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Niklas F Wagner


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Personal Details

First Name: Niklas
Middle Name: F
Last Name: Wagner

RePEc Short-ID: pwa75

Postal Address: Department of Finance and Financial Control Passau University 94030 Passau, Germany
Phone: + 49 851 - 509 - 3240


Fakultät für Wirtschaftswissenschaften
Universität Passau
Location: Passau, Germany
Phone: ++49 (0)851 509 0
Fax: ++49 (0)851 509 1005
Postal: 94030 Passau
Handle: RePEc:edi:fwpasde (more details at EDIRC)


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Working papers

  1. Aboura, Sofiane & Wagner, Niklas, 2009. "Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices," Economics Papers from University Paris Dauphine 123456789/3400, Paris Dauphine University.
  2. Aboura, Sofiane & Wagner, Niklas, 2008. "Systematic credit risk: CDX index correlation and extreme dependence," Economics Papers from University Paris Dauphine 123456789/1039, Paris Dauphine University.
  3. Niklas Wagner & Terry A. Marsh, 2004. "Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes," Econometrics 0401008, EconWPA.
  4. Markus Junker & Alexander Szimayer & Niklas Wagner, 2004. "Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications," Econometrics 0401007, EconWPA.
  5. Terry A. Marsh & Niklas Wagner, 2004. "Return-Volume Dependence and Extremes in International Equity Markets," Finance 0401007, EconWPA.
  6. Niklas Wagner & Terry A. Marsh, 2004. "Surprise Volume and Heteroskedasticity in Equity Market Returns," Econometrics 0409009, EconWPA.
  7. Niklas Wagner and Terry Marsh., 2000. "On Adaptive Tail Index Estimation for Financial Return Models," Research Program in Finance Working Papers RPF-295, University of California at Berkeley.


  1. Harald Kinateder & Niklas Wagner, 2014. "Multiple-period market risk prediction under long memory: when VaR is higher than expected," Journal of Risk Finance, Emerald Group Publishing, vol. 15(1), pages 4-32, January.
  2. Riedel, Christoph & Thuraisamy, Kannan S. & Wagner, Niklas, 2013. "Credit cycle dependent spread determinants in emerging sovereign debt markets," Emerging Markets Review, Elsevier, vol. 17(C), pages 209-223.
  3. Wagner, Niklas & Winter, Elisabeth, 2013. "A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 69-85.
  4. Breitenfellner, Bastian & Wagner, Niklas, 2012. "Explaining aggregate credit default swap spreads," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 18-29.
  5. Schreiber, Irene & Müller, Gernot & Klüppelberg, Claudia & Wagner, Niklas, 2012. "Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 57-65.
  6. Breitenfellner, Bastian & Wagner, Niklas, 2010. "Government intervention in response to the subprime financial crisis: The good into the pot, the bad into the crop," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 289-297, September.
  7. Niklas Wagner & Warren Hogan & Jonathan Batten, 2005. "Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 34(1), pages 35-50, 02.
  8. Wagner, Niklas, 2005. "Autoregressive conditional tail behavior and results on Government bond yield spreads," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 247-261.
  9. Wagner, Niklas, 2004. "Time-varying moments, idiosyncratic risk, and an application to hot-issue IPO aftermarket returns," Research in International Business and Finance, Elsevier, vol. 18(1), pages 59-72, April.
  10. Wagner, Niklas & Szimayer, Alexander, 2004. "Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany," Research in International Business and Finance, Elsevier, vol. 18(3), pages 237-251, September.
  11. Niklas Wagner & Terry Marsh, 2004. "Tail index estimation in small smaples Simulation results for independent and ARCH-type financial return models," Statistical Papers, Springer, vol. 45(4), pages 545-561, October.


  1. Studies in Economics and Finance, Emerald Group Publishing.

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2004-09-30
  2. NEP-ECM: Econometrics (1) 2004-02-01
  3. NEP-ETS: Econometric Time Series (2) 2004-02-01 2004-09-30. Author is listed
  4. NEP-FIN: Finance (3) 2004-02-01 2004-02-01 2004-09-30. Author is listed
  5. NEP-FMK: Financial Markets (3) 2004-02-01 2004-02-01 2004-02-01. Author is listed
  6. NEP-IFN: International Finance (1) 2004-02-01
  7. NEP-MAC: Macroeconomics (1) 2004-02-01
  8. NEP-RMG: Risk Management (2) 2004-02-01 2004-02-01. Author is listed


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