https://www.alexandria.unisg.ch
University of St.Gallenennew publications - Matthias FenglerAlexandria::new publicationsMeasuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH modelsFengler, M., & Herwartz, H. (2015). Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models. --- In highly integrated markets, news spreads at a fast pace and bedevils risk
monitoring and optimal asset allocation. We therefore propose global and dis-
aggregated measures of variance transmission that allow one to assess spillovers
locally in time. Key to our approach is the vector ARMA representation of the
second-order dynamics of the popular BEKK model. In an empirical applica-
tion to a ...
https://www.alexandria.unisg.ch/publications/240050
2015-03-25A simple and general approach to fitting the discount curve under no-arbitrage constraintsFengler, 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/j.frl.2015.08.006. --- We suggest a simple and general approach to fitting the discount curve under no-arbitrage constraints based on a penalized shape-constrained B-spline. The approach accommodates B-splines of any order and fitting both under the L1 and the L2 loss functions. An application to US STRIPS data from 2001-2015 suggests that polynomial splines of order three and four are mandatory to obtain reasonable ...
https://www.alexandria.unisg.ch/publications/234214
2014-09-04A variance spillover analysis without covariances: what do we miss?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. --- We evaluate the relevance of covariances in the transmission mechanism of variance spillovers across the US stock, US bond and gold markets from July 2003 to December 2012. For that purpose, we perform a comparative spillover analysis between a model that considers covariances and a model that considers only variances. Our results emphasise the importance of covariances. Including covariances ...
https://www.alexandria.unisg.ch/publications/231528
2014-05-12Specification and structural break tests for additive models with applications to realized variance dataFengler, 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. --- We study two types of testing problems in a nonparametric additive model setting: We develop methods to test (i) whether an additive component function has a given parametric form and (ii) whether an additive component has a structural break. We apply the theory to a nonparametric extension of the linear heterogeneous autoregressive model which is widely employed to describe realized variance ...
https://www.alexandria.unisg.ch/publications/228047
2013-12-17Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency dataAudrino, 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. --- As a means of validating an option pricing model, we compare the ex-post intra-day realized variance of options with the realized variance of the associated underlying asset that would be implied using assumptions as in the Black and Scholes (BS) model, the Heston and the Bates model. Based on data for the S&P 500 index, we find that the BS model is strongly directionally biased due to the ...
https://www.alexandria.unisg.ch/publications/221836
2013-04-05Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility SurfaceFengler, 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). --- Nonparametric methods for estimating the implied volatility surface are very popular, since they do not impose a specific functional form on the estimate. Traditionally, these methods are two-step estimators. The first step requires to extract implied volatility data from observed option prices, then the actual fitting algorithm is applied. These two-step estimators may be seriously biased when ...
https://www.alexandria.unisg.ch/publications/216406
2012-09-10Managing Risk with a Realized Copula ParameterFengler, 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. --- A dynamic copula model is introduced, in which the copula structure is
inferred from the realized covariance matrix estimated from within-day
high-frequency data. The estimation is carried out in a method-of-moments
fashion using Hoeding's lemma. Applying this procedure day by day gives
rise to a time series of daily copula parameters which can be approximated by
an autoregressive time ...
https://www.alexandria.unisg.ch/publications/216403
2012-09-10A Dynamic Copula Approach to Recovering the Index Implied Volatility SkewFengler, 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. --- Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at the single stock level. We study this stylized fact for the case of a major German stock index, the DAX, by recovering index implied volatility from simulating the 30-dimensional return system of all DAX constituents. Option prices are computed after risk neutralization of the ...
https://www.alexandria.unisg.ch/publications/207330
2011-11-21Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraintsFengler, 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. --- We suggest a semi-nonparametric estimator for the call-option price surface. The estimator is a bivariate tensor-product B-spline. To enforce no-arbitrage constraints across strikes and expiry dates, we establish sufficient no-arbitrage conditions on the control net of the B-spline surface. The conditions are linear and therefore allow for an implementation of the estimator by means of ...
https://www.alexandria.unisg.ch/publications/207116
2011-11-14Price-setting and price-adjustment behavior for fast-moving consumer goodsFengler, 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. ---
https://www.alexandria.unisg.ch/publications/206777
2011-11-03