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

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
   See also Journal Article in Swiss Journal of Economics and Statistics (2023)

2022

2. 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)
3. Structural Volatility Impulse Response Analysis
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science

2019

4. 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

5. 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

6. 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)
7. 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

8. 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

9. 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)
10. 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

11. 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)
12. 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)
13. 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

14. 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

15. 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

16. 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

17. 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

18. A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (8)
19. 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)
20. DSFM fitting of Implied Volatility Surfaces
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (2)

2003

21. 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)
22. 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)
23. 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)
24. 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

25. Multivariate volatility models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
26. 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

1. 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

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

2018

3. GARCH option pricing models with Meixner innovations
   Review of Derivatives Research, 2018, 21, (3), 277-305
   See also Working Paper (2017)
4. 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

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

2015

6. 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)
7. 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)
8. 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)
9. 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)
10. 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

11. 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

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

2009

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

2007

14. On extracting information implied in options
    Computational Statistics, 2007, 22, (4), 543-553 View citations (15)
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

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

2003

17. 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

18. A semiparametric factor model for implied volatility surface dynamics
    The Journal of Financial Econometrics, 5, (2), 189-218 View citations (43)