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Details about Niklas F Wagner

E-mail:
Homepage:http://www.wiwi.uni-passau.de/nw.html
Phone:+ 49 851 - 509 - 3240
Postal address:Department of Finance and Financial Control Passau University 94030 Passau, Germany
Workplace:Fakultät für Wirtschaftswissenschaften (Faculty of Economic Sciences), Universität Passau (University of Passau), (more information at EDIRC)

Access statistics for papers by Niklas F Wagner.

Last updated 2021-12-23. Update your information in the RePEc Author Service.

Short-id: pwa75


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Working Papers

2020

  1. Linear and Nonlinear Growth Determinants: The Case of Mongolia and its Connection to China
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article in Emerging Markets Review (2020)

2015

  1. Extreme asymmetric volatility: Stress and aggregate asset prices
    Post-Print, HAL View citations (10)

2009

  1. Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices
    Post-Print, HAL View citations (1)

2008

  1. Systematic credit risk: CDX index correlation and extreme dependence
    Post-Print, HAL Downloads View citations (1)

2006

  1. Stochastic modeling of private equity: an equilibrium based approach to fund valuation
    CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS) Downloads

2004

  1. Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes
    Econometrics, University Library of Munich, Germany Downloads View citations (8)
    See also Journal Article in Journal of Empirical Finance (2005)
  2. Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications
    Econometrics, University Library of Munich, Germany Downloads View citations (25)
    See also Journal Article in Journal of Banking & Finance (2006)
  3. Return-Volume Dependence and Extremes in International Equity Markets
    Finance, University Library of Munich, Germany Downloads View citations (19)
    Also in Research Program in Finance Working Papers, University of California at Berkeley (2000) Downloads View citations (7)
  4. Surprise Volume and Heteroskedasticity in Equity Market Returns
    Econometrics, University Library of Munich, Germany Downloads View citations (9)
    Also in CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS) (2004) Downloads

    See also Journal Article in Quantitative Finance (2005)

2000

  1. On Adaptive Tail Index Estimation for Financial Return Models
    Research Program in Finance Working Papers, University of California at Berkeley Downloads View citations (5)

Journal Articles

2021

  1. Collectors: Personality between consumption and investment
    Journal of Behavioral and Experimental Finance, 2021, 32, (C) Downloads
  2. Hedging stocks with oil
    Energy Economics, 2021, 93, (C) Downloads View citations (14)
  3. Time for gift giving: Abnormal share repurchase returns and uncertainty
    Journal of Corporate Finance, 2021, 66, (C) Downloads View citations (3)

2020

  1. Linear and nonlinear growth determinants: The case of Mongolia and its connection to China
    Emerging Markets Review, 2020, 43, (C) Downloads View citations (2)
    See also Working Paper (2020)
  2. On the pricing of overnight market risk
    Empirical Economics, 2020, 59, (3), 1307-1327 Downloads View citations (1)
  3. Pricing equity-bond covariance risk: Between flight-to-quality and fear-of-missing-out
    Journal of Economic Dynamics and Control, 2020, 121, (C) Downloads
  4. Rich men’s hobby or question of personality: Who considers collectibles as alternative investment?
    Finance Research Letters, 2020, 35, (C) Downloads
  5. The Low-Volatility Anomaly Revisited
    Credit and Capital Markets, 2020, 53, (2), 221-244 Downloads

2019

  1. Are venture capital and buyout backed IPOs any different?
    Journal of International Financial Markets, Institutions and Money, 2019, 60, (C), 39-49 Downloads View citations (1)
  2. Cryptocurrencies as financial bubbles: The case of Bitcoin
    Finance Research Letters, 2019, 31, (C) Downloads View citations (37)
  3. Liquidity, surprise volume and return premia in the oil market
    Energy Economics, 2019, 77, (C), 93-104 Downloads View citations (8)
  4. Time-varying energy and stock market integration in Asia
    Energy Economics, 2019, 80, (C), 777-792 Downloads View citations (15)

2018

  1. Addressing COP21 using a stock and oil market integration index
    Energy Policy, 2018, 116, (C), 127-136 Downloads View citations (11)

