-00069509.
  2. Fengler, Matthias R. & Schwendner, Peter, 2003, "Correlation Risk Premia for Multi-Asset Equity Options," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2003,10.
  3. Fengler, Matthias R. & Wang, Qihua, 2003, "Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2003,25.
  4. Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003, "Implied volatility string dynamics," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2003,54.

2002

  1. Enrico De Giorgi, 2002, "An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios," Risk and Insurance, University Library of Munich, Germany, number 0209001, Sep, revised 09 Sep 2002.

2001

  1. Fengler, Matthias R. & Härdle, Wolfgang & Schmidt, Peter, 2001, "The analysis of implied volatilities," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,73.
  2. Fengler, Matthias R. & Herwartz, Helmut, 2001, "Multivariate volatility models," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,74.
    • Matthias R. Fengler & Helmut Herwartz, 2009, "Multivariate Volatility Models," Springer Books, Springer, chapter 15, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck, "Applied Quantitative Finance", DOI: 10.1007/978-3-540-69179-2_15.

Undated

  1. Francesco Audrino & Enrico De Giorgi, undated, "Beta Regimes for the Yield Curve," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 244.
  2. Enrico De Giorgi, undated, "Reward-Risk Portfolio Selection and Stochastic Dominance," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 121.
  3. Enrico De Giorgi, undated, "A Note on Portfolio Selection under Various Risk Measures," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 122.
  4. Haim Levy & Enrico De Giorgi & Thorsten Hens, undated, "Prospect Theory and the CAPM: A contradiction or coexistence?," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 157.
  5. Haim Levy & Enrico De Giorgi & Thorsten Hens, undated, "Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 161.
  6. Enrico De Giorgi, undated, "Evolutionary Portfolio Selection with Liquidity Shocks," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 185.
  7. Enrico De Giorgi & Stefan Reimann, undated, "The ?-Beauty Contest: Choosing Numbers, Thinking Intervals," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 183.

Journal articles

2026

  1. Chassot, Jonathan & Audrino, Francesco, 2026, "HARd to beat: The overlooked impact of rolling windows in the era of machine learning," International Journal of Forecasting, Elsevier, volume 42, issue 2, pages 330-343, DOI: 10.1016/j.ijforecast.2025.06.003.
  2. Dimitriadis, Timo & Halbleib, Roxana & Polivka, Jeannine & Rennspies, Jasper & Streicher, Sina & Wolter, Axel Friedrich, 2026, "Efficient sampling for realized variance estimation in time-changed diffusion models," Journal of Econometrics, Elsevier, volume 254, issue PA, DOI: 10.1016/j.jeconom.2025.106150.

2025

  1. Fengler, Matthias R. & Phan, Tri Minh, 2025, "Unveiling themes in 10-K disclosures: A new topic modeling perspective," International Review of Financial Analysis, Elsevier, volume 103, issue C, DOI: 10.1016/j.irfa.2025.104121.
  2. Matthias R Fengler & Jeannine Polivka, 2025, "Structural Volatility Impulse Response Analysis," Journal of Financial Econometrics, Oxford University Press, volume 23, issue 2, pages 951-971.
  3. Jonas M. Bruhin & Matthias R. Fengler & Winfried Koeniger & Robert Rohrkemper, 2025, "Consumer spending in Switzerland: insights from a novel transactional data index," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, volume 161, issue 1, pages 1-25, December, DOI: 10.1186/s41937-025-00146-5.
  4. Gentner, Jessica, 2025, "The role of hedge funds in the Swiss franc foreign exchange market," Journal of International Money and Finance, Elsevier, volume 154, issue C, DOI: 10.1016/j.jimonfin.2025.103311.

