Matthias R. Fengler : Citation Profile

Universität St. Gallen

9

H index

9

i10 index

401

Citations

RESEARCH PRODUCTION:

21

Articles

44

Papers

RESEARCH ACTIVITY:

   25 years (2000 - 2025). See details.
   Cites by year: 16
   Journals where Matthias R. Fengler has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 27 (6.31 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfe264
   Updated: 2025-07-12    RAS profile: 2025-06-13    
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Relations with other researchers

Works with:

Koeniger, Winfried (6)

Polivka, Jeannine (4)

Brown, Martin (2)

Lalive, Rafael (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 (43)

Guidolin, Massimo (10)

Bernales, Alejandro (8)

Okhrin, Ostap (7)

Kočenda, Evžen (6)

Weron, Rafał (6)

Shang, Han Lin (6)

Kearney, Fearghal (5)

cipollini, andrea (5)

Cizek, Pavel (5)

Giacomini, Enzo (5)

Cites to:

Härdle, Wolfgang (50)

Bollerslev, Tim (43)

Diebold, Francis (34)

Andersen, Torben (33)

Shephard, Neil (26)

Corsi, Fulvio (25)

Engle, Robert (23)

Chen, Zhiwu (21)

Cao, Charles (21)

Hansen, Peter (19)

Lunde, Asger (17)

Main data

Where Matthias R. Fengler has published?

Journals with more than one article published# docs
Review of Derivatives Research3
Journal of Financial Econometrics3
Quantitative Finance2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Economics Working Paper Series / University of St. Gallen, School of Economics and Political Science15
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes7
Swiss Finance Institute Research Paper Series / Swiss Finance Institute4
SFB 649 Discussion Papers / Humboldt University Berlin, Collaborative Research Center 649: Economic Risk4
University of St. Gallen Department of Economics working paper series 2010 / Department of Economics, University of St. Gallen2
IRTG 1792 Discussion Papers / Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"2

Recent works citing Matthias R. Fengler (2025 and 2024)

YearTitle of citing document
2024No-Arbitrage Deep Calibration for Volatility Smile and Skewness. (2024). Barucca, Paolo ; Hoshisashi, Kentaro ; Phelan, Carolyn E. In: Papers. RePEc:arx:papers:2310.16703.

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2024Risk-Neutral Generative Networks. (2024). Xian, Zhonghao ; Yan, Xing ; Wu, QI ; Leung, Cheuk Hang. In: Papers. RePEc:arx:papers:2405.17770.

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2024A market resilient data-driven approach to option pricing. (2024). Rana, Nimit ; Goswami, Anindya. In: Papers. RePEc:arx:papers:2409.08205.

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2024Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces. (2024). Grzelak, Lech A ; Perotti, Leonardo ; Zaugg, Nicola F. In: Papers. RePEc:arx:papers:2411.04041.

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2025Robust and Fast Bass local volatility. (2024). Feng, Liming ; Yang, Ruozhong ; Che, Charlie ; Qin, Hao. In: Papers. RePEc:arx:papers:2411.04321.

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2025An Optimal Transport approach to arbitrage correction: Application to volatility Stress-Tests. (2025). de Marco, Stefano ; Chevallier, Marius ; L'Evy-Dit, Pierre-Emmanuel. In: Papers. RePEc:arx:papers:2501.12195.

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2025FinTextSim: Enhancing Financial Text Analysis with BERTopic. (2025). Ordieres-Mer, Joaqu'In ; Jehnen, Simon ; Villalba, Javier. In: Papers. RePEc:arx:papers:2504.15683.

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2025Fast Learning in Quantitative Finance with Extreme Learning Machine. (2025). Liu, Shuaiqiang ; Cheng, Xue. In: Papers. RePEc:arx:papers:2505.09551.

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2024Cross-Border Shopping: Evidence and Welfare Implications for Switzerland. (2024). Vogel, Jonathan ; Lein, Sarah ; Burstein, Ariel. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11373.

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2024Navigating Energy Market Cycles: Insights from a Comprehensive Analysis. (2024). Canepa, Alessandra ; Almajali, Awon ; Alqaralleh, Huthaifa. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-05-5.

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2025Adaptive local VAR for dynamic economic policy uncertainty spillover. (2025). Gillmann, Niels ; Okhrin, Ostap. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000744.

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2024Volatility spillovers across the spot and futures oil markets after news announcements. (2024). Wohar, Mark ; Gkillas, Konstantinos ; Apostolakis, George N ; Floros, Christos. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001250.

