9
H index
9
i10 index
347
Citations
Matthias R. Fengler : Citation Profile
Universität St. Gallen | RESEARCH PRODUCTION: 18 Articles 33 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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23 years (2000 - 2023). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Matthias R. Fengler. | Is cited by:
| Cites to:
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Main data
Where Matthias R. Fengler has published?
| Journals with more than one article published | # docs |
|---|---|
| Review of Derivatives Research | 3 |
| Quantitative Finance | 2 |
| The Journal of Financial Econometrics | 2 |
| Journal of Econometrics | 2 |
Recent works citing Matthias R. Fengler (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility. (2020). Ogetbil, Orcan. In: Papers. RePEc:arx:papers:2005.05530. Full description at Econpapers || Download paper |
| 2023 | Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808. Full description at Econpapers || Download paper |
| 2023 | FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs. (2023). Bergeron, Maxime ; Jaimungal, Sebastian ; Choudhary, Vedant. In: Papers. RePEc:arx:papers:2303.00859. Full description at Econpapers || Download paper |
| 2023 | No-Arbitrage Deep Calibration for Volatility Smile and Skewness. (2023). Phelan, Carolyn E ; Hoshisashi, Kentaro ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2310.16703. Full description at Econpapers || Download paper |
| 2023 | Asymmetric volatility spillover between crude oil and other asset markets. (2023). Mazouz, Khelifa ; Guan, BO ; Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/27. Full description at Econpapers || Download paper |
| 2023 | Quantile spillovers and connectedness analysis between oil and African stock markets. (2023). Kang, Sang Hoon ; Vo, Xuan Vinh ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:60-83. Full description at Econpapers || Download paper |
| 2023 | Higher-order moments and co-moments contribution to spillover analysis and portfolio risk management. (2023). Bouri, Elie ; Nekhili, Ramzi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000944. Full description at Econpapers || Download paper |
| 2023 | The empirical performance of option implied volatility surface-driven optimal portfolios. (2023). Guidolin, Massimo ; Wang, Kai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:618:y:2023:i:c:s0378437123000511. Full description at Econpapers || Download paper |
| 2023 | Spillovers in the joint system of conditional higher-order moments: US evidence from green energy, brown energy, and technology stocks. (2023). Bouri, Elie. In: Renewable Energy. RePEc:eee:renene:v:210:y:2023:i:c:p:507-523. Full description at Econpapers || Download paper |
| 2023 | Investment disputes and their explicit role in option market uncertainty and overall risk instability. (2023). Vitali, Sebastiano ; Peta, Michal ; MacIak, Matu ; Kopa, Milo ; Drabek, Zdenk. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00447-1. Full description at Econpapers || Download paper |
| 2023 | Implied volatility smoothing at COVID-19 times. (2023). Giana, Gabriele ; Kopa, Milo ; Vitali, Sebastiano. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00465-z. Full description at Econpapers || Download paper |
| 2023 | Hedging At-the-money Digital Options Near Maturity. (2023). Oviedo, Rodolfo ; Ortiz-Gracia, Luis ; Blanc-Blocquel, Augusto. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-10013-6. Full description at Econpapers || Download paper |
| 2023 | Bayesian uncertainty quantification of local volatility model. (2023). Mondal, Anirban ; Yin, Kai. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00286-1. Full description at Econpapers || Download paper |
| 2023 | Cryptocurrency Connectedness: Does Controlling for the Cross-Correlations Matter?. (2023). Wiesen, Thomas ; Bharadwaj, Lakshya. In: Applied Economics Letters. RePEc:taf:apeclt:v:30:y:2023:i:20:p:2873-2880. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
Works by Matthias R. Fengler:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2018 | Measuring Spot Variance Spillovers when (Co)variances are Time†varying – The Case of Multivariate GARCH Models In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 7 |
| 2016 | Managing risk with a realized copula parameter In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 6 |
| 2022 | Media-expressed tone, option characteristics, and stock return predictability In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
| 2019 | Media-expressed tone, Option Characteristics, and Stock Return Predictability.(2019) In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2015 | Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints In: Journal of Econometrics. [Full Text][Citation analysis] | article | 20 |
| 2015 | Specification and structural break tests for additive models with applications to realized variance data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 7 |
| 2015 | A simple and general approach to fitting the discount curve under no-arbitrage constraints In: Finance Research Letters. [Full Text][Citation analysis] | article | 4 |
| 2014 | A simple and general approach to fitting the discount curve under no-arbitrage constraints.(2014) In: Economics Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2015 | Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 3 |
| 2013 | Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data.(2013) In: Economics Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2015 | A variance spillover analysis without covariances: What do we miss? In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 51 |
| 2014 | A variance spillover analysis without covariances: what do we miss?.(2014) In: Economics Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | paper | |
| 2003 | The dynamics of implied volatilities : a common principal components approach In: Post-Print. [Citation analysis] | paper | 46 |
| 2003 | The Dynamics of Implied Volatilities: A Common Principal Components Approach.(2003) In: Review of Derivatives Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | article | |
| 2001 | The dynamics of implied volatilities: A common principal components approach.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
| 2005 | Arbitrage-Free Smoothing of the Implied Volatility Surface In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 55 |
| 2009 | Arbitrage-free smoothing of the implied volatility surface.(2009) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 55 | article | |
| 2005 | A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
| 2005 | DSFM fitting of Implied Volatility Surfaces In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Realized Copula In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
| 2012 | Realized Copula.(2012) In: Economics Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2018 | GARCH option pricing models with Meixner innovations In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 0 |
| 2017 | GARCH option pricing models with Meixner innovations.(2017) In: Economics Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2006 | Static versus dynamic hedges: an empirical comparison for barrier options In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 12 |
| 2007 | Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets In: Munich Reprints in Economics. [Citation analysis] | paper | 4 |
| 2007 | Price variability and price dispersion in a stable monetary environment: evidence from German retail markets.(2007) In: Managerial and Decision Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2000 | Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2012 | A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 9 |
| 2011 | A dynamic copula approach to recovering the index implied volatility skew.(2011) In: University of St. Gallen Department of Economics working paper series 2010. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| A semiparametric factor model for implied volatility surface dynamics In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 39 | |
| 2016 | Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models.(2015) In: Economics Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2007 | On extracting information implied in options In: Computational Statistics. [Full Text][Citation analysis] | article | 14 |
| 2023 | Monitoring consumption Switzerland: data, background, and use cases In: Swiss Journal of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2023 | Monitoring Consumption Switzerland: Data, Background, and Use Cases.(2023) In: Economics Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2011 | Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2010 | Option data and modeling BSM implied volatility In: University of St. Gallen Department of Economics working paper series 2010. [Full Text][Citation analysis] | paper | 4 |
| 2013 | Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints In: Economics Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Additive modeling of realized variance: tests for parametric specifications and structural breaks In: Economics Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Global estimation of realized spot volatility in the presence of price jumps In: Economics Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Textual Sentiment, Option Characteristics, and Stock Return Predictability In: Economics Working Paper Series. [Full Text][Citation analysis] | paper | 20 |
| 2018 | Textual Sentiment, Option Characteristics, and Stock Return Predictability.(2018) In: IRTG 1792 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2021 | Identifying structural shocks to volatility through a proxy-MGARCH model In: Economics Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | ||
| 2022 | Structural Volatility Impulse Response Analysis In: Economics Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2023 | A Topic Model for 10-K Management Disclosures In: Economics Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2001 | The analysis of implied volatilities In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2001 | Multivariate volatility models In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Correlation Risk Premia for Multi-Asset Equity Options In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2003 | Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Implied volatility string dynamics In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 24 |
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