EconPapers    
Economics at your fingertips  
 

Details about Niklas F Wagner

E-mail:
Homepage:http://www.wiwi.uni-passau.de/nw.html
Phone:+ 49 851 - 509 - 324
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 2023-11-07. Update your information in the RePEc Author Service.

Short-id: pwa75


Jump to Journal Articles Edited books Chapters

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 (4)
    See also Journal Article Linear and nonlinear growth determinants: The case of Mongolia and its connection to China, Emerging Markets Review, Elsevier (2020) Downloads View citations (3) (2020)

2015

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

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 Measuring tail thickness under GARCH and an application to extreme exchange rate changes, Journal of Empirical Finance, Elsevier (2005) Downloads View citations (20) (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 Nonlinear term structure dependence: Copula functions, empirics, and risk implications, Journal of Banking & Finance, Elsevier (2006) Downloads View citations (39) (2006)
  3. Return-Volume Dependence and Extremes in International Equity Markets
    Finance, University Library of Munich, Germany Downloads View citations (20)
    Also in Research Program in Finance Working Papers, University of California at Berkeley (2000) Downloads View citations (8)
  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 Surprise volume and heteroskedasticity in equity market returns, Quantitative Finance, Taylor & Francis Journals (2005) Downloads View citations (30) (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

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 Downloads 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 Downloads

2022

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

2021

  1. Collectors: Personality between consumption and investment
    Journal of Behavioral and Experimental Finance, 2021, 32, (C) Downloads View citations (1)
  2. Hedging stocks with oil
    Energy Economics, 2021, 93, (C) Downloads View citations (63)
  3. Time for gift giving: Abnormal share repurchase returns and uncertainty
    Journal of Corporate Finance, 2021, 66, (C) Downloads View citations (12)

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 (3)
    See also Working Paper Linear and Nonlinear Growth Determinants: The Case of Mongolia and its Connection to China, MPRA Paper (2020) Downloads View citations (4) (2020)
  2. On the pricing of overnight market risk
    Empirical Economics, 2020, 59, (3), 1307-1327 Downloads View citations (2)
  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 View citations (3)
  4. Rich men’s hobby or question of personality: Who considers collectibles as alternative investment?
    Finance Research Letters, 2020, 35, (C) Downloads View citations (1)

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 (2)
  2. Cryptocurrencies as financial bubbles: The case of Bitcoin
    Finance Research Letters, 2019, 31, (C) Downloads View citations (74)
  3. Liquidity, surprise volume and return premia in the oil market
    Energy Economics, 2019, 77, (C), 93-104 Downloads View citations (15)
  4. Time-varying energy and stock market integration in Asia
    Energy Economics, 2019, 80, (C), 777-792 Downloads View citations (29)

2018

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

2017

  1. Can stock market investors hedge energy risk? Evidence from Asia
    Energy Economics, 2017, 66, (C), 559-570 Downloads View citations (47)
  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 (11)
  4. How do bond, equity and commodity cycles interact?
    Finance Research Letters, 2017, 21, (C), 151-156 Downloads View citations (13)
  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 (27)
  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 (6)
  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 (11)
  2. Liquidity and conditional market returns: Evidence from German exchange traded funds
    Economic Modelling, 2015, 51, (C), 454-459 Downloads View citations (5)

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 (3)

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 (17)

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

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 (39)
    See also Working Paper Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications, Econometrics (2004) Downloads View citations (25) (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 (20)
    See also Working Paper Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes, Econometrics (2004) Downloads View citations (8) (2004)
  4. Surprise volume and heteroskedasticity in equity market returns
    Quantitative Finance, 2005, 5, (2), 153-168 Downloads View citations (30)
    See also Working Paper Surprise Volume and Heteroskedasticity in Equity Market Returns, Econometrics (2004) Downloads View citations (9) (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

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 Downloads View citations (1)

2012

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

2011

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

2005

  1. Managing Investment Risks of Institutional Private Equity Investors — The Challenge of Illiquidity
    Springer
 
Page updated 2025-04-01