Details about Matthias R. Fengler
Access statistics for papers by Matthias R. Fengler.
Last updated 2023-04-16. Update your information in the RePEc Author Service.
Short-id: pfe264
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Working Papers
2023
- Monitoring Consumption Switzerland: Data, Background, and Use Cases
Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science 
See also Journal Article in Swiss Journal of Economics and Statistics (2023)
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 
Also in Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science (2021) View citations (1)
- Structural Volatility Impulse Response Analysis
Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science
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" 
See also Journal Article in Journal of Economic Dynamics and Control (2022)
2018
- Textual Sentiment, Option Characteristics, and Stock Return Predictability
Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (19)
Also in IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018) View citations (20)
2017
- GARCH option pricing models with Meixner innovations
Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science 
See also Journal Article in Review of Derivatives Research (2018)
- 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
2016
- Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models
MPRA Paper, University Library of Munich, Germany 
Also in Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science (2015)
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 
See also Journal Article in Finance Research Letters (2015)
- A variance spillover analysis without covariances: what do we miss?
Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science 
See also Journal Article in Journal of International Money and Finance (2015)
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 View citations (1)
- 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 
See also Journal Article in Journal of Banking & Finance (2015)
- 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 View citations (1)
2012
- Realized Copula
Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (1)
Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2012) View citations (5)
2011
- 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 View citations (4)
See also Journal Article in The Journal of Financial Econometrics (2012)
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 View citations (4)
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 View citations (3)
Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) View citations (1)
See also Journal Article in Managerial and Decision Economics (2007)
2005
- A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics
SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (8)
- Arbitrage-Free Smoothing of the Implied Volatility Surface
SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (8)
See also Journal Article in Quantitative Finance (2009)
- DSFM fitting of Implied Volatility Surfaces
SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (2)
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 View citations (3)
- 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 View citations (4)
- Implied volatility string dynamics
SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (28)
- The dynamics of implied volatilities: a common principal components approach
Post-Print, HAL View citations (39)
Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2001) View citations (1)
See also Journal Article in Review of Derivatives Research (2003)
2001
- Multivariate volatility models
SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
- The analysis of implied volatilities
SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
Journal Articles
2023
- Monitoring consumption Switzerland: data, background, and use cases
Swiss Journal of Economics and Statistics, 2023, 159, (1), 1-16 
See also Working Paper (2023)
2022
- Media-expressed tone, option characteristics, and stock return predictability
Journal of Economic Dynamics and Control, 2022, 134, (C) 
See also Working Paper (2019)
2018
- GARCH option pricing models with Meixner innovations
Review of Derivatives Research, 2018, 21, (3), 277-305 
See also Working Paper (2017)
- Measuring Spot Variance Spillovers when (Co)variances are Time†varying – The Case of Multivariate GARCH Models
Oxford Bulletin of Economics and Statistics, 2018, 80, (1), 135-159 View citations (9)
2016
- Managing risk with a realized copula parameter
Computational Statistics & Data Analysis, 2016, 100, (C), 131-152 View citations (6)
2015
- A simple and general approach to fitting the discount curve under no-arbitrage constraints
Finance Research Letters, 2015, 15, (C), 78-84 View citations (4)
See also Working Paper (2014)
- A variance spillover analysis without covariances: What do we miss?
Journal of International Money and Finance, 2015, 51, (C), 174-195 View citations (48)
See also Working Paper (2014)
- Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
Journal of Banking & Finance, 2015, 61, (C), 46-63 View citations (2)
See also Working Paper (2013)
- Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
Journal of Econometrics, 2015, 184, (2), 242-261 View citations (19)
- Specification and structural break tests for additive models with applications to realized variance data
Journal of Econometrics, 2015, 188, (1), 196-218 View citations (7)
2012
- A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew
The Journal of Financial Econometrics, 2012, 10, (3), 457-493 View citations (8)
See also Working Paper (2011)
2011
- Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis
Quantitative Finance, 2011, 11, (5), 711-727
2009
- Arbitrage-free smoothing of the implied volatility surface
Quantitative Finance, 2009, 9, (4), 417-428 View citations (51)
See also Working Paper (2005)
2007
- On extracting information implied in options
Computational Statistics, 2007, 22, (4), 543-553 View citations (15)
- Price variability and price dispersion in a stable monetary environment: evidence from German retail markets
Managerial and Decision Economics, 2007, 28, (7), 789-801 View citations (3)
See also Working Paper (2007)
2006
- Static versus dynamic hedges: an empirical comparison for barrier options
Review of Derivatives Research, 2006, 9, (3), 239-264 View citations (12)
2003
- The Dynamics of Implied Volatilities: A Common Principal Components Approach
Review of Derivatives Research, 2003, 6, (3), 179-202 View citations (46)
See also Working Paper (2003)
Undated
- A semiparametric factor model for implied volatility surface dynamics
The Journal of Financial Econometrics, 5, (2), 189-218 View citations (43)
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