Prof. Matthias Fengler

Matthias Fengler is Professor of Econometrics and Director at the Faculty of Mathematics and Statistics of the University of St.Gallen. Professor Fengler has published extensively in the top academic journals in his areas of research expertise.

Professor Fengler specializes in empirical finance, with a primary focus on volatility modeling. His current research centers on structural multivariate volatility models, where he develops instrumental variable methods for identification and examines the implied volatility impulse response functions. These functions trace the effects of shocks on the variances and covariances of asset returns. Additionally, his recent work includes textual analysis. He studies sentence-level content in tens of thousands of Nasdaq articles to assess their influence on option market data. In related research, he develops a statistical topic model for the MD&A section in 10-K filings, enabling the study of topic evolution over 20 years of data and the measurement of topic-level sentiment.

• Financial Markets
  • Financial Forecasting
• Portfolio Management and Asset Classes
  • Asset Pricing
  • Options and Other Derivatives
• Corporate Finance and Governance
  • Financial Risk and Risk Management