Profile Page Prof. Dr. Matthias Fengler

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Name Matthias Fengler
Title Prof. Dr.
Institute/School University of St.Gallen, MS - Faculty of Mathematics and Statistics, SEPS - School of Economics and Political Science
Email address
Phone +41 71 224 2457
Main Focuses Ökonometrie
Teaching Activities
Editorial Boards
Additional Information

Latest Additions (all)

  1. Item Fengler, Matthias & Polivka, Jeannine: Structural Volatility Impulse Response Analysis. [Conference or Workshop Item]
  2. Item Fengler, Matthias & Polivka, Jeannine: Structural Volatility Modelling. [Conference or Workshop Item]
  3. Project Fengler, Prof. Dr. Matthias & Polivka, Jeannine (2019) Structural Models of Volatility [applied research project] Official URL .
  4. Project Fengler, Matthias; Buncic, Daniel & Audrino, Francesco (2012) Analysis and models of cross asset dependency structures in high-frequency data [applied research project] .
  5. Item Fengler, Matthias & Melnikov, Alexander (2018) GARCH option pricing models with Meixner innovations. GARCH option pricing models with Meixner innovations, (21). 277-305.
  6. Item Fengler, Matthias & Dare, Wale (2018) Global estimation of realized spot volatility in the presence of price jumps. [img]
  7. Item Fengler, Matthias & Herwartz, Helmut (2018) Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models. Oxford bulletin of economics and statistics, 80 (1). 135-159. ISSN 0305-9049
  8. Item Fengler, Matthias; Chen, Cathy; Härdle, Wolfgang & Liu, Yanchu (2018) Textual Sentiment, Option Characteristics, and Stock Return Predictability. [img]
  9. Item Fengler, Matthias & Okhrin, Ostap (2016) Managing Risk with a Realized Copula Parameter. Computational Statistics & Data Analysis, 100 131-152. ISSN 0167-9473
  10. Item Fengler, Matthias & Hin, Lin-Yee (2015) A simple and general approach to fitting the discount curve under no-arbitrage constraints. Finance Research Letters, 15 78-84. ISSN 1544-6123