Matthias R. Fengler

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

Assistant Professor

Bodanstrasse 6

CH-9000 St. Gallen, 9000

Switzerland

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

SCHOLARLY PAPERS

16

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CITATIONS
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8

Scholarly Papers (16)

1.

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 - School of Economics and Political Science
Downloads 467 (34,851)
Citation 3

Abstract:

implied volatility

2.

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 - School of Economics and Political Science and Department of Mathematics & Statistics, Curtin University
Downloads 174 (116,530)

Abstract:

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

3.

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 I. M. Gisler
University of St. Gallen - School of Economics and Political Science and University of St. Gallen
Downloads 76 (212,514)

Abstract:

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

4.

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 - School of Economics and Political Science

Abstract:

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

5.

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 - School of Economics and Political Science and Department of Mathematics & Statistics, Curtin University
Downloads 42 (288,114)

Abstract:

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

6.

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 K. Härdle and Enno Mammen
University of St. Gallen - School of Economics and Political Science, Humboldt University of Berlin - Institute for Statistics and Econometrics and University of Mannheim - Department of Economics
Downloads 0 (448,131)
Citation 5

Abstract:

7.

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 K. Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), University of St. Gallen - School of Economics and Political Science and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 0 (507,741)

Abstract:

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 - School of Economics and Political Science and University of Kiel - Institute of Statistics and Econometrics
Downloads 0 (398,483)

Abstract:

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

9.

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 - School of Economics and Political Science and Humboldt University of Berlin - School of Business and Economics

Abstract:

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

10.

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 - School of Economics and Political Science, University of Mannheim - Department of Economics and University of Cambridge

Abstract:

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

11.

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 - School of Economics and Political Science

Abstract:

Barrier options, Static hedging, Skew risk

12.

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 - School of Economics and Political Science, University of Kiel - Institute of Statistics and Econometrics and Derivatives Trading, Macquarie Structured Products & Exotics Macquarie Capital (Europe) Limited

Abstract:

Copula Dynamic Conditional Correlation, Basket Options, Multivariate GARCH

13.

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 K. Härdle and Enno Mammen
University of St. Gallen - School of Economics and Political Science, Humboldt University of Berlin - Institute for Statistics and Econometrics and University of Mannheim - Department of Economics

Abstract:

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

14.

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
Quantsolutions, University of St. Gallen - School of Economics and Political Science and Zurich University of Applied Sciences, Center for Asset Management

Abstract:

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

15.

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 K. Härdle and Matthias R. Fengler
affiliation not provided to SSRN, Humboldt University of Berlin - Institute for Statistics and Econometrics and University of St. Gallen - School of Economics and Political Science

Abstract:

16.

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 - School of Economics and Political Science and AMSS

Abstract:

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