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Fengler, Matthias R.


 SSRN Author Rank: 32,789 by Downloads
 Assistant Professor
 

University of St. Gallen - School of Economics and Political Science


 Bodanstrasse 6
 CH-9000 St. Gallen, 9000
 Switzerland
 HOME PAGE: http://www.mathstat.unisg.ch/fengler
 email address

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. Fengler, Matthias R.'s Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
764
Total
Citations
3
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Option Data and Modeling BSM Implied Volatility | Show Abstract | Download This Paper |
HANDBOOK OF COMPUTATIONAL FINANCE, Springer-Verlag, Chapter 6, pp.117-142, edited by Jin-Chuan Duan, Wolfgang Karl Härdle, James E. Gentle, 2012
Number of Pages in PDF File: 26
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Posted:
05 Sep 11
Last Revised:
01 Nov 13
430
(40,584)
3

2.  
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Hin, Lin-Yee
Department of Mathematics & Statistics, Curtin University
Posted:
17 Aug 11
Last Revised:
19 Mar 15
168
(112,632)
 

3.  
A Variance Spillover Analysis Without Covariances: What Do We Miss? | Show Abstract | Download This Paper |
Journal of International Money and Finance, Vol. 51, pp. 174-195, 2015
Number of Pages in PDF File: 32
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Gisler, Katja I. M.
University of St. Gallen
Posted:
30 Apr 14
Last Revised:
01 Feb 15
63
(225,024)
 

4.  
Audrino, Francesco
University of St. Gallen
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Posted:
27 Apr 13
Last Revised:
27 Aug 13
38
(281,120)
 

5.  
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Hin, Lin-Yee
Department of Mathematics & Statistics, Curtin University
Posted:
12 Aug 14
35
(289,555)
 

6.  
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Mammen, Enno
University of Mannheim - Department of Economics
Vogt, Michael
University of Cambridge
Posted:
01 Nov 13
30
(305,104)
 

7.  
Managing Risk with a Realized Copula Parameter | Show Abstract |
Computational Statistics & Data Analysis, 2014 (Forthcoming)
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Okhrin, Ostap
Humboldt University of Berlin - School of Business and Economics
Posted:
27 Apr 15
 

8.  
Jan, Maruhn
University of Trier
Nalholm, Morten
Copenhagen Business School - Department of Finance
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Posted:
03 Feb 12
 

9.  
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Herwartz, Helmut
University of Kiel - Institute of Statistics and Econometrics
Werner, Christian Björn-Ole
Derivatives Trading, Macquarie Structured Products & Exotics Macquarie Capital (Europe) Limited
Posted:
05 Sep 11
Last Revised:
01 May 13
 

10.  
A Semiparametric Factor Model for Implied Volatility Surface Dynamics | Show Abstract |
Journal of Financial Econometrics, Vol. 5, Issue 2, pp. 189-218, 2007
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Härdle, Wolfgang K.
Humboldt University of Berlin - Institute for Statistics and Econometrics
Mammen, Enno
University of Mannheim - Department of Economics
Posted:
16 Jun 08
 

11.  
Engelmann, Bernd
Quantsolutions
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Schwendner, Peter
Zurich University of Applied Sciences
Posted:
09 Oct 06
Last Revised:
10 Mar 11
 

12.  
Common Factors Governing VDAX Movements and the Maximum Loss | Show Abstract |
Financial Markets and Portfolio Management, Vol. 16, No. 1, pp. 16-29, 2002
Schmidt, Peter
affiliation not provided to SSRN
Härdle, Wolfgang K.
Humboldt University of Berlin - Institute for Statistics and Econometrics
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Posted:
14 Sep 05
 

13.  
Fengler, Matthias R.
University of St. Gallen - School of Economics and Political Science
Wang, Qihua
AMSS
Posted:
07 Oct 03
 


Records 1 - 13 of 13 matches
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