University of St.Gallen
research platform alexandria
search publications
browse publications
by person
by year


journal paper
Fengler, M., & Hin, L. Y. (2015). A simple and general approach to fitting the discount curve under no-arbitrage constraints. Finance Research Letters, 15(-), 78-84, DOI:10.1016/
Fengler, M., & Gisler, K. (2015). A variance spillover analysis without covariances: what do we miss?. Journal of International Money and Finance, 51(-), 174-195, DOI:10.1016/j.jimonfin.2014.11.006.
Fengler, M., Mammen, E., & Vogt, M. (2015). Specification and structural break tests for additive models with applications to realized variance data. Journal of Econometrics, 188(1), 196-218, DOI:10.1016/j.jeconom.2015.04.002.
Audrino, F., & Fengler, M. (2015). Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data. Journal of Banking and Finance, 61(-), 46-63, DOI:10.1016/j.jbankfin.2015.08.018.
Fengler, M., & Hin, L. Y. (2015). Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints. Journal of Econometrics, 184(2), 242-261, DOI:10.1016/j.jeconom.2014.09.003.
Fengler, M., & Okhrin, O. (2014). Managing Risk with a Realized Copula Parameter. Computational Statistics & Data Analysis(forthcoming), 1-1, DOI:10.1016/j.csda.2014.07.011.
Fengler, M., Herwartz, H., & Werner, C. (2012). A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew. Journal of Financial Econometrics, 10(3), 457-493, DOI:10.1093/jjfinec/nbr016.
Fengler, M., Maruhn, J. H., & Nalholm, M. (2011). Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis. Quantitative Finance, 11(5), 711-727, DOI:10.1080/14697680903154241.
Fengler, M. (2009). Arbitrage-free smoothing of the implied volatility surface. Quantitative Finance, 9(4), 417-428, DOI:10.1080/14697680802595585.
Fengler, M., Borak, S., & Härdle, W. K. (2009). Does hedging with implied volatility factors improve the hedging efficiency of barrier options?. The Journal of Risk Model Validation, 3(1), 73-92.
Fengler, M., Engelmann, B., & Schwendner, P. (2009). Hedging under alternative stickiness assumptions: an empirical analysis for barrier options. Journal of Risk, 12(1), 53-77.
Fengler, M., & Winter, J. K. (2007). Price Variability and Price Dispersion in a Stable Monetary Environment: Evidence from Germany. Managerial and Economic Decisions, 28(7), 789-801, DOI:10.1002/mde.1373.
Benko, M., Fengler, M., Härdle, W. K., & Kopa, M. (2007). On Extracting Information Implied in Options. Computational Statistics, 22(4), 543-553, DOI:10.1007/s00180-007-0061-0.
Fengler, M., Härdle, W. K., & Mammen, E. (2007). A semiparametric factor model for implied volatility surface dynamics. Journal of Financial Econometrics, 5(2), 189-218, DOI:10.1093/jjfinec/nbm005.
Engelmann, B., Fengler, M., Nalholm, M., & Schwendner, P. (2006). Static versus Dynamic Hedges: An Empirical Comparison for Barrier Options. Review of Derivatives Research, 9(3), 239-264, DOI:10.1007/s11147-007-9010-x.
Fengler, M., & Schwendner, P. (2004). Quoting multiasset equity options in the presence of errors from estimating correlations. Journal of Derivatives, 11(4), 43-54, DOI:10.3905/jod.2004.412362#sthash.CWbh7ahl.vvzZ92vw.dpuf.
Fengler, M., Härdle, W. K., & Villa, C. (2003). The dynamics of implied volatilities: A common principle components approach. Review of Derivatives Research, 6(3), 179-202, DOI:10.1023/B:REDR.0000004823.77464.2d.
Fengler, M., Härdle, W. K., & Schmidt, P. (2002). Common Factors Governing VDAX Movements and the Maximum Loss. Financial Markets and Portfolio Management, 16(1), 16-29, DOI:10.1007/s11408-002-0102-1.
Fengler, M. (2005). Semiparametric Modeling of Implied Volatility. Heidelberg: Springer Bln, DOI:10.1007/3-540-30591-2. - ISBN 978-3-540-26234-3.
book chapter
Fengler, M. (2012). Option data and modeling BSM implied volatility. In Handbook of Computational Finance (pp. 117-142): ..
Fengler, M., & Wang, Q. (2009). Least Squares Kernel Smoothing of the Implied Volatility Smile. In Applied Quantitative Finance (pp. 193-207). Heidelberg: Springer Verlag.
Fengler, M., & Herwartz, H. (2009). Multivariate volatility models. In Applied Quantitative Finance (pp. 313-325). Heidelberg: Springer Verlag.
Fengler, M., Schwendner, P., & Pilz, K. (2007). Basket volatility and correlation. In Volatility as an Asset Class (pp. 95-131). London: Incisive Media.
Fengler, M., Härdle, W. K., & Borak, S. (2005). DSFM fitting of implied volatility surfaces. In Conference, Proceedings of the Fifth International Conference "Intelligent Systems-Design and Applications" (pp. 526-531): ....
Fengler, M., Härdle, W. K., & Schmidt, P. (2002). The analysis of implied volatilities. In Applied Quantitative Finance (pp. 127-144). Heidelberg: Springer Verlag.
Fengler, M., & Winter, J. K. (1999). Price-setting and price-adjustment behavior for fast-moving consumer goods. In Social and Economic Research with Consumer Panel Data (pp. 95-113). Mannheim: MEA.
working paper
Fengler, M., & Herwartz, H. (2015). Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models.
Fengler, M., & Wang, Q. (2003). Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface. Discussion Paper: SEPS, University of St. Gallen, Switzerland (St. Gallen).
page 1 of 1
*citation format: APA 5