Matthias R. Fengler
Names
| first: |
Matthias |
| middle: |
R. |
| last: |
Fengler |
Identifer
Contact
Affiliations
-
Universität St. Gallen
/ School of Economics and Political Science
/ Fachbereich für Mathematik und Statistik
Research profile
author of:
- Measuring Spot Variance Spillovers when (Co)variances are Time†varying – The Case of Multivariate GARCH Models (RePEc:bla:obuest:v:80:y:2018:i:1:p:135-159)
by Matthias R. Fengler & Helmut Herwartz - Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective (RePEc:chf:rpseri:rp24106)
by Matthias R. Fengler & Minh Tri Phan - Proxy-identification of a structural MGARCH model for asset returns (RePEc:chf:rpseri:rp2455)
by Matthias R. Fengler & Jeannine Polivka - Structural Volatility Impulse Response Analysis (RePEc:chf:rpseri:rp2463)
by Matthias R. Fengler & Jeannine Polivka - Managing risk with a realized copula parameter (RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152)
by Fengler, Matthias R. & Okhrin, Ostap - Media-expressed tone, option characteristics, and stock return predictability (RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002256)
by Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu - Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints (RePEc:eee:econom:v:184:y:2015:i:2:p:242-261)
by Fengler, Matthias R. & Hin, Lin-Yee - Specification and structural break tests for additive models with applications to realized variance data (RePEc:eee:econom:v:188:y:2015:i:1:p:196-218)
by Fengler, M.R. & Mammen, E. & Vogt, M. - A simple and general approach to fitting the discount curve under no-arbitrage constraints (RePEc:eee:finlet:v:15:y:2015:i:c:p:78-84)
by Fengler, Matthias R. & Hin, Lin-Yee - Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data (RePEc:eee:jbfina:v:61:y:2015:i:c:p:46-63)
by Audrino, Francesco & Fengler, Matthias R. - A variance spillover analysis without covariances: What do we miss? (RePEc:eee:jimfin:v:51:y:2015:i:c:p:174-195)
by Fengler, Matthias R. & Gisler, Katja I.M. - The dynamics of implied volatilities : a common principal components approach (RePEc:hal:journl:halshs-00069509)
by Christophe Villa & M.R. Fengler & W.K. Hardle - Unknown item RePEc:hum:wpaper:sfb649dp2005-019 (paper)
- Unknown item RePEc:hum:wpaper:sfb649dp2005-020 (paper)
- Unknown item RePEc:hum:wpaper:sfb649dp2005-022 (paper)
- Unknown item RePEc:hum:wpaper:sfb649dp2012-034 (paper)
- GARCH option pricing models with Meixner innovations (RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-017-9141-7)
by Matthias R. Fengler & Alexander Melnikov - The Dynamics of Implied Volatilities: A Common Principal Components Approach (RePEc:kap:revdev:v:6:y:2003:i:3:p:179-202)
by Matthias Fengler & Wolfgang Härdle & Christophe Villa - Static versus dynamic hedges: an empirical comparison for barrier options (RePEc:kap:revdev:v:9:y:2006:i:3:p:239-264)
by Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner - Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets (RePEc:lmu:muenar:20338)
by Fengler, Matthias R. & Winter, Joachim - A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew (RePEc:oup:jfinec:v:10:y:2012:i:3:p:457-493)
by Matthias R. Fengler & Helmut Herwartz & Christian Werner - A semiparametric factor model for implied volatility surface dynamics (RePEc:oup:jfinec:v:5:y::i:2:p:189-218)
by Matthias R. Fengler & Wolfgang K. Härdle & Enno Mammen - Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models (RePEc:pra:mprapa:72197)
by Fengler, Matthias R. & Herwartz, Helmut - On extracting information implied in options (RePEc:spr:compst:v:22:y:2007:i:4:p:543-553)
by M. Benko & M. Fengler & W. Härdle & M. Kopa - Monitoring consumption Switzerland: data, background, and use cases (RePEc:spr:sjecst:v:159:y:2023:i:1:d:10.1186_s41937-023-00108-9)
by Martin Brown & Matthias R. Fengler & Jonas Huwyler & Winfried Koeniger & Rafael Lalive & Robert Rohrkemper - Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis (RePEc:taf:quantf:v:11:y:2011:i:5:p:711-727)
by Jan Maruhn & Morten Nalholm & Matthias Fengler - Arbitrage-free smoothing of the implied volatility surface (RePEc:taf:quantf:v:9:y:2009:i:4:p:417-428)
by Matthias Fengler - Option data and modeling BSM implied volatility (RePEc:usg:dp2010:2010-32)
