Matthias R. Fengler : Citation Profile


Are you Matthias R. Fengler?

Universität St. Gallen

9

H index

9

i10 index

315

Citations

RESEARCH PRODUCTION:

17

Articles

29

Papers

RESEARCH ACTIVITY:

   22 years (2000 - 2022). See details.
   Cites by year: 14
   Journals where Matthias R. Fengler has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 20 (5.97 %)

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   Permalink: http://citec.repec.org/pfe264
   Updated: 2022-08-06    RAS profile: 2022-03-15    
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Relations with other researchers


Works with:

Härdle, Wolfgang (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Matthias R. Fengler.

Is cited by:

Härdle, Wolfgang (33)

Bernales, Alejandro (8)

Guidolin, Massimo (8)

Kočenda, Evžen (6)

Shang, Han Lin (6)

Weron, Rafał (6)

Giacomini, Enzo (5)

Baruník, Jozef (5)

Audrino, Francesco (4)

mungo, julius (4)

cipollini, andrea (4)

Cites to:

Härdle, Wolfgang (38)

Bollerslev, Tim (33)

Diebold, Francis (27)

Andersen, Torben (24)

Shephard, Neil (20)

Engle, Robert (19)

Corsi, Fulvio (18)

Cao, Charles (17)

Chen, Zhiwu (17)

Hansen, Peter (15)

Lunde, Asger (14)

Main data


Where Matthias R. Fengler has published?


Journals with more than one article published# docs
Review of Derivatives Research3
Journal of Econometrics2
Quantitative Finance2
Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
Economics Working Paper Series / University of St. Gallen, School of Economics and Political Science11
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes7
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany4
IRTG 1792 Discussion Papers / Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"2
University of St. Gallen Department of Economics working paper series 2010 / Department of Economics, University of St. Gallen2

Recent works citing Matthias R. Fengler (2022 and 2021)


YearTitle of citing document
2021Asymmetric short-rate model without lower bound. (2021). Wang, Linqi ; Vrins, Frederic. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021006.

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2022BERT-based Financial Sentiment Index and LSTM-based Stock Return Predictability. (2019). Xu, Yabo ; Wu, QI ; Li, Duan ; Mou, Hao ; Huang, Xin ; Git, Joshua Zoen. In: Papers. RePEc:arx:papers:1906.09024.

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2021Arbitrage-free neural-SDE market models. (2021). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2105.11053.

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2022A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface. (2021). Zhang, Gongqiu ; Li, Lingfei. In: Papers. RePEc:arx:papers:2106.07177.

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2022Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes. (2022). Maurice, Anne-Claire ; Gobet, Emmanuel ; Echenim, Mnacho. In: Papers. RePEc:arx:papers:2207.02989.

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2021Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission. (2021). Arthur, Stalla-Bourdillon ; Lukas, Boeckelmann. In: Working papers. RePEc:bfr:banfra:798.

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2021The joint spillover index. (2021). Wiesen, Thomas ; Lastrapes, William ; Thomas, . In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:681-691.

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2022Identification of structural multivariate GARCH models. (2022). Hafner, Christian ; Maxand, Simone ; Herwartz, Helmut. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:212-227.

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2021Quantile LASSO in arbitrage-free option markets. (2021). MacIak, Matu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:18:y:2021:i:c:p:106-116.

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2021Quantile LASSO with changepoints in panel data models applied to option pricing. (2021). MacIak, Matu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:166-175.

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2021Option valuation under no-arbitrage constraints with neural networks. (2021). Zhai, Jia ; Liu, Xiaoquan ; Cao, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:1:p:361-374.

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2022Forecasting oil and gold volatilities with sentiment indicators under structural breaks. (2022). GUPTA, RANGAN ; Demirer, Riza ; Ji, Qiang ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s014098832100596x.

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2021VCRIX — A volatility index for crypto-currencies. (2021). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Trimborn, Simon ; Kim, Alisa. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002416.