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2024Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan. (2024). Ruan, Jia ; Ni, Jianhui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300178x.

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2024Evaluation of volatility spillovers for asymmetric realized covariance. (2024). Maki, Daiki. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001025.

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2024Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures. (2024). Li, Yifan ; Pham, Manh Cuong ; Nolte, Ingmar. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000940.

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2024Global contagion of US COVID-19 panic news. (2024). Ho, Young ; Kang, Yong Joo ; Park, Dojoon. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000116.

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2025Implied local volatility models. (2025). Li, Chenxu ; Xu, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001014.

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2024Asymmetric volatility spillover between crude oil and other asset markets. (2024). Xu, Yongdeng ; Guan, Bo ; Mazouz, Khelifa. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000136.

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2024Volatility spillovers and carbon price in the Nordic wholesale electricity markets. (2024). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung Xuan ; Lyu, Chenyan. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002676.

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2024Does high volatility increase connectedness? A study of Asian equity markets. (2024). Wiesen, Thomas ; Afatsao, Richard ; Oliyide, Johnson ; Adekoya, Oluwasegun Babatunde. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006677.

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2024Cross-border shopping: Evidence and welfare implications for Switzerland. (2024). Vogel, Jonathan ; Lein, Sarah ; Burstein, Ariel. In: Journal of International Economics. RePEc:eee:inecon:v:152:y:2024:i:c:s0022199624001429.

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2024Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach. (2024). Ben Amar, Amine ; Bellalah, Makram ; Abricha, Amal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:229-246.

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2024Semantics matter: An empirical study on economic policy uncertainty index. (2024). Huang, Yu-Lieh ; Yang, Fang ; Chen, Chung-Chi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1286-1302.

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2024Transmission of liquidity and credit risks in the Chinese bond market: Analysis based on joint modeling of multiple yield curves. (2024). Hong, Zhiwu ; Lin, Mucai ; Su, GE. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:597-615.

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2024Natural Cubic Spline Approximation of Risk-Neutral Density. (2024). Yang, Jie ; Wang, Fangfang ; Li, Keren ; Jiang, Liyuan ; Zhou, Shuang. In: IJFS. RePEc:gam:jijfss:v:12:y:2024:i:4:p:127-:d:1545889.

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2025Variational Autoencoders for Completing the Volatility Surfaces. (2025). Soh, Celestin Wafo ; Donfack, Hermann Azemtsa ; Nteumagn, Bienvenue Feugang. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:5:p:239-:d:1646358.

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2024Consumption Expenditures in Austria & Germany: New Evidence Based on Transactional Data. (2024). Koeniger, Winfried ; Lehmann, Jonas ; Kress, Peter. In: IZA Discussion Papers. RePEc:iza:izadps:dp17361.

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2024A Semi-Closed Form Approximation of Arbitrage-Free Call Option Price Surface. (2024). Kumar, Sumit ; Tomar, Nutan Kumar ; Kundu, Arindam. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:4:d:10.1007_s10614-023-10368-5.

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2024Using interpolated implied volatility for analysing exogenous market changes. (2024). Vitali, Sebastiano ; MacIak, Matu. In: Computational Management Science. RePEc:spr:comgts:v:21:y:2024:i:1:d:10.1007_s10287-024-00505-2.

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2024Salience theory value spillovers between China’s systemically important banks: evidence from quantile connectedness. (2024). Jin, Xiaoye. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00582-3.

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2024Deterministic modelling of implied volatility in cryptocurrency options with underlying multiple resolution momentum indicator and non-linear machine learning regression algorithm. (2024). Djeng, S K ; Law, M ; Leung, F. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00631-5.

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2024Sentiment-semantic word vectors: A new method to estimate management sentiment. (2024). Phan, Tri Minh. In: Swiss Journal of Economics and Statistics. RePEc:spr:sjecst:v:160:y:2024:i:1:d:10.1186_s41937-024-00126-1.

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2024Navigating Energy Market Cycles: Insights from a Comprehensive Analysis.. (2024). Canepa, Alessandra ; Mutah, Awon Almajali ; Alqaralleh, Huthaifa. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202422.

