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Matthias R. Fengler
Matthias R. Fengler
Professor of Econometrics, St. Gallen University (HSG)
Verified email at unisg.ch - Homepage
Title
Cited by
Cited by
Year
Arbitrage-free smoothing of the implied volatility surface
MR Fengler
Quantitative Finance 9 (4), 417-428, 2009
2172009
Semiparametric modeling of implied volatility
MR Fengler
Springer Science & Business Media, 2005
1882005
The dynamics of implied volatilities: A common principal components approach
MR Fengler, WK Härdle, C Villa
Review of Derivatives Research 6, 179-202, 2003
1662003
A semiparametric factor model for implied volatility surface dynamics
MR Fengler, WK Härdle, E Mammen
Journal of Financial Econometrics 5 (2), 189-218, 2007
1592007
A variance spillover analysis without covariances: what do we miss?
MR Fengler, KIM Gisler
Journal of International Money and Finance 51, 174-195, 2015
932015
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
MR Fengler, LY Hin
Journal of Econometrics 184 (2), 242-261, 2015
68*2015
On extracting information implied in options
M Benko, MR Fengler, W Härdle, M Kopa
Computational Statistics 22 (4), 543-553, 2007
512007
Option data and modeling BSM implied volatility
MR Fengler
Handbook of computational finance, 117-142, 2011
472011
Static versus dynamic hedges: an empirical comparison for barrier options
B Engelmann, MR Fengler, M Nalholm, P Schwendner
Review of Derivatives Research 9, 239-264, 2006
472006
Managing risk with a realized copula parameter
MR Fengler, O Okhrin
Computational Statistics & Data Analysis 100, 131-152, 2016
45*2016
Common factors governing VDAX movements and the maximum loss
M Fengler, W Härdle, P Schmidt
Financial Markets and Portfolio Management 16 (1), 16, 2002
422002
Hedging under alternative stickiness assumptions: an empirical analysis for barrier options
B Engelmann, MR Fengler, P Schwendner
Journal of Risk 12 (1), 53-77, 2009
29*2009
Quoting multiasset equity options in the presence of errors from estimating correlations
MR Fengler, P Schwendner
Journal of Derivatives 11 (4), 43, 2004
24*2004
The Analysis of Implied Volatilities
MR Fengler, W Härdle, P Schmidt
Applied Quantitative Finance: Theory and Computational Tools, 127-144, 2002
23*2002
Media-expressed tone, option characteristics, and stock return predictability
CYH Chen, MR Fengler, WK Härdle, Y Liu
Journal of Economic Dynamics and Control 134, 2022
18*2022
Price-setting and price-adjustment behavior for fast-moving consumer goods
M Fengler, J Winter
ZUMA Symposium on Consumer Panel Data 7, 95-113, 2001
182001
Specification and structural break tests for additive models with applications to realized variance data
MR Fengler, E Mammen, M Vogt
Journal of Econometrics 188 (1), 196-218, 2015
16*2015
Measuring spot variance spillovers when (co) variances are time-varying–the case of multivariate GARCH models
MR Fengler, H Herwartz
Oxford Bulletin of Economics and Statistics 80 (1), 135-159, 2018
152018
Multivariate volatility models
MR Fengler, H Herwartz, FHC Raters
Applied quantitative finance, 25-37, 2017
132017
Least squares kernel smoothing of the implied volatility smile
MR Fengler, Q Wang
Applied Quantitative Finance, 193-207, 2009
13*2009
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