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2021Two decades of contagion effect on stock markets: Which events are more contagious?. (2021). Smaga, Pawe ; Kurowski, Ukasz ; Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s157230892100067x.

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2021Calendar effect and in-sample forecasting. (2021). Vogt, Michael ; Nielsen, Jens Perch ; Martinez-Miranda, Maria Dolores ; Mammen, Enno. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:31-52.

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2021Political uncertainty, COVID-19 pandemic and stock market volatility transmission. (2021). Wohar, Mark ; Gkillas, Konstantinos ; Floros, Christos ; Apostolakis, George N. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001025.

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2022Market-consistent valuation of natural catastrophe risk. (2022). Braun, Alexander ; Beer, Simone. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621003010.

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2021Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies. (2021). Vo, Xuan Vinh ; Kang, Sang Hoon ; Shafiullah, Muhammad ; Mensi, Walid. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420721000192.

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2021Volatility spillovers of A- and B-shares for the Chinese stock market and its impact on the Chinese index returns. (2021). Lee, Hsiu-Chuan ; Liao, Tzu-Hsiang ; Chung, Chien-Ping. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:65:y:2021:i:c:s0927538x20306788.

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2021No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process. (2021). Rathgeber, Andreas W ; Stadler, Johannes ; Ulze, Markus. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:82:y:2021:i:c:p:163-184.

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2021Harnessing the decomposed realized measures for volatility forecasting: Evidence from the US stock market. (2021). Wahab, M. I. M., ; Ding, Hui ; Wang, Jiqian ; Ma, Feng ; Lu, Botao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:672-689.

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2021KRIGING FOR IMPLIED VOLATILITY SURFACE. (2021). Gueye, Djibril ; Cousin, Areski. In: Working Papers. RePEc:hal:wpaper:hal-03274026.

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2021Commodity markets dynamics: What do crosscommodities over different nearest-to-maturities tell us?. (2021). Ben Amar, Amine ; Goutte, Stephane ; Isleimeyyeh, Mohammad. In: Working Papers. RePEc:hal:wpaper:halshs-03211699.

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2022Analysis of Nonlinear Comovement of Benchmark Thai Government Bond Yields. (2022). Khanthaporn, Rewat. In: PIER Discussion Papers. RePEc:pui:dpaper:183.

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2021Explaining S&P500 option returns: an implied risk-adjusted approach. (2021). Volkmann, David. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:29:y:2021:i:2:d:10.1007_s10100-019-00666-5.

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2021Implied volatility estimation of bitcoin options and the stylized facts of option pricing. (2021). Gulzar, Saqib ; Zulfiqar, Noshaba. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00280-y.

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2022Predicting the volatility of crude oil futures: The roles of leverage effects and structural changes. (2022). Lin, Boqiang ; Gong, XU. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:610-640.

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2022Option prices for risk?neutral density estimation using nonparametric methods through big data and large?scale problems. (2022). , Antonio ; Antonio, ; Monteiro, Ana M. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:1:p:152-171.

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Works by Matthias R. Fengler:


