Matthias R. Fengler

University of St. Gallen - SEPS: Economics and Political Sciences

Professor of Econometrics

Rosenbergstrasse 22

CH-9000 St. Gallen, 9000

Switzerland

http://www.mathstat.unisg.ch/fengler

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

22

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TOTAL CITATIONS
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Top 20,836

in Total Papers Citations

72

Scholarly Papers (22)

1.

Textual Sentiment, Option Characteristics, and Stock Return Predictability

IRTG 1792 Discussion Paper 2018-023
Number of pages: 54 Posted: 30 Jul 2018
Cathy Chen, Matthias R. Fengler, Wolfgang Karl Härdle and Yanchu Liu
Humboldt University of Berlin, University of St. Gallen - SEPS: Economics and Political Sciences, Blockchain Research Center Humboldt-Universität zu Berlin and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 1,066 (43,618)

Abstract:

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investor disagreement; option markets; overnight information; stock return predictability; textual sentiment; topic model; trading-time information

2.

Option Data and Modeling BSM Implied Volatility

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: 26 Posted: 05 Sep 2011 Last Revised: 01 Nov 2013
Matthias R. Fengler
University of St. Gallen - SEPS: Economics and Political Sciences
Downloads 833 (61,303)
Citation 4

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implied volatility

3.

Semi-Nonparametric Estimation of the Call Price Surface Under Strike and Time-to-expiry No-Arbitrage Constraints

Journal of Econometrics, No. 184, 2015, pp. 242-261
Number of pages: 54 Posted: 17 Aug 2011 Last Revised: 19 Mar 2015
Matthias R. Fengler and Lin-Yee Hin
University of St. Gallen - SEPS: Economics and Political Sciences and Department of Mathematics & Statistics, Curtin University
Downloads 490 (120,828)
Citation 30

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option pricing function, implied volatility, no-arbitrage constraints, state price density, local volatility, semi-nonparametric estimation, B-splines

4.

A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics

SFB 649 Discussion Paper 2005-020
Number of pages: 43 Posted: 09 Jan 2017
Matthias R. Fengler, Wolfgang Karl Härdle and Enno Mammen
University of St. Gallen - SEPS: Economics and Political Sciences, Blockchain Research Center Humboldt-Universität zu Berlin and University of Mannheim - Department of Economics
Downloads 217 (292,025)
Citation 19

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5.

A Variance Spillover Analysis Without Covariances: What Do We Miss?

Journal of International Money and Finance, Vol. 51, pp. 174-195, 2015
Number of pages: 32 Posted: 30 Apr 2014 Last Revised: 01 Feb 2015
Matthias R. Fengler and Katja Gisler
University of St. Gallen - SEPS: Economics and Political Sciences and University of St. Gallen
Downloads 167 (367,343)
Citation 12

Abstract:

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Covariance spillovers, financial crisis, sovereign debt crisis, spillover index, variance decomposition, vector autoregression, variance spillovers

6.

Media-Expressed Tone, Option Characteristics, and Stock Return Predictability

Number of pages: 47 Posted: 05 Sep 2020
University of Glasgow, Adam Smith Business School, University of St. Gallen - SEPS: Economics and Political Sciences, Blockchain Research Center Humboldt-Universität zu Berlin and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 136 (437,483)
Citation 2

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option markets, equity markets, stock return predictability, media tone, topic model

7.

A Simple and General Approach to Fitting the Discount Curve Under No-Arbitrage Constraints

Finance Research Letters, Vol. 15, 2015, pp. 78-84
Number of pages: 25 Posted: 12 Aug 2014 Last Revised: 16 Dec 2015
Matthias R. Fengler and Lin-Yee Hin
University of St. Gallen - SEPS: Economics and Political Sciences and Department of Mathematics & Statistics, Curtin University
Downloads 115 (495,293)
Citation 1

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B-splines, Discount curve, No-arbitrage constraints, Monotone estimation, Yield curve

8.

