Matthias R. Fengler : Citation Profile


Are you Matthias R. Fengler?

Universität St. Gallen

7

H index

4

i10 index

185

Citations

RESEARCH PRODUCTION:

16

Articles

26

Papers

RESEARCH ACTIVITY:

   18 years (2000 - 2018). See details.
   Cites by year: 10
   Journals where Matthias R. Fengler has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 19 (9.31 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfe264
   Updated: 2019-12-07    RAS profile: 2019-09-26    
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Relations with other researchers


Works with:

Audrino, Francesco (2)

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 (26)

Kočenda, Evžen (5)

Baruník, Jozef (5)

Bernales, Alejandro (5)

Guidolin, Massimo (5)

Stentoft, Lars (4)

Cizek, Pavel (4)

mungo, julius (4)

Skiadopoulos, George (4)

Alexander, Carol (4)

Vacha, Lukas (4)

Cites to:

Härdle, Wolfgang (41)

Bollerslev, Tim (30)

Diebold, Francis (25)

Andersen, Torben (23)

Shephard, Neil (19)

Engle, Robert (18)

Corsi, Fulvio (15)

Hansen, Peter (14)

Ait-Sahalia, Yacine (13)

Lunde, Asger (13)

Christoffersen, Peter (12)

Main data


Where Matthias R. Fengler has published?


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

Working Papers Series with more than one paper published# docs
Economics Working Paper Series / University of St. Gallen, School of Economics and Political Science10
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
University of St. Gallen Department of Economics working paper series 2010 / Department of Economics, University of St. Gallen2

Recent works citing Matthias R. Fengler (2018 and 2017)


YearTitle of citing document
2017Relation between regional uncertainty spillovers in the global banking system. (2017). Aste, Tomaso ; Caccioli, Fabio ; Tungsong, Sachapon . In: Papers. RePEc:arx:papers:1702.05944.

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2017Closed-form Solutions of Relativistic Black-Scholes Equations. (2017). Rojas, Randall R ; QU, Yanlin . In: Papers. RePEc:arx:papers:1711.04219.

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2019A Probabilistic Approach to Nonparametric Local Volatility. (2019). Roberts, Stephen ; Tegn, Martin. In: Papers. RePEc:arx:papers:1901.06021.

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2019BERT-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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2019Implied volatility surface predictability: the case of commodity markets. (2019). Shang, Han Lin ; Sheenan, Lisa ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:1909.11009.

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2017The Role of U.S. Market on International Risk-Return Tradeoff Relations. (2017). Sun, Licheng ; Najand, Mohammad ; Meng, Liang . In: The Financial Review. RePEc:bla:finrev:v:52:y:2017:i:3:p:499-526.

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2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

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2017Robust estimators under a functional common principal components model. (2017). Bali, Juan Lucas ; Boente, Graciela. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:113:y:2017:i:c:p:424-440.

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2019It only takes a few moments to hedge options. (2019). Santucci de Magistris, Paolo ; Sloth, David ; Barletta, Andrea. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:251-269.

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2017How should a local regime-switching model be calibrated?. (2017). He, Xin-Jiang ; Zhu, Song-Ping. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:78:y:2017:i:c:p:149-163.

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2018Risk aversion connectedness in five European countries. (2018). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:68-79.

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2017Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?. (2017). Baruník, Jozef ; Apergis, Nicholas ; Keung, Marco Chi. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:108-115.

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2017Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis. (2017). Shahzad, Syed Jawad Hussain ; Umar, Zaghum ; Ballester, Laura ; Ferrer, Roman ; Hussain, Syed Jawad. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:9-26.

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2018Asymmetric semi-volatility spillover effects in EMU stock markets. (2018). cipollini, andrea ; Muzzioli, Silvia ; Caloia, Francesco Giuseppe. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:221-230.

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2019Good and bad volatility spillovers: An asymmetric connectedness. (2019). Bensaida, Ahmed. In: Journal of Financial Markets. RePEc:eee:finmar:v:43:y:2019:i:c:p:78-95.

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2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Molnár, Peter ; Lyócsa, Štefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247.

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2018The dynamics of volatility connectedness in international real estate investment trusts. (2018). Liow, Kim Hiang ; Huang, Yuting. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:195-210.

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2018The intraday volatility spillover index approach and an application in the Brexit vote. (2018). Nishimura, Yusaku ; Sun, Bianxia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:241-253.

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2019Exchange rate comovements, hedging and volatility spillovers on new EU forex markets. (2019). Kočenda, Evžen ; Moravcova, Michala ; Koenda, Even. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:42-64.

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2019Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed?. (2019). Bonato, Matteo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:184-202.

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2017A vector heterogeneous autoregressive index model for realized volatility measures. (2017). Hecq, Alain ; Guardabascio, Barbara ; Cubadda, Gianluca. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:337-344.

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2017Round prices and price rigidity: Evidence from outlawing odd prices. (2017). Ater, Itai ; Gerlitz, Omri. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:144:y:2017:i:c:p:188-203.

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2017Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even ; Barunik, Jozef. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:39-56.