2024

  1. Audrino, Francesco & Serwart, Jan, 2024, "Yield curve trading strategies exploiting sentiment data," The North American Journal of Economics and Finance, Elsevier, volume 74, issue C, DOI: 10.1016/j.najef.2024.102226.
  2. Audrino, Francesco & Offner, Eric A., 2024, "The impact of macroeconomic news sentiment on interest rates," International Review of Financial Analysis, Elsevier, volume 94, issue C, DOI: 10.1016/j.irfa.2024.103293.
  3. Francesco Audrino & Jonathan Chassot & Chen Huang & Michael Knaus & Michael Lechner & Juan-Pablo Ortega, 2024, "How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 3, pages 575-604.

2023

  1. Martin Brown & Matthias R. Fengler & Jonas Huwyler & Winfried Koeniger & Rafael Lalive & Robert Rohrkemper, 2023, "Monitoring consumption Switzerland: data, background, and use cases," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, volume 159, issue 1, pages 1-16, December, DOI: 10.1186/s41937-023-00108-9.

2022

  1. Ballinari, Daniele & Audrino, Francesco & Sigrist, Fabio, 2022, "When does attention matter? The effect of investor attention on stock market volatility around news releases," International Review of Financial Analysis, Elsevier, volume 82, issue C, DOI: 10.1016/j.irfa.2022.102185.
  2. Marcial Messmer & Francesco Audrino, 2022, "The Lasso and the Factor Zoo-Predicting Expected Returns in the Cross-Section," Forecasting, MDPI, volume 4, issue 4, pages 1-35, November.
  3. Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu, 2022, "Media-expressed tone, option characteristics, and stock return predictability," Journal of Economic Dynamics and Control, Elsevier, volume 134, issue C, DOI: 10.1016/j.jedc.2021.104290.

2021

  1. Francesco Audrino & Robert Huitema & Markus Ludwig, 2021, "An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device
    [Nonparametric Option Pricing under Shape Restrictions]    ," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 2, pages 291-312.

2020

  1. Audrino, Francesco & Sigrist, Fabio & Ballinari, Daniele, 2020, "The impact of sentiment and attention measures on stock market volatility," International Journal of Forecasting, Elsevier, volume 36, issue 2, pages 334-357, DOI: 10.1016/j.ijforecast.2019.05.010.

2019

  1. Audrino Francesco & Huang Chen & Okhrin Ostap, 2019, "Flexible HAR model for realized volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 23, issue 3, pages 1-22, June, DOI: 10.1515/snde-2017-0080.
  2. Audrino, Francesco & Kostrov, Alexander & Ortega, Juan-Pablo, 2019, "Predicting U.S. Bank Failures with MIDAS Logit Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 54, issue 6, pages 2575-2603, December.
  3. Audrino, Francesco & Tetereva, Anastasija, 2019, "Sentiment spillover effects for US and European companies," Journal of Banking & Finance, Elsevier, volume 106, issue C, pages 542-567, DOI: 10.1016/j.jbankfin.2019.07.022.

2018

  1. Francesco Audrino & Lorenzo Camponovo, 2018, "Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M†Estimators," Journal of Time Series Analysis, Wiley Blackwell, volume 39, issue 2, pages 111-128, March, DOI: 10.1111/jtsa.12270.
  2. Audrino Francesco, 2018, "Do match officials give preferential treatment to the strongest football teams? An analysis of four top European clubs," Journal of Quantitative Analysis in Sports, De Gruyter, volume 14, issue 4, pages 185-199, December, DOI: 10.1515/jqas-2018-0052.
  3. Matthias R. Fengler & Helmut Herwartz, 2018, "Measuring Spot Variance Spillovers when (Co)variances are Time†varying – The Case of Multivariate GARCH Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 80, issue 1, pages 135-159, February, DOI: 10.1111/obes.12191.
  4. Matthias R. Fengler & Alexander Melnikov, 2018, "GARCH option pricing models with Meixner innovations," Review of Derivatives Research, Springer, volume 21, issue 3, pages 277-305, October, DOI: 10.1007/s11147-017-9141-7.