Measuring Spot Variance Spillovers When (Co)Variances are Time-Varying - The Case of Multivariate GARCH Models

Number of pages: 42 Posted: 25 Jun 2016
Matthias R. Fengler and Helmut Herwartz
University of St. Gallen - SEPS: Economics and Political Sciences and University of Kiel - Institute of Statistics and Econometrics
Downloads 111 (508,392)
Citation 3

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BEKK model, forecast error variance decomposition, multivariate GARCH, spillover index, value-at-risk, variance spillovers

9.

Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective

Swiss Finance Institute Research Paper No. 24-106
Number of pages: 73 Posted: 21 Oct 2024 Last Revised: 30 Jan 2025
Matthias R. Fengler and Minh Tri Phan
University of St. Gallen - SEPS: Economics and Political Sciences and University of St. Gallen (HSG)
Downloads 107 (525,786)

Abstract:

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10-K files, MD&A, natural language processing, topic modeling

The Transmission of Monetary Policy to the Cost of Hedging

CESifo Working Paper Series No. 11556
Number of pages: 97 Posted: 23 Dec 2024
Matthias R. Fengler, Winfried Koeniger and Stephan Minger
University of St. Gallen - SEPS: Economics and Political Sciences, University of St. Gallen and University of St. Gallen
Downloads 35 (946,138)

Abstract:

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liquidity, monetary policy, option order books, option markets, Covid-19 pandemic

The Transmission of Monetary Policy to the Cost of Hedging

Number of pages: 98 Posted: 05 Feb 2025
Matthias R. Fengler, Winfried Koeniger and Stephan Minger
University of St. Gallen - SEPS: Economics and Political Sciences, University of St. Gallen and University of St. Gallen
Downloads 27 (1,030,630)

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The Transmission of Monetary Policy to the Cost of Hedging

Swiss Finance Institute Research Paper No. 25-03
Number of pages: 97 Posted: 10 Jan 2025
Matthias R. Fengler, Winfried Koeniger and Stephan Minger
University of St. Gallen - SEPS: Economics and Political Sciences, University of St. Gallen and University of St. Gallen
Downloads 21 (1,103,780)

Abstract:

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Liquidity, Monetary policy, Option order books, Option markets, COVID-19 pandemic

11.

DSFM Fitting of Implied Volatility Surfaces

SFB 649 Discussion Paper 2005-022
Number of pages: 9 Posted: 09 Jan 2017
Szymon Borak, Matthias R. Fengler and Wolfgang Karl Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), University of St. Gallen - SEPS: Economics and Political Sciences and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 82 (619,144)
Citation 1

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12.

Proxy-Identification of a Structural MGARCH Model for Asset Returns

Swiss Finance Institute Research Paper No. 24-55
Number of pages: 56 Posted: 17 Oct 2024
Matthias R. Fengler and Jeannine Polivka
University of St. Gallen - SEPS: Economics and Political Sciences and University of St. Gallen
Downloads 70 (679,514)

Abstract:

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identification, Riemannian optimization, structural MGARCH, structural modeling, variance decomposition, volatility spillovers

13.

Structural Volatility Impulse Response Analysis

Swiss Finance Institute Research Paper No. 24-63
Number of pages: 49 Posted: 09 Nov 2024 Last Revised: 14 Nov 2024
Matthias R. Fengler and Jeannine Polivka
University of St. Gallen - SEPS: Economics and Political Sciences and University of St. Gallen
Downloads 51 (806,104)

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causality in volatility, multivariate GARCH models, proxy identification, structural identification, volatility impulse response functions

14.

Managing Risk with a Realized Copula Parameter

Computational Statistics & Data Analysis, Vol. 100, pp. 131-152, 2016
Posted: 27 Apr 2015 Last Revised: 29 Jun 2016
Matthias R. Fengler and Ostap Okhrin
University of St. Gallen - SEPS: Economics and Political Sciences and Humboldt University of Berlin - School of Business and Economics

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realized variance, realized covariance, multivariate dependence, value at risk

15.

