Details about Niklas F Wagner

Access statistics for papers by Niklas F Wagner.

Last updated 2023-11-07. Update your information in the RePEc Author Service.

Short-id: pwa75

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 View citations (4)
   See also Journal Article Linear and nonlinear growth determinants: The case of Mongolia and its connection to China, Emerging Markets Review, Elsevier (2020) View citations (4) (2020)

2015

2. Extreme asymmetric volatility: Stress and aggregate asset prices
   Post-Print, HAL View citations (9)

2009

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

2008

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

2006

5. 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)

2004

6. Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes
   Econometrics, University Library of Munich, Germany View citations (8)
   See also Journal Article Measuring tail thickness under GARCH and an application to extreme exchange rate changes, Journal of Empirical Finance, Elsevier (2005) View citations (20) (2005)
7. Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications
   Econometrics, University Library of Munich, Germany View citations (25)
   See also Journal Article Nonlinear term structure dependence: Copula functions, empirics, and risk implications, Journal of Banking & Finance, Elsevier (2006) View citations (40) (2006)
8. Return-Volume Dependence and Extremes in International Equity Markets
   Finance, University Library of Munich, Germany View citations (20)
   Also in Research Program in Finance Working Papers, University of California at Berkeley (2000) View citations (8)
9. Surprise Volume and Heteroskedasticity in Equity Market Returns
   Econometrics, University Library of Munich, Germany View citations (9)
   Also in CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS) (2004)
   See also Journal Article Surprise volume and heteroskedasticity in equity market returns, Quantitative Finance, Taylor & Francis Journals (2005) View citations (31) (2005)

2000

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

Journal Articles

2023

1. Volatility impacts on global banks: Insights from the GFC, COVID-19, and the Russia-Ukraine war
   Journal of Economic Behavior & Organization, 2023, 215, (C), 325-350 View citations (8)
2. What is an Optimal Allocation in Hong Kong Stock, Real Estate, and Money Markets: An Individual Asset, Efficient Frontier Portfolios, or a Naïve Portfolio? Is This a New Financial Anomaly?
   Emerging Markets Finance and Trade, 2023, 59, (5), 1554-1571

2022

3. Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity
   Abacus, 2022, 58, (3), 567-588 View citations (14)

2021

4. Collectors: Personality between consumption and investment
   Journal of Behavioral and Experimental Finance, 2021, 32, (C) View citations (1)
5. Hedging stocks with oil
   Energy Economics, 2021, 93, (C) View citations (64)
6. Time for gift giving: Abnormal share repurchase returns and uncertainty
   Journal of Corporate Finance, 2021, 66, (C) View citations (12)

2020

7. Linear and nonlinear growth determinants: The case of Mongolia and its connection to China
   Emerging Markets Review, 2020, 43, (C) View citations (4)
   See also Working Paper Linear and Nonlinear Growth Determinants: The Case of Mongolia and its Connection to China, MPRA Paper (2020) View citations (4) (2020)
8. On the pricing of overnight market risk
   Empirical Economics, 2020, 59, (3), 1307-1327 View citations (2)
9. Pricing equity-bond covariance risk: Between flight-to-quality and fear-of-missing-out
   Journal of Economic Dynamics and Control, 2020, 121, (C) View citations (3)
10. Rich men’s hobby or question of personality: Who considers collectibles as alternative investment?
    Finance Research Letters, 2020, 35, (C) View citations (1)

2019

11. Are venture capital and buyout backed IPOs any different?
    Journal of International Financial Markets, Institutions and Money, 2019, 60, (C), 39-49 View citations (2)
12. Cryptocurrencies as financial bubbles: The case of Bitcoin
    Finance Research Letters, 2019, 31, (C) View citations (77)
13. Liquidity, surprise volume and return premia in the oil market
    Energy Economics, 2019, 77, (C), 93-104 View citations (15)
14. Time-varying energy and stock market integration in Asia
    Energy Economics, 2019, 80, (C), 777-792 View citations (29)

2018

15. Addressing COP21 using a stock and oil market integration index
    Energy Policy, 2018, 116, (C), 127-136 View citations (17)

