Details about Matthias R. Fengler

Access statistics for papers by Matthias R. Fengler.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pfe264

Working Papers

2025

1. The Transmission of Monetary Policy to the Cost of Hedging
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   Also in CESifo Working Paper Series, CESifo (2024)
   CFS Working Paper Series, Center for Financial Studies (CFS) (2024)
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science (2025)

2024

2. Proxy-identification of a structural MGARCH model for asset returns
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   Also in Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science (2024) View citations (1)
3. Structural Volatility Impulse Response Analysis
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   Also in Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science (2022) View citations (1)
4. Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2023

5. A Topic Model for 10-K Management Disclosures
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (1)
6. Monitoring Consumption Switzerland: Data, Background, and Use Cases
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (2)
   See also Journal Article Monitoring consumption Switzerland: data, background, and use cases, Swiss Journal of Economics and Statistics, Springer (2023) View citations (2) (2023)

2022

7. 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

2019

8. 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 Media-expressed tone, option characteristics, and stock return predictability, Journal of Economic Dynamics and Control, Elsevier (2022) View citations (6) (2022)

2018

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

2017

10. 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 GARCH option pricing models with Meixner innovations, Review of Derivatives Research, Springer (2018) (2018)
11. 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

12. 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

13. 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 A simple and general approach to fitting the discount curve under no-arbitrage constraints, Finance Research Letters, Elsevier (2015) View citations (5) (2015)
14. 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 A variance spillover analysis without covariances: What do we miss?, Journal of International Money and Finance, Elsevier (2015) View citations (63) (2015)

2013

15. 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)
16. 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 Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data, Journal of Banking & Finance, Elsevier (2015) View citations (6) (2015)
17. 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

18. 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 Berlin, Collaborative Research Center 649: Economic Risk (2012) View citations (1)

2011

19. 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 A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew, Journal of Financial Econometrics, Oxford University Press (2012) View citations (8) (2012)

2010

20. 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 (5)

2007

21. 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 Price variability and price dispersion in a stable monetary environment: evidence from German retail markets, Managerial and Decision Economics, John Wiley & Sons, Ltd. (2007) View citations (4) (2007)

2005

22. A dynamic semiparametric factor model for implied volatility string dynamics
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
23. Arbitrage-free smoothing of the implied volatility surface
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Arbitrage-free smoothing of the implied volatility surface, Quantitative Finance, Taylor & Francis Journals (2009) View citations (59) (2009)
24. DSFM fitting of implied volatility surfaces
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2003

25. 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)
26. 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 (5)
27. Implied volatility string dynamics
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (30)
28. The dynamics of implied volatilities: a common principal components approach
    Post-Print, HAL View citations (41)
    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 The Dynamics of Implied Volatilities: A Common Principal Components Approach, Review of Derivatives Research, Springer (2003) View citations (56) (2003)

2001

29. Multivariate volatility models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
30. 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 View citations (2)
   See also Working Paper Monitoring Consumption Switzerland: Data, Background, and Use Cases, Economics Working Paper Series (2023) View citations (2) (2023)

2022

2. Media-expressed tone, option characteristics, and stock return predictability
   Journal of Economic Dynamics and Control, 2022, 134, (C) View citations (6)
   See also Working Paper Media-expressed tone, Option Characteristics, and Stock Return Predictability, IRTG 1792 Discussion Papers (2019) (2019)

2018

3. GARCH option pricing models with Meixner innovations
   Review of Derivatives Research, 2018, 21, (3), 277-305
   See also Working Paper GARCH option pricing models with Meixner innovations, Economics Working Paper Series (2017) (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 (10)

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 (5)
   See also Working Paper A simple and general approach to fitting the discount curve under no-arbitrage constraints, Economics Working Paper Series (2014) (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 (63)
   See also Working Paper A variance spillover analysis without covariances: what do we miss?, Economics Working Paper Series (2014) (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 (6)
   See also Working Paper Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data, Economics Working Paper Series (2013) (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 (26)
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
    Journal of Financial Econometrics, 2012, 10, (3), 457-493 View citations (8)
    See also Working Paper A dynamic copula approach to recovering the index implied volatility skew, University of St. Gallen Department of Economics working paper series 2010 (2011) View citations (4) (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 (59)
    See also Working Paper Arbitrage-free smoothing of the implied volatility surface, SFB 649 Discussion Papers (2005) (2005)

2007

14. On extracting information implied in options
    Computational Statistics, 2007, 22, (4), 543-553 View citations (19)
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 (4)
    See also Working Paper Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets, Munich Reprints in Economics (2007) View citations (3) (2007)

2006

16. Static versus dynamic hedges: an empirical comparison for barrier options
    Review of Derivatives Research, 2006, 9, (3), 239-264 View citations (13)

2003

17. The Dynamics of Implied Volatilities: A Common Principal Components Approach
    Review of Derivatives Research, 2003, 6, (3), 179-202 View citations (56)
    See also Working Paper The dynamics of implied volatilities: a common principal components approach, Post-Print (2003) View citations (41) (2003)

Undated

18. A semiparametric factor model for implied volatility surface dynamics
    Journal of Financial Econometrics, 5, (2), 189-218 View citations (43)
19. Hedging under alternative stickiness assumptions: an empirical analysis for barrier options
    Journal of Risk