2016

  1. Francesco Audrino & Yujia Hu, 2016, "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Econometrics, MDPI, volume 4, issue 1, pages 1-24, February.
  2. Francesco Audrino & Fulvio Corsi & Kameliya Filipova, 2016, "Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 2, pages 232-256, February, DOI: 10.1080/07474938.2013.833809.
  3. Francesco Audrino & Simon D. Knaus, 2016, "Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 8-10, pages 1485-1521, December, DOI: 10.1080/07474938.2015.1092801.
  4. Enrico G. De Giorgi & Ola Mahmoud, 2016, "Diversification preferences in the theory of choice," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 39, issue 2, pages 143-174, November, DOI: 10.1007/s10203-016-0182-4.
  5. Fengler, Matthias R. & Okhrin, Ostap, 2016, "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, volume 100, issue C, pages 131-152, DOI: 10.1016/j.csda.2014.07.011.

2015

  1. Audrino, Francesco & Fengler, Matthias R., 2015, "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Journal of Banking & Finance, Elsevier, volume 61, issue C, pages 46-63, DOI: 10.1016/j.jbankfin.2015.08.018.
  2. Fulvio Corsi & Stefano Peluso & Francesco Audrino, 2015, "Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 3, pages 377-397, April.
  3. Fengler, Matthias R. & Hin, Lin-Yee, 2015, "Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints," Journal of Econometrics, Elsevier, volume 184, issue 2, pages 242-261, DOI: 10.1016/j.jeconom.2014.09.003.
  4. Fengler, M.R. & Mammen, E. & Vogt, M., 2015, "Specification and structural break tests for additive models with applications to realized variance data," Journal of Econometrics, Elsevier, volume 188, issue 1, pages 196-218, DOI: 10.1016/j.jeconom.2015.04.002.
  5. Fengler, Matthias R. & Hin, Lin-Yee, 2015, "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Finance Research Letters, Elsevier, volume 15, issue C, pages 78-84, DOI: 10.1016/j.frl.2015.08.006.
  6. Fengler, Matthias R. & Gisler, Katja I.M., 2015, "A variance spillover analysis without covariances: What do we miss?," Journal of International Money and Finance, Elsevier, volume 51, issue C, pages 174-195, DOI: 10.1016/j.jimonfin.2014.11.006.

2014

  1. Audrino, Francesco, 2014, "Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 43-60, DOI: 10.1016/j.csda.2013.06.002.
  2. Filipova, Kameliya & Audrino, Francesco & De Giorgi, Enrico, 2014, "Monetary policy regimes: Implications for the yield curve and bond pricing," Journal of Financial Economics, Elsevier, volume 113, issue 3, pages 427-454, DOI: 10.1016/j.jfineco.2014.05.006.

2012

  1. Francesco Audrino, 2012, "What Drives Short Rate Dynamics? A Functional Gradient Descent Approach," Computational Economics, Springer;Society for Computational Economics, volume 39, issue 3, pages 315-335, March, DOI: 10.1007/s10614-011-9310-y.
  2. Fulvio Corsi & Francesco Audrino, 2012, "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects," Journal of Financial Econometrics, Oxford University Press, volume 10, issue 4, pages 591-616, September.
  3. David B. Brown & Enrico De Giorgi & Melvyn Sim, 2012, "Aspirational Preferences and Their Representation by Risk Measures," Management Science, INFORMS, volume 58, issue 11, pages 2095-2113, November, DOI: 10.1287/mnsc.1120.1537.
  4. De Giorgi, Enrico G. & Legg, Shane, 2012, "Dynamic portfolio choice and asset pricing with narrow framing and probability weighting," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 7, pages 951-972, DOI: 10.1016/j.jedc.2012.01.010.
  5. Matthias R. Fengler & Helmut Herwartz & Christian Werner, 2012, "A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew," Journal of Financial Econometrics, Oxford University Press, volume 10, issue 3, pages 457-493, June.