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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.
[Full Text][Citation analysis]		article8
2024The Transmission of Monetary Policy to the Cost of Hedging In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper0
2025The Transmission of Monetary Policy to the Cost of Hedging.(2025) In: Swiss Finance Institute Research Paper Series.
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This paper has nother version. Agregated cites: 0		paper
2025The Transmission of Monetary Policy to the Cost of Hedging.(2025) In: Economics Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2024The transmission of monetary policy to the cost of hedging.(2024) In: CFS Working Paper Series.
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This paper has nother version. Agregated cites: 0		paper
2024Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2025Unveiling themes in 10-K disclosures: A new topic modeling perspective.(2025) In: International Review of Financial Analysis.
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This paper has nother version. Agregated cites: 0		article
2024Proxy-identification of a structural MGARCH model for asset returns In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2024Proxy-identification of a structural MGARCH model for asset returns.(2024) In: Economics Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2024Structural Volatility Impulse Response Analysis In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2025Structural Volatility Impulse Response Analysis.(2025) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2022Structural Volatility Impulse Response Analysis.(2022) In: Economics Working Paper Series.
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This paper has nother version. Agregated cites: 1		paper
2016Managing risk with a realized copula parameter In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article7
2022Media-expressed tone, option characteristics, and stock return predictability In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
2019Media-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: 2		paper
2015Semi-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]		article26
2015Specification and structural break tests for additive models with applications to realized variance data In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2015A simple and general approach to fitting the discount curve under no-arbitrage constraints In: Finance Research Letters.
[Full Text][Citation analysis]		article5
2014A 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: 5		paper
2015Are 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]		article3
2013Are 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
2015A variance spillover analysis without covariances: What do we miss? In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article62
2014A 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: 62		paper
2003The dynamics of implied volatilities : a common principal components approach In: Post-Print.
[Citation analysis]		paper53
2003The 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: 53		article
2001The 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: 53		paper
2005Arbitrage-Free Smoothing of the Implied Volatility Surface In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper8
2005A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper8
2005DSFM fitting of Implied Volatility Surfaces In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper2
2012Realized Copula In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper6
2018GARCH option pricing models with Meixner innovations In: Review of Derivatives Research.
[Full Text][Citation analysis]		article0
2017GARCH option pricing models with Meixner innovations.(2017) In: Economics Working Paper Series.
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This paper has nother version. Agregated cites: 0		paper
2006Static versus dynamic hedges: an empirical comparison for barrier options In: Review of Derivatives Research.
[Full Text][Citation analysis]		article12
2007Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets In: Munich Reprints in Economics.
[Citation analysis]		paper4
2007Price 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
2000Price 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
2012A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
A semiparametric factor model for implied volatility surface dynamics In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article39
2016Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2015Measuring 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
Hedging under alternative stickiness assumptions: an empirical analysis for barrier options In: Journal of Risk.
[Full Text][Citation analysis]		article0
2007On extracting information implied in options In: Computational Statistics.
[Full Text][Citation analysis]		article16
2023Monitoring consumption Switzerland: data, background, and use cases In: Swiss Journal of Economics and Statistics.
[Full Text][Citation analysis]		article3
2023Monitoring Consumption Switzerland: Data, Background, and Use Cases.(2023) In: Economics Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2011Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2009Arbitrage-free smoothing of the implied volatility surface In: Quantitative Finance.
[Full Text][Citation analysis]		article59
2005Arbitrage-free smoothing of the implied volatility surface.(2005) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 59		paper
2010Option data and modeling BSM implied volatility In: University of St. Gallen Department of Economics working paper series 2010.
[Full Text][Citation analysis]		paper5
2013Semi-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]		paper0
2012Realized Copula In: Economics Working Paper Series.
[Full Text][Citation analysis]		paper1
2012Realized copula.(2012) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2013Additive modeling of realized variance: tests for parametric specifications and structural breaks In: Economics Working Paper Series.
[Full Text][Citation analysis]		paper1
2017Global estimation of realized spot volatility in the presence of price jumps In: Economics Working Paper Series.
[Full Text][Citation analysis]		paper0
2018Textual Sentiment, Option Characteristics, and Stock Return Predictability In: Economics Working Paper Series.
[Full Text][Citation analysis]		paper20
2018Textual 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
2023A Topic Model for 10-K Management Disclosures In: Economics Working Paper Series.
[Full Text][Citation analysis]		paper2
2001The analysis of implied volatilities In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]		paper1
2001Multivariate volatility models In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]		paper1
2003Correlation Risk Premia for Multi-Asset Equity Options In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]		paper3
2003Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]		paper1
2003Implied volatility string dynamics In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]		paper26
2005A dynamic semiparametric factor model for implied volatility string dynamics In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2005DSFM fitting of implied volatility surfaces In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2022Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model In: VfS Annual Conference 2022 (Basel): Big Data in Economics.
[Full Text][Citation analysis]		paper0

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