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Details about Matthias R. Fengler

Homepage:http://www.mathstat.unisg.ch/
Workplace:Fachbereich für Mathematik und Statistik (Group for Mathematics and Statistics), School of Economics and Political Science, Universität St. Gallen (University of St. Gallen), (more information at EDIRC)

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

  1. Monitoring Consumption Switzerland: Data, Background, and Use Cases
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science Downloads
    See also Journal Article in Swiss Journal of Economics and Statistics (2023)

2022

  1. 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 Downloads
    Also in Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science (2021) Downloads View citations (1)
  2. Structural Volatility Impulse Response Analysis
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science Downloads

2019

  1. 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" Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2022)

2018

  1. Textual Sentiment, Option Characteristics, and Stock Return Predictability
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science Downloads View citations (19)
    Also in IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018) Downloads View citations (20)

2017

  1. GARCH option pricing models with Meixner innovations
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science Downloads
    See also Journal Article in Review of Derivatives Research (2018)
  2. 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 Downloads

2016

  1. Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science (2015) Downloads

2014

  1. 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 Downloads
    See also Journal Article in Finance Research Letters (2015)
  2. A variance spillover analysis without covariances: what do we miss?
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science Downloads
    See also Journal Article in Journal of International Money and Finance (2015)

2013

  1. 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 Downloads View citations (1)
  2. 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 Downloads
    See also Journal Article in Journal of Banking & Finance (2015)
  3. 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 Downloads View citations (1)

2012

  1. Realized Copula
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science Downloads View citations (1)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2012) Downloads View citations (5)

2011

  1. 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 Downloads View citations (4)
    See also Journal Article in The Journal of Financial Econometrics (2012)

2010

  1. 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 Downloads View citations (4)

2007

  1. 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) Downloads View citations (1)

    See also Journal Article in Managerial and Decision Economics (2007)

2005

  1. A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (8)
  2. Arbitrage-Free Smoothing of the Implied Volatility Surface
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (8)
    See also Journal Article in Quantitative Finance (2009)
  3. DSFM fitting of Implied Volatility Surfaces
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)

2003

  1. 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 Downloads View citations (3)
  2. 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 Downloads View citations (4)
  3. Implied volatility string dynamics
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (28)
  4. 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) Downloads View citations (1)

    See also Journal Article in Review of Derivatives Research (2003)

2001

  1. Multivariate volatility models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (2)
  2. The analysis of implied volatilities
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (2)

Journal Articles

2023

  1. Monitoring consumption Switzerland: data, background, and use cases
    Swiss Journal of Economics and Statistics, 2023, 159, (1), 1-16 Downloads
    See also Working Paper (2023)

2022

  1. Media-expressed tone, option characteristics, and stock return predictability
    Journal of Economic Dynamics and Control, 2022, 134, (C) Downloads
    See also Working Paper (2019)

2018

  1. GARCH option pricing models with Meixner innovations
    Review of Derivatives Research, 2018, 21, (3), 277-305 Downloads
    See also Working Paper (2017)
  2. 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 Downloads View citations (9)

2016

  1. Managing risk with a realized copula parameter
    Computational Statistics & Data Analysis, 2016, 100, (C), 131-152 Downloads View citations (6)

2015

  1. A simple and general approach to fitting the discount curve under no-arbitrage constraints
    Finance Research Letters, 2015, 15, (C), 78-84 Downloads View citations (4)
    See also Working Paper (2014)
  2. A variance spillover analysis without covariances: What do we miss?
    Journal of International Money and Finance, 2015, 51, (C), 174-195 Downloads View citations (48)
    See also Working Paper (2014)
  3. 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 Downloads View citations (2)
    See also Working Paper (2013)
  4. 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 Downloads View citations (19)
  5. Specification and structural break tests for additive models with applications to realized variance data
    Journal of Econometrics, 2015, 188, (1), 196-218 Downloads View citations (7)

2012

  1. A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew
    The Journal of Financial Econometrics, 2012, 10, (3), 457-493 Downloads View citations (8)
    See also Working Paper (2011)

2011

  1. Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis
    Quantitative Finance, 2011, 11, (5), 711-727 Downloads

2009

  1. Arbitrage-free smoothing of the implied volatility surface
    Quantitative Finance, 2009, 9, (4), 417-428 Downloads View citations (51)
    See also Working Paper (2005)

2007

  1. On extracting information implied in options
    Computational Statistics, 2007, 22, (4), 543-553 Downloads View citations (15)
  2. Price variability and price dispersion in a stable monetary environment: evidence from German retail markets
    Managerial and Decision Economics, 2007, 28, (7), 789-801 Downloads View citations (3)
    See also Working Paper (2007)

2006

  1. Static versus dynamic hedges: an empirical comparison for barrier options
    Review of Derivatives Research, 2006, 9, (3), 239-264 Downloads View citations (12)

2003

  1. The Dynamics of Implied Volatilities: A Common Principal Components Approach
    Review of Derivatives Research, 2003, 6, (3), 179-202 Downloads View citations (46)
    See also Working Paper (2003)

Undated

  1. A semiparametric factor model for implied volatility surface dynamics
    The Journal of Financial Econometrics, 5, (2), 189-218 Downloads View citations (43)
 
Page updated 2023-05-28