2011

  1. Audrino, Francesco & Trojani, Fabio, 2011, "A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 1, pages 138-149.
  2. Francesco Audrino & Marcelo C. Medeiros, 2011, "Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 6, pages 999-1022, September.
  3. Enrico G. De Giorgi & Thierry Post, 2011, "Loss Aversion with a State-Dependent Reference Point," Management Science, INFORMS, volume 57, issue 6, pages 1094-1110, June, DOI: 10.1287/mnsc.1110.1338.
  4. De Giorgi, Enrico & Hens, Thorsten & Mayer, Janos, 2011, "A note on reward-risk portfolio selection and two-fund separation," Finance Research Letters, Elsevier, volume 8, issue 2, pages 52-58, June.
  5. Jan Maruhn & Morten Nalholm & Matthias Fengler, 2011, "Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, volume 11, issue 5, pages 711-727, DOI: 10.1080/14697680903154241.

2010

  1. Audrino, Francesco & Corsi, Fulvio, 2010, "Modeling tick-by-tick realized correlations," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 11, pages 2372-2382, November.
  2. De Giorgi, Enrico & Hens, Thorsten & Rieger, Marc Oliver, 2010, "Financial market equilibria with cumulative prospect theory," Journal of Mathematical Economics, Elsevier, volume 46, issue 5, pages 633-651, September.

2009

  1. Francesco Audrino & Peter Bühlmann, 2009, "Splines for financial volatility," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 71, issue 3, pages 655-670, June, DOI: 10.1111/j.1467-9868.2009.00696.x.
  2. Matthias Fengler, 2009, "Arbitrage-free smoothing of the implied volatility surface," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 4, pages 417-428, DOI: 10.1080/14697680802595585.

2008

  1. De Giorgi, Enrico & Reimann, Stefan, 2008, "The [alpha]-beauty contest: Choosing numbers, thinking intervals," Games and Economic Behavior, Elsevier, volume 64, issue 2, pages 470-486, November.
  2. De Giorgi, Enrico, 2008, "Evolutionary portfolio selection with liquidity shocks," Journal of Economic Dynamics and Control, Elsevier, volume 32, issue 4, pages 1088-1119, April.
  3. De Giorgi, Enrico & Post, Thierry, 2008, "Second-Order Stochastic Dominance, Reward-Risk Portfolio Selection, and the CAPM," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 43, issue 2, pages 525-546, June.

2007

  1. Francesco Audrino & Robert Fernholz & Roberto Ferretti, 2007, "A Forecasting Model for Stock Market Diversity," Annals of Finance, Springer, volume 3, issue 2, pages 213-240, March, DOI: 10.1007/s10436-006-0046-y.
  2. Enrico Giorgi & Thorsten Hens & János Mayer, 2007, "Computational aspects of prospect theory with asset pricing applications," Computational Economics, Springer;Society for Computational Economics, volume 29, issue 3, pages 267-281, May, DOI: 10.1007/s10614-006-9062-2.
  3. M. Benko & M. Fengler & W. Härdle & M. Kopa, 2007, "On extracting information implied in options," Computational Statistics, Springer, volume 22, issue 4, pages 543-553, December, DOI: 10.1007/s00180-007-0061-0.
  4. Matthias R. Fengler & Joachim K. Winter, 2007, "Price variability and price dispersion in a stable monetary environment: evidence from German retail markets," Managerial and Decision Economics, John Wiley & Sons, Ltd., volume 28, issue 7, pages 789-801, DOI: 10.1002/mde.1373.

2006

  1. Audrino, Francesco, 2006, "Tree-Structured Multiple Regimes in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, volume 24, pages 338-353, July.
  2. Audrino, Francesco, 2006, "The impact of general non-parametric volatility functions in multivariate GARCH models," Computational Statistics & Data Analysis, Elsevier, volume 50, issue 11, pages 3032-3052, July.
  3. Audrino, Francesco & Barone-Adesi, Giovanni, 2006, "A dynamic model of expected bond returns: A functional gradient descent approach," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 4, pages 2267-2277, December.
  4. Fabio Trojani & Francesco Audrino, 2006, "Estimating and predicting multivariate volatility thresholds in global stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 3, pages 345-369, DOI: 10.1002/jae.869.
  5. Giovanni Barone-Adesi & Francesco Audrino, 2006, "Average conditional correlation and tree structures for multivariate GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., volume 25, issue 8, pages 579-600, DOI: 10.1002/for.1014.
  6. Enrico Giorgi & Thorsten Hens, 2006, "Making prospect theory fit for finance," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 3, pages 339-360, September, DOI: 10.1007/s11408-006-0019-1.
  7. Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006, "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, volume 9, issue 3, pages 239-264, November, DOI: 10.1007/s11147-007-9010-x.