2017

16. Can stock market investors hedge energy risk? Evidence from Asia
    Energy Economics, 2017, 66, (C), 559-570 View citations (47)
17. Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods?
    Finance Research Letters, 2017, 21, (C), 144-150 View citations (5)
18. Domestic mergers and acquisitions in BRICS countries: Acquirers and targets
    Emerging Markets Review, 2017, 32, (C), 190-199 View citations (11)
19. How do bond, equity and commodity cycles interact?
    Finance Research Letters, 2017, 21, (C), 151-156 View citations (13)
20. Quantitative easing and the pricing of EMU sovereign debt
    The Quarterly Review of Economics and Finance, 2017, 66, (C), 1-12 View citations (28)
21. Rewarding risk-taking or skill? The case of private equity fund managers
    Journal of Banking & Finance, 2017, 80, (C), 14-32 View citations (3)

2016

22. Openness endangers your wealth: Noise trading and the big five
    Finance Research Letters, 2016, 16, (C), 239-247 View citations (6)
23. The betting against beta anomaly: Fact or fiction?
    Finance Research Letters, 2016, 16, (C), 283-289 View citations (2)

2015

24. 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 View citations (11)
25. Liquidity and conditional market returns: Evidence from German exchange traded funds
    Economic Modelling, 2015, 51, (C), 454-459 View citations (5)

2014

26. Multifractality and value-at-risk forecasting of exchange rates
    Physica A: Statistical Mechanics and its Applications, 2014, 401, (C), 71-81 View citations (18)
27. Multiple-period market risk prediction under long memory: when VaR is higher than expected
    Journal of Risk Finance, 2014, 15, (1), 4-32 View citations (3)

2013

28. 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 View citations (7)
29. Credit cycle dependent spread determinants in emerging sovereign debt markets
    Emerging Markets Review, 2013, 17, (C), 209-223 View citations (17)

2012

30. 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 View citations (13)
31. Explaining aggregate credit default swap spreads
    International Review of Financial Analysis, 2012, 22, (C), 18-29 View citations (18)

2010

32. 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 View citations (24)

2006

33. Nonlinear term structure dependence: Copula functions, empirics, and risk implications
    Journal of Banking & Finance, 2006, 30, (4), 1171-1199 View citations (40)
    See also Working Paper Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications, Econometrics (2004) View citations (25) (2004)

2005

34. Autoregressive conditional tail behavior and results on Government bond yield spreads
    International Review of Financial Analysis, 2005, 14, (2), 247-261 View citations (6)
35. Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds
    Economic Notes, 2005, 34, (1), 35-50 View citations (3)
36. Measuring tail thickness under GARCH and an application to extreme exchange rate changes
    Journal of Empirical Finance, 2005, 12, (1), 165-185 View citations (20)
    See also Working Paper Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes, Econometrics (2004) View citations (8) (2004)
37. Surprise volume and heteroskedasticity in equity market returns
    Quantitative Finance, 2005, 5, (2), 153-168 View citations (31)
    See also Working Paper Surprise Volume and Heteroskedasticity in Equity Market Returns, Econometrics (2004) View citations (9) (2004)

2004

38. 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 View citations (24)
39. Tail index estimation in small smaples Simulation results for independent and ARCH-type financial return models
    Statistical Papers, 2004, 45, (4), 545-561 View citations (6)
40. 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 View citations (5)

2002

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

Edited books

2013

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

Chapters

2022

1. Oil and Stock Market Returns: Direction, Volatility or Liquidity?
   Chapter 15 in Modern Finance and Risk Management Festschrift in Honour of Hermann Locarek-Junge, 2022, pp 335-351 View citations (1)

2012

2. An Option-Pricing Framework for the Valuation of Fund Management Compensation
   A chapter in Derivative Securities Pricing and Modelling, 2012, pp 331-350
3. Derivatives Securities Pricing and Modelling
   A chapter in Derivative Securities Pricing and Modelling, 2012, pp 3-14

2011

4. VaR Prediction under Long Memory in Volatility
   Springer View citations (1)

2005

5. Managing Investment Risks of Institutional Private Equity Investors — The Challenge of Illiquidity
   Springer