Specification and Structural Break Tests for Additive Models with Applications to Realized Variance Data

Journal of Econometrics, Vol. 188, No. 1, 2015, pp. 196-218
Posted: 01 Nov 2013 Last Revised: 20 Jun 2015
Matthias R. Fengler, Enno Mammen and Michael Vogt
University of St. Gallen - SEPS: Economics and Political Sciences, University of Mannheim - Department of Economics and University of Cambridge

Abstract:

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Additive models, Backfitting, Nonparametric time series analysis, Specification tests, Realized variance; Heterogeneous autoregressive model

16.

Are Classical Option Pricing Models Consistent with Observed Option Second-Order Moments? Evidence from High-Frequency Data

Journal of Banking and Finance, Vol. 64, 2015, pp. 46-63
Posted: 27 Apr 2013 Last Revised: 16 Dec 2015
Francesco Audrino and Matthias R. Fengler
University of St. Gallen and University of St. Gallen - SEPS: Economics and Political Sciences

Abstract:

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option pricing, high frequency data, realized variance, stochastic volatility

17.

Static Hedges for Reverse Barrier Options with Robustness Against Skew Risk: An Empirical Analysis

Quantitative Finance, Vol. 11, No. 5, pp. 711-727, 2011
Posted: 03 Feb 2012
Maruhn Jan, Morten Nalholm and Matthias R. Fengler
University of Trier, Copenhagen Business School - Department of Finance and University of St. Gallen - SEPS: Economics and Political Sciences

Abstract:

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Barrier options, Static hedging, Skew risk

18.

A Dynamic Copula Approach to Recovering The Index Implied Volatility Skew

Journal of Financial Econometrics, 10(3), 457-493, 2012
Posted: 05 Sep 2011 Last Revised: 01 May 2013
Matthias R. Fengler, Helmut Herwartz and Christian Björn-Ole Werner
University of St. Gallen - SEPS: Economics and Political Sciences, University of Kiel - Institute of Statistics and Econometrics and Derivatives Trading, Macquarie Structured Products & Exotics Macquarie Capital (Europe) Limited

Abstract:

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Copula Dynamic Conditional Correlation, Basket Options, Multivariate GARCH

19.

A Semiparametric Factor Model for Implied Volatility Surface Dynamics

Journal of Financial Econometrics, Vol. 5, Issue 2, pp. 189-218, 2007
Posted: 16 Jun 2008
Matthias R. Fengler, Wolfgang Karl Härdle and Enno Mammen
University of St. Gallen - SEPS: Economics and Political Sciences, Blockchain Research Center Humboldt-Universität zu Berlin and University of Mannheim - Department of Economics

Abstract:

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functional principal component analysis, implied volatility surface, semiparametric factor models

20.

Better than its Reputation: An Empirical Hedging Analysis of the Local Volatility Model for Barrier Options

Journal of Risk, Vol. 12, No. 1, pp. 53-77, 2009
Posted: 09 Oct 2006 Last Revised: 10 Mar 2011
Bernd Engelmann, Matthias R. Fengler and Peter Schwendner
Ho Chi Minh City Open University, University of St. Gallen - SEPS: Economics and Political Sciences and Zurich University of Applied Sciences

Abstract:

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Local Volatility Model, Barrier Options, Implied Volatility Smile, Empirical Hedging Analysis

21.

Common Factors Governing Vdax Movements and the Maximum Loss

Financial Markets and Portfolio Management, Vol. 16, No. 1, pp. 16-29, 2002
Posted: 14 Sep 2005
Peter Schmidt, Wolfgang Karl Härdle and Matthias R. Fengler
affiliation not provided to SSRN, Blockchain Research Center Humboldt-Universität zu Berlin and University of St. Gallen - SEPS: Economics and Political Sciences

Abstract:

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22.

Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface

Humboldt-University Berlin SFB 373 Discussion Paper No. 2003-25
Posted: 07 Oct 2003
Matthias R. Fengler and Qihua Wang
University of St. Gallen - SEPS: Economics and Political Sciences and AMSS

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implied volatility surface, smile, Black-Scholes formula, least squares kernel smoothing