2005

  1. Francesco Audrino, 2005, "Local Likelihood for non‐parametric ARCH(1) models," Journal of Time Series Analysis, Wiley Blackwell, volume 26, issue 2, pages 251-278, March, DOI: 10.1111/j.1467-9892.2005.00400.x.
  2. Audrino, Francesco & Barone-Adesi, Giovanni, 2005, "Functional gradient descent for financial time series with an application to the measurement of market risk," Journal of Banking & Finance, Elsevier, volume 29, issue 4, pages 959-977, April.
  3. Francesco Audrino, 2005, "The Stability of Factor Models of Interest Rates," Journal of Financial Econometrics, Oxford University Press, volume 3, issue 3, pages 422-441.
  4. Francesco Audrino & Giovanni Barone-Adesi, 2005, "A multivariate FGD technique to improve VaR computation in equity markets," Computational Management Science, Springer, volume 2, issue 2, pages 87-106, March, DOI: 10.1007/s10287-004-0028-3.
  5. De Giorgi, Enrico, 2005, "Reward-risk portfolio selection and stochastic dominance," Journal of Banking & Finance, Elsevier, volume 29, issue 4, pages 895-926, April.

2003

  1. Matthias Fengler & Wolfgang Härdle & Christophe Villa, 2003, "The Dynamics of Implied Volatilities: A Common Principal Components Approach," Review of Derivatives Research, Springer, volume 6, issue 3, pages 179-202, October, DOI: 10.1023/B:REDR.0000004823.77464.2d.

2001

  1. Francesco Audrino & Peter Bühlmann, 2001, "Tree‐structured generalized autoregressive conditional heteroscedastic models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 63, issue 4, pages 727-744, DOI: 10.1111/1467-9868.00309.

Undated

  1. Francesco Audrino & Enrico De Giorgi, 0, "Beta Regimes for the Yield Curve," Journal of Financial Econometrics, Oxford University Press, volume 5, issue 3, pages 456-490.
  2. Matthias R. Fengler & Wolfgang K. Härdle & Enno Mammen, 0, "A semiparametric factor model for implied volatility surface dynamics," Journal of Financial Econometrics, Oxford University Press, volume 5, issue 2, pages 189-218.

Books

2024

  1. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Applied Multivariate Statistical Analysis," Springer Books, Springer, number 978-3-031-63833-6, edition 0, ISBN: ARRAY(0x7141dba0), DOI: 10.1007/978-3-031-63833-6.

2005

  1. Matthias R. Fengler, 2005, "Semiparametric Modeling of Implied Volatility," Springer Finance, Springer, number 978-3-540-30591-0, ISBN: ARRAY(0x7e4b7998), October, DOI: 10.1007/3-540-30591-2.