YearTitleTypeCited
2018Measuring Spot Variance Spillovers when (Co)variances are Time†varying – The Case of Multivariate GARCH Models In: Oxford Bulletin of Economics and Statistics.
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article4
2016Managing risk with a realized copula parameter In: Computational Statistics & Data Analysis.
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article5
2022Media-expressed tone, option characteristics, and stock return predictability In: Journal of Economic Dynamics and Control.
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article0
2019Media-expressed tone, Option Characteristics, and Stock Return Predictability.(2019) In: IRTG 1792 Discussion Papers.
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This paper has another version. Agregated cites: 0
paper
2015Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints In: Journal of Econometrics.
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article18
2015Specification and structural break tests for additive models with applications to realized variance data In: Journal of Econometrics.
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article7
2015A simple and general approach to fitting the discount curve under no-arbitrage constraints In: Finance Research Letters.
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article4
2014A simple and general approach to fitting the discount curve under no-arbitrage constraints.(2014) In: Economics Working Paper Series.
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This paper has another version. Agregated cites: 4
paper
2015Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data In: Journal of Banking & Finance.
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article2
2013Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data.(2013) In: Economics Working Paper Series.
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This paper has another version. Agregated cites: 2
paper
2015A variance spillover analysis without covariances: What do we miss? In: Journal of International Money and Finance.
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article42
2014A variance spillover analysis without covariances: what do we miss?.(2014) In: Economics Working Paper Series.
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This paper has another version. Agregated cites: 42
paper
2003The dynamics of implied volatilities : a common principal components approach In: Post-Print.
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paper43
2003The Dynamics of Implied Volatilities: A Common Principal Components Approach.(2003) In: Review of Derivatives Research.
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This paper has another version. Agregated cites: 43
article
2001The dynamics of implied volatilities: A common principal components approach.(2001) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 43
paper
2005Arbitrage-Free Smoothing of the Implied Volatility Surface In: SFB 649 Discussion Papers.
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paper48
2009Arbitrage-free smoothing of the implied volatility surface.(2009) In: Quantitative Finance.
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This paper has another version. Agregated cites: 48
article
2005A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics In: SFB 649 Discussion Papers.
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paper7
2005DSFM fitting of Implied Volatility Surfaces In: SFB 649 Discussion Papers.
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paper2
2012Realized Copula In: SFB 649 Discussion Papers.
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paper5
2012Realized Copula.(2012) In: Economics Working Paper Series.
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This paper has another version. Agregated cites: 5
paper
2018GARCH option pricing models with Meixner innovations In: Review of Derivatives Research.
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article0
2017GARCH option pricing models with Meixner innovations.(2017) In: Economics Working Paper Series.
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This paper has another version. Agregated cites: 0
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2006Static versus dynamic hedges: an empirical comparison for barrier options In: Review of Derivatives Research.
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article10
2007Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets In: Munich Reprints in Economics.
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paper4
2007Price variability and price dispersion in a stable monetary environment: evidence from German retail markets.(2007) In: Managerial and Decision Economics.
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This paper has another version. Agregated cites: 4
article
2000Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets.(2000) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 4
paper
2012A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew In: Journal of Financial Econometrics.
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article9
2011A dynamic copula approach to recovering the index implied volatility skew.(2011) In: University of St. Gallen Department of Economics working paper series 2010.
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This paper has another version. Agregated cites: 9
paper
A semiparametric factor model for implied volatility surface dynamics In: Journal of Financial Econometrics.
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article39
2016Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models In: MPRA Paper.
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paper0
2015Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models.(2015) In: Economics Working Paper Series.
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This paper has another version. Agregated cites: 0
paper
2007On extracting information implied in options In: Computational Statistics.
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article12
2011Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis In: Quantitative Finance.
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article0
2010Option data and modeling BSM implied volatility In: University of St. Gallen Department of Economics working paper series 2010.
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paper4
2013Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints In: Economics Working Paper Series.
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paper0
2013Additive modeling of realized variance: tests for parametric specifications and structural breaks In: Economics Working Paper Series.
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paper1
2017Global estimation of realized spot volatility in the presence of price jumps In: Economics Working Paper Series.
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paper0
2018Textual Sentiment, Option Characteristics, and Stock Return Predictability In: Economics Working Paper Series.
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paper20
2018Textual Sentiment, Option Characteristics, and Stock Return Predictability.(2018) In: IRTG 1792 Discussion Papers.
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This paper has another version. Agregated cites: 20
paper
2021Identifying structural shocks to volatility through a proxy-MGARCH model In: Economics Working Paper Series.
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2001The analysis of implied volatilities In: SFB 373 Discussion Papers.
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paper1
2001Multivariate volatility models In: SFB 373 Discussion Papers.
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paper1
2003Correlation Risk Premia for Multi-Asset Equity Options In: SFB 373 Discussion Papers.
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paper3
2003Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface In: SFB 373 Discussion Papers.
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paper0
2003Implied volatility string dynamics In: SFB 373 Discussion Papers.
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paper24

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