by Matthias Fengler - A dynamic copula approach to recovering the index implied volatility skew (RePEc:usg:dp2010:2010-33)
by Matthias Fengler & Helmut Herwartz & Christian Werner - Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints (RePEc:usg:econwp:2011:36)
by Fengler, Matthias & Hin, Lin-Yee - Realized Copula (RePEc:usg:econwp:2012:14)
by Fengler, Matthias & Okhrin, Ostap - Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data (RePEc:usg:econwp:2013:11)
by Audrino, Francesco & Fengler, Matthias - Additive modeling of realized variance: tests for parametric specifications and structural breaks (RePEc:usg:econwp:2013:32)
by Fengler, Matthias R. & Mammen, Enno & Vogt, Michael - A variance spillover analysis without covariances: what do we miss? (RePEc:usg:econwp:2014:09)
by Fengler, Matthias R. & Gisler, Katja I. M. - A simple and general approach to fitting the discount curve under no-arbitrage constraints (RePEc:usg:econwp:2014:23)
by Fengler, Matthias R. & Hin, Lin-Yee - Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models (RePEc:usg:econwp:2015:17)
by Fengler, Matthias R. & Herwartz, Helmut - GARCH option pricing models with Meixner innovations (RePEc:usg:econwp:2017:02)
by Fengler, Matthias & Melnikov, Alexander - Global estimation of realized spot volatility in the presence of price jumps (RePEc:usg:econwp:2017:15)
by Dare, Wale & Fengler, Matthias - Textual Sentiment, Option Characteristics, and Stock Return Predictability (RePEc:usg:econwp:2018:08)
by Yi-Hsuan Chen, Cathy & Fengler, Matthias & Härdle, Wolfgang Karl & Liu, Yanchu - Proxy-identification of a structural MGARCH model for asset returns (RePEc:usg:econwp:2021:03)
by Fengler, Matthias & Polivka, Jeannine - Structural Volatility Impulse Response Analysis (RePEc:usg:econwp:2022:11)
by Fengler, Matthias & Polivka, Jeannine - Monitoring Consumption Switzerland: Data, Background, and Use Cases (RePEc:usg:econwp:2023:01)
by Brown, Martin & Fengler, Matthias & Huwyler, Jonas & Koeniger, Winfried & Lalive, Rafael & Rohrkemper, Robert - A Topic Model for 10-K Management Disclosures (RePEc:usg:econwp:2023:07)
by Fengler, Matthias & Phan, Minh Tri - Price variability and price dispersion in a stable monetary environment: evidence from German retail markets (RePEc:wly:mgtdec:v:28:y:2007:i:7:p:789-801)
by Matthias R. Fengler & Joachim K. Winter - Textual Sentiment, Option Characteristics, and Stock Return Predictability (RePEc:zbw:irtgdp:2018023)
by Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu - Media-expressed tone, Option Characteristics, and Stock Return Predictability (RePEc:zbw:irtgdp:2019015)
by Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu - Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets (RePEc:zbw:sfb373:200090)
by Fengler, Matthias R. & Winter, Joachim K. - The dynamics of implied volatilities: A common principal components approach (RePEc:zbw:sfb373:200138)
by Fengler, Matthias R. & Härdle, Wolfgang Karl & Villa, Christophe - The analysis of implied volatilities (RePEc:zbw:sfb373:200173)
by Fengler, Matthias R. & Härdle, Wolfgang & Schmidt, Peter - Multivariate volatility models (RePEc:zbw:sfb373:200174)
by Fengler, Matthias R. & Herwartz, Helmut - Correlation Risk Premia for Multi-Asset Equity Options (RePEc:zbw:sfb373:200310)
by Fengler, Matthias R. & Schwendner, Peter - Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface (RePEc:zbw:sfb373:200325)
by Fengler, Matthias R. & Wang, Qihua - Implied volatility string dynamics (RePEc:zbw:sfb373:200354)
by Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno - Arbitrage-free smoothing of the implied volatility surface (RePEc:zbw:sfb649:sfb649dp2005-019)
by Fengler, Matthias R. - A dynamic semiparametric factor model for implied volatility string dynamics (RePEc:zbw:sfb649:sfb649dp2005-020)
by Fengler, Matthias R. & Härdle, Wolfgang Karl & Mammen, Enno - DSFM fitting of implied volatility surfaces (RePEc:zbw:sfb649:sfb649dp2005-022)
by Borak, Szymon & Fengler, Matthias R. & Härdle, Wolfgang Karl - Realized copula (RePEc:zbw:sfb649:sfb649dp2012-034)
by Fengler, Matthias R. & Okhrin, Ostap - Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model (RePEc:zbw:vfsc22:264010)
by Fengler, Matthias & Polivka, Jeanine