Chapters

2024

  1. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Comparison of Batches," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_1.
    • Wolfgang Karl Härdle & Léopold Simar, 2019, "Comparison of Batches," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-030-26006-4_1.
    • Wolfgang Härdle & Léopold Simar, 2003, "Comparison of Batches," Springer Books, Springer, chapter 1, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-05802-2_1.
    • Wolfgang Karl Härdle & Léopold Simar, 2015, "Comparison of Batches," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-45171-7_1.
  2. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Decomposition of Data Matrices by Factors," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_10.
  3. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Principal Component Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_11.
  4. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Factor Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_12.
    • Wolfgang Karl Härdle & Léopold Simar, 2019, "Factor Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-030-26006-4_12.
    • Wolfgang Härdle & Léopold Simar, 2003, "Factor Analysis," Springer Books, Springer, chapter 10, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-05802-2_10.
    • Wolfgang Karl Härdle & Léopold Simar, 2015, "Factor Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-45171-7_12.
  5. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Cluster Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_13.
    • Wolfgang Karl Härdle & Léopold Simar, 2019, "Cluster Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-030-26006-4_13.
    • Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2025, "Correction to: Cluster Analysis," Springer Books, Springer, chapter 24, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_24.
    • Wolfgang Härdle & Léopold Simar, 2003, "Cluster Analysis," Springer Books, Springer, chapter 11, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-05802-2_11.
    • Wolfgang Karl Härdle & Léopold Simar, 2015, "Cluster Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-45171-7_13.
  6. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Discriminant Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_14.
    • Wolfgang Karl Härdle & Léopold Simar, 2019, "Discriminant Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-030-26006-4_14.
    • Wolfgang Härdle & Léopold Simar, 2003, "Discriminant Analysis," Springer Books, Springer, chapter 12, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-05802-2_12.
    • Wolfgang Karl Härdle & Léopold Simar, 2015, "Discriminant Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-45171-7_14.
  7. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Correspondence Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_15.
  8. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Canonical Correlation Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_16.
  9. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Multidimensional Scaling," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_17.
  10. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Conjoint Measurement Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_18.
  11. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Applications in Finance," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_19.
  12. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "A Short Excursion into Matrix Algebra," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_2.
  13. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Computationally Intensive Techniques," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_20.
  14. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Locally Linear Embedding," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_21.
  15. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Stochastic Neighborhood Embedding," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_22.
  16. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Uniform Manifold Approximation and Projection," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_23.
  17. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Moving to Higher Dimensions," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_3.
  18. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Multivariate Distributions," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_4.
  19. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Theory of the Multinormal," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_5.
  20. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Theory of Estimation," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_6.
    • Wolfgang Karl Härdle & Léopold Simar, 2019, "Theory of Estimation," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-030-26006-4_6.
    • Wolfgang Härdle & Léopold Simar, 2003, "Theory of Estimation," Springer Books, Springer, chapter 6, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-05802-2_6.
    • Wolfgang Karl Härdle & Léopold Simar, 2015, "Theory of Estimation," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-45171-7_6.
  21. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Hypothesis Testing," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_7.
    • Wolfgang Karl Härdle & Léopold Simar, 2019, "Hypothesis Testing," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-030-26006-4_7.
    • Wolfgang Härdle & Léopold Simar, 2003, "Hypothesis Testing," Springer Books, Springer, chapter 7, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-05802-2_7.
    • Wolfgang Karl Härdle & Léopold Simar, 2015, "Hypothesis Testing," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-45171-7_7.
  22. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Regression Models," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_8.
    • Wolfgang Karl Härdle & Léopold Simar, 2019, "Regression Models," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-030-26006-4_8.
    • Wolfgang Karl Härdle & Léopold Simar, 2015, "Regression Models," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-45171-7_8.
  23. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Variable Selection," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_9.
    • Wolfgang Karl Härdle & Léopold Simar, 2019, "Variable Selection," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-030-26006-4_9.
    • Wolfgang Karl Härdle & Léopold Simar, 2015, "Variable Selection," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-45171-7_9.

2009

  1. Matthias R. Fengler & Helmut Herwartz, 2009, "Multivariate Volatility Models," Springer Books, Springer, chapter 15, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck, "Applied Quantitative Finance", DOI: 10.1007/978-3-540-69179-2_15.
  2. Matthias R. Fengler & Qihua Wang, 2009, "Least Squares Kernel Smoothing of the Implied Volatility Smile," Springer Books, Springer, chapter 9, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck, "Applied Quantitative Finance", DOI: 10.1007/978-3-540-69179-2_9.

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