Matthias R. Fengler
Matthias R. Fengler
Professor of Econometrics, St. Gallen University (HSG)
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Cited by
Cited by
Arbitrage-free smoothing of the implied volatility surface
MR Fengler
Quantitative Finance 9 (4), 417-428, 2009
Semiparametric modeling of implied volatility
MR Fengler
Springer Science & Business Media, 2005
The dynamics of implied volatilities: A common principal components approach
MR Fengler, WK Härdle, C Villa
Review of Derivatives Research 6 (3), 179-202, 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
A variance spillover analysis without covariances: what do we miss?
MR Fengler, KIM Gisler
Journal of International Money and Finance 51, 174-195, 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
Static versus dynamic hedges: an empirical comparison for barrier options
B Engelmann, MR Fengler, M Nalholm, P Schwendner
Review of Derivatives Research 9 (3), 239-264, 2006
On extracting information implied in options
M Benko, MR Fengler, W Härdle, M Kopa
Computational Statistics 22 (4), 543-553, 2007
Common factors governing VDAX movements and the maximum loss
M Fengler, W Härdle, P Schmidt
Financial Markets and Portfolio Management 16 (1), 16, 2002
Managing risk with a realized copula parameter
MR Fengler, O Okhrin
Computational Statistics & Data Analysis 100, 131-152, 2016
Option data and modeling BSM implied volatility
MR Fengler
Handbook of computational finance, 117-142, 2012
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
Quoting multiasset equity options in the presence of errors from estimating correlations
MR Fengler, P Schwendner
The Journal of Derivatives 11 (4), 43-54, 2004
The Analysis of Implied Volatilities
MR Fengler, W Härdle, P Schmidt
Applied Quantitative Finance: Theory and Computational Tools, 127-144, 2002
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
Multivariate volatility models
MR Fengler, H Herwartz, FHC Raters
Applied quantitative finance, 25-37, 2017
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
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
A dynamic copula approach to recovering the index implied volatility skew
MR Fengler, H Herwartz, C Werner
Journal of Financial Econometrics 10 (3), 457-493, 2012
DSFM fitting of implied volatility surfaces
S Borak, MR Fengler, W Hardle
Intelligent Systems Design and Applications, 2005. ISDA'05. Proceedings. 5th …, 2005
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