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2019Dynamic asymmetric spillovers and volatility interdependence on China’s stock market. (2019). Qu, Fang ; Li, Wenqi ; Chen, Yufeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:825-838.

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2018Asymmetric and nonlinear inter-relations of US stock indices. (2018). Gkillas (Gillas), Konstantinos ; Svingou, Argyro ; Syriopoulos, Costas ; Vortelinos, Dimitrios. In: International Journal of Managerial Finance. RePEc:eme:ijmfpp:ijmf-02-2017-0018.

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2017The Realized Hierarchical Archimedean Copula in Risk Modelling. (2017). Okhrin, Ostap ; Tetereva, Anastasija. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:26-:d:101602.

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2017Recent Developments in Copula Models. (2017). Fermanian, Jean-David. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:34-:d:105663.

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2018Asymptotic Expansion of Risk-Neutral Pricing Density. (2018). Mazzoni, Thomas. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:1:p:30-:d:135806.

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2019Arbitrage Free Approximations to Candidate Volatility Surface Quotations. (2019). Schoutens, Wim ; Madan, Dilip B. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:69-:d:224708.

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2019Sound Deposit Insurance Pricing Using a Machine Learning Approach. (2019). Badamchizadeh, Abdolrahim ; Pouralizadeh, Mostafa ; Assa, Hirbod. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:45-:d:224369.

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2018The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

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2019Option Implied Risk-Neutral Density Estimation: A Robust and Flexible Method. (2019). Tomar, Nutan Kumar ; Kumar, Sumit ; Kundu, Arindam. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9846-1.

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2017Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kocenda, Evzen ; Baruník, Jozef. In: KIER Working Papers. RePEc:kyo:wpaper:956.

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2018Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector. (2018). Hecq, Alain ; Cubadda, Gianluca ; Riccardo, Antonio. In: CEIS Research Paper. RePEc:rtv:ceisrp:445.

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2017Implied volatility and state price density estimation: arbitrage analysis. (2017). Kopa, Milo ; Hendrych, Radek ; Tich, Toma ; Vitali, Sebastiano. In: Computational Management Science. RePEc:spr:comgts:v:14:y:2017:i:4:d:10.1007_s10287-017-0283-8.

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2018Modeling and implementation of local volatility surfaces in Bayesian framework. (2018). Animoku, Abdulwahab ; Yolcu-Okur, Yeliz ; Uur, Omur. In: Computational Management Science. RePEc:spr:comgts:v:15:y:2018:i:2:d:10.1007_s10287-018-0302-4.

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2017Volatility spillover effects in interbank money markets. (2017). Ribeiro, Pedro Pires ; Curto, Jose Dias . In: Review of World Economics (Weltwirtschaftliches Archiv). RePEc:spr:weltar:v:153:y:2017:i:1:d:10.1007_s10290-016-0268-7.

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2017Commodity currencies and commodity prices: modelling static and time-varying dependence. (2017). Ponomareva, Natalia ; Ignatieva, Katja. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:15:p:1491-1512.

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2017Pricing and hedging contingent claims using variance and higher order moment swaps. (2017). Tzavalis, Elias ; Rompolis, Leonidas. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:4:p:531-550.

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2017The shape of small sample biases in pricing kernel estimations. (2017). , Dietmar. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:6:p:943-958.

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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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article1
2016Managing risk with a realized copula parameter In: Computational Statistics & Data Analysis.
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article3
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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article8
2015Specification and structural break tests for additive models with applications to realized variance data In: Journal of Econometrics.
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article2
2015A simple and general approach to fitting the discount curve under no-arbitrage constraints In: Finance Research Letters.
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article2
2014A simple and general approach to fitting the discount curve under no-arbitrage constraints.(2014) In: Economics Working Paper Series.
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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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article0
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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2015A variance spillover analysis without covariances: What do we miss? In: Journal of International Money and Finance.
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2014A variance spillover analysis without covariances: what do we miss?.(2014) In: Economics Working Paper Series.
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2003The dynamics of implied volatilities : a common principal components approach In: Post-Print.
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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: 34
article
2001The dynamics of implied volatilities: A common principal components approach.(2001) In: SFB 373 Discussion Papers.
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2005Arbitrage-Free Smoothing of the Implied Volatility Surface In: SFB 649 Discussion Papers.
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2009Arbitrage-free smoothing of the implied volatility surface.(2009) In: Quantitative Finance.
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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
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2018GARCH option pricing models with Meixner innovations In: Review of Derivatives Research.
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2017GARCH option pricing models with Meixner innovations.(2017) In: Economics Working Paper Series.
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2006Static versus dynamic hedges: an empirical comparison for barrier options In: Review of Derivatives Research.
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article5
2007Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets In: Munich Reprints in Economics.
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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: 3
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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: 3
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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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article9
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
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2007On extracting information implied in options In: Computational Statistics.
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article7
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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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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paper1
2001The analysis of implied volatilities In: SFB 373 Discussion Papers.
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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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2003Implied volatility string dynamics In: SFB 373 Discussion Papers.
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