2017

  1. Can stock market investors hedge energy risk? Evidence from Asia
    Energy Economics, 2017, 66, (C), 559-570 Downloads View citations (32)
  2. Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods?
    Finance Research Letters, 2017, 21, (C), 144-150 Downloads View citations (5)
  3. Domestic mergers and acquisitions in BRICS countries: Acquirers and targets
    Emerging Markets Review, 2017, 32, (C), 190-199 Downloads View citations (6)
  4. How do bond, equity and commodity cycles interact?
    Finance Research Letters, 2017, 21, (C), 151-156 Downloads View citations (10)
  5. Quantitative easing and the pricing of EMU sovereign debt
    The Quarterly Review of Economics and Finance, 2017, 66, (C), 1-12 Downloads View citations (19)
  6. Rewarding risk-taking or skill? The case of private equity fund managers
    Journal of Banking & Finance, 2017, 80, (C), 14-32 Downloads View citations (3)

2016

  1. Openness endangers your wealth: Noise trading and the big five
    Finance Research Letters, 2016, 16, (C), 239-247 Downloads View citations (4)
  2. The betting against beta anomaly: Fact or fiction?
    Finance Research Letters, 2016, 16, (C), 283-289 Downloads View citations (2)

2015

  1. Is risk higher during non-trading periods? The risk trade-off for intraday versus overnight market returns
    Journal of International Financial Markets, Institutions and Money, 2015, 39, (C), 53-64 Downloads View citations (7)
  2. Liquidity and conditional market returns: Evidence from German exchange traded funds
    Economic Modelling, 2015, 51, (C), 454-459 Downloads View citations (4)

2014

  1. Multifractality and value-at-risk forecasting of exchange rates
    Physica A: Statistical Mechanics and its Applications, 2014, 401, (C), 71-81 Downloads View citations (18)
  2. Multiple-period market risk prediction under long memory: when VaR is higher than expected
    Journal of Risk Finance, 2014, 15, (1), 4-32 Downloads View citations (10)

2013

  1. A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?
    Journal of Empirical Finance, 2013, 21, (C), 69-85 Downloads View citations (7)
  2. Credit cycle dependent spread determinants in emerging sovereign debt markets
    Emerging Markets Review, 2013, 17, (C), 209-223 Downloads View citations (14)

2012

  1. Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis
    International Review of Financial Analysis, 2012, 24, (C), 57-65 Downloads View citations (10)
  2. Explaining aggregate credit default swap spreads
    International Review of Financial Analysis, 2012, 22, (C), 18-29 Downloads View citations (16)

2010

  1. Government intervention in response to the subprime financial crisis: The good into the pot, the bad into the crop
    International Review of Financial Analysis, 2010, 19, (4), 289-297 Downloads View citations (24)

2006

  1. Nonlinear term structure dependence: Copula functions, empirics, and risk implications
    Journal of Banking & Finance, 2006, 30, (4), 1171-1199 Downloads View citations (35)
    See also Working Paper (2004)

2005

  1. Autoregressive conditional tail behavior and results on Government bond yield spreads
    International Review of Financial Analysis, 2005, 14, (2), 247-261 Downloads View citations (6)
  2. Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds
    Economic Notes, 2005, 34, (1), 35-50 Downloads View citations (3)
  3. Measuring tail thickness under GARCH and an application to extreme exchange rate changes
    Journal of Empirical Finance, 2005, 12, (1), 165-185 Downloads View citations (17)
    See also Working Paper (2004)
  4. Surprise volume and heteroskedasticity in equity market returns
    Quantitative Finance, 2005, 5, (2), 153-168 Downloads View citations (26)
    See also Working Paper (2004)

2004

  1. Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany
    Research in International Business and Finance, 2004, 18, (3), 237-251 Downloads View citations (24)
  2. Tail index estimation in small smaples Simulation results for independent and ARCH-type financial return models
    Statistical Papers, 2004, 45, (4), 545-561 Downloads View citations (6)
  3. Time-varying moments, idiosyncratic risk, and an application to hot-issue IPO aftermarket returns
    Research in International Business and Finance, 2004, 18, (1), 59-72 Downloads View citations (5)

2002

  1. On a model of portfolio selection with benchmark
    Journal of Asset Management, 2002, 3, (1), 55-65 Downloads View citations (4)

Edited books

2013

  1. Advances in Financial Risk Management
    Palgrave Macmillan Books, Palgrave Macmillan View citations (9)

Chapters

2011

  1. VaR Prediction under Long Memory in Volatility
    Springer

2005

  1. Managing Investment Risks of Institutional Private Equity Investors — The Challenge of Illiquidity
    Springer
 
Page updated 2023-01-31