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

: ++49 (0)851 509 0
++49 (0)851 509 1005
94030 Passau
RePEc:edi:fwpasde (more details at EDIRC)
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  1. Sofiane Aboura & Niklas Wagner, 2017. "Extreme Asymmetric Volatility: VIX and S&P 500," Working Papers hal-01526366, HAL.
  2. Sofiane Aboura & Niklas Wagner, 2015. "Extreme asymmetric volatility: Stress and aggregate asset prices," Post-Print hal-01275450, HAL.
  3. Sofiane Aboura & Sébastien Valeyre & Niklas Wagner, 2013. "Option Pricing with a Dynamic Fat-Tailed Model," Post-Print hal-01526341, HAL.
  4. Niklas Wagner & Sofiane Aboura, 2010. "Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices," Post-Print hal-01526073, HAL.
  5. Sofiane Aboura & Niklas Wagner, 2008. "Systematic credit risk: CDX index correlation and extreme dependence," Post-Print hal-01529353, HAL.
  6. Markus Junker & Alexander Szimayer & Niklas Wagner, 2004. "Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications," Econometrics 0401007, EconWPA.
  7. Niklas Wagner & Terry A. Marsh, 2004. "Surprise Volume and Heteroskedasticity in Equity Market Returns," Econometrics 0409009, EconWPA.
  8. Terry A. Marsh & Niklas Wagner, 2004. "Return-Volume Dependence and Extremes in International Equity Markets," Finance 0401007, EconWPA.
  9. 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.
    repec:hal:wpaper:hal-01529353 is not listed on IDEAS
  1. Narayan, Paresh Kumar & Thuraisamy, Kannan S. & Wagner, Niklas F., 2017. "How do bond, equity and commodity cycles interact?," Finance Research Letters, Elsevier, vol. 21(C), pages 151-156.
  2. Kinateder, Harald & Hofstetter, Benedikt & Wagner, Niklas, 2017. "Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods?," Finance Research Letters, Elsevier, vol. 21(C), pages 144-150.
  3. Aboura, Sofiane & Wagner, Niklas, 2016. "Extreme asymmetric volatility: Stress and aggregate asset prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 47-59.
  4. Buchner, Axel & Wagner, Niklas, 2016. "The betting against beta anomaly: Fact or fiction?," Finance Research Letters, Elsevier, vol. 16(C), pages 283-289.
  5. Kleine, Jens & Wagner, Niklas & Weller, Tim, 2016. "Openness endangers your wealth: Noise trading and the big five," Finance Research Letters, Elsevier, vol. 16(C), pages 239-247.
  6. Czauderna, Katrin & Riedel, Christoph & Wagner, Niklas, 2015. "Liquidity and conditional market returns: Evidence from German exchange traded funds," Economic Modelling, Elsevier, vol. 51(C), pages 454-459.
  7. Harald Kinateder & Linda Oppolzer & Niklas Wagner, 2015. "The Determinants of Credit Spread Changes of German SME Bonds," Credit and Capital Markets, Credit and Capital Markets, vol. 48(1), pages 121-147.
  8. Riedel, Christoph & Wagner, Niklas, 2015. "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, Elsevier, vol. 39(C), pages 53-64.
  9. 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.
  10. 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.
  11. 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.
  12. Breitenfellner, Bastian & Wagner, Niklas, 2012. "Explaining aggregate credit default swap spreads," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 18-29.
  13. 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.
  14. 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.
  15. Wagner, Niklas & Marsh, Terry A., 2005. "Measuring tail thickness under GARCH and an application to extreme exchange rate changes," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 165-185, January.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  1. Studies in Economics and Finