Matthias R. Fengler

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Wolfgang Karl HärdleHumboldt-Universität zu Berlin, Ladislaus von Bortkiewicz Professor of StatisticsVerified email at hu-berlin.de
Leopold SimarUniversité Catholique de LouvainVerified email at uclouvain.be
Peter SchwendnerZurich University of Applied SciencesVerified email at zhaw.ch
Lin-Yee HinDepartment of Mathematics & Statistics, Curtin UniversityVerified email at postgrad.curtin.edu.au
Bernd Hans EngelmannHo Chi Minh City Open UniversityVerified email at ou.edu.vn
Joachim WinterProfessor of Economics, LMU MunichVerified email at lmu.de
Ostap OkhrinTechnische Universität DresdenVerified email at tu-dresden.de
Cathy Yi-Hsuan ChenAdam Smith Business School, University of GlasgowVerified email at glasgow.ac.uk
Yanchu LiuLingnan (University) College, Sun Yat-sen UniversityVerified email at mail.sysu.edu.cn
Rafael LaliveProfessor of Economics, Faculty of Business and Economics (HEC), University of Lausanne, NCCR LIVESVerified email at unil.ch
Robert RohrkemperSenior Data Scientist, Distinguished Expert, WorldlineVerified email at worldline.com
Kopa, M.Charles University in PragueVerified email at karlin.mff.cuni.cz
Torsten KleinowUniversity of Amsterdam, Research Centre for Longevity RiskVerified email at uva.nl
Thomas SpycherVerified email at unisg.ch
Winfried KoenigerProfessor of Economics, University of St.GallenVerified email at unisg.ch
Francesco AudrinoProfessor of Statistics, Universität St. GallenVerified email at unisg.ch

Matthias R. Fengler

Professor of Econometrics, St. Gallen University (HSG)

Verified email at unisg.ch - Homepage

financial econometrics option pricing risk management high-frequency data text data analysis


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Arbitrage-free smoothing of the implied volatility surface MR Fengler Quantitative Finance 9 (4), 417-428, 2009	231	2009
Semiparametric modeling of implied volatility MR Fengler Springer Science & Business Media, 2005	188	2005
The dynamics of implied volatilities: A common principal components approach MR Fengler, WK Härdle, C Villa Review of Derivatives Research 6, 179-202, 2003	172	2003
A semiparametric factor model for implied volatility surface dynamics MR Fengler, WK Härdle, E Mammen Journal of Financial Econometrics 5 (2), 189-218, 2007	162	2007
A variance spillover analysis without covariances: what do we miss? MR Fengler, KIM Gisler Journal of International Money and Finance 51, 174-195, 2015	94	2015
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints MR Fengler, LY Hin Journal of Econometrics 184 (2), 242-261, 2015	74*	2015
On extracting information implied in options M Benko, MR Fengler, W Härdle, M Kopa Computational Statistics 22 (4), 543-553, 2007	54	2007
Static versus dynamic hedges: an empirical comparison for barrier options B Engelmann, MR Fengler, M Nalholm, P Schwendner Review of Derivatives Research 9, 239-264, 2006	52	2006
Applied Multivariate Statistical Analysis WK Härdle, L Simar, MR Fengler Springer, 2024	51*	2024
Managing risk with a realized copula parameter MR Fengler, O Okhrin Computational Statistics & Data Analysis 100, 131-152, 2016	48*	2016
Option data and modeling BSM implied volatility MR Fengler Handbook of computational finance, 117-142, 2011	47	2011
Common factors governing VDAX movements and the maximum loss M Fengler, W Härdle, P Schmidt Financial Markets and Portfolio Management 16 (1), 16, 2002	43	2002
Hedging under alternative stickiness assumptions: an empirical analysis for barrier options B Engelmann, MR Fengler, P Schwendner Journal of Risk 12 (1), 53-77, 2009	30*	2009
The Analysis of Implied Volatilities MR Fengler, W Härdle, P Schmidt Applied Quantitative Finance: Theory and Computational Tools, 127-144, 2002	27*	2002
Media-expressed tone, option characteristics, and stock return predictability CYH Chen, MR Fengler, WK Härdle, Y Liu Journal of Economic Dynamics and Control 134, 2022	25*	2022
Quoting multiasset equity options in the presence of errors from estimating correlations MR Fengler, P Schwendner Journal of Derivatives 11 (4), 43, 2004	25*	2004
Multivariate volatility models MR Fengler, H Herwartz, FHC Raters Applied quantitative finance, 25-37, 2017	18	2017
Price-setting and price-adjustment behavior for fast-moving consumer goods M Fengler, J Winter ZUMA Symposium on Consumer Panel Data 7, 95-113, 2001	18	2001
Measuring spot variance spillovers when (co) variances are time-varying–the case of multivariate GARCH models MR Fengler, H Herwartz Oxford Bulletin of Economics and Statistics 80 (1), 135-159, 2018	17	2018
Specification and structural break tests for additive models with applications to realized variance data MR Fengler, E Mammen, M Vogt Journal of Econometrics 188 (1), 196-218, 2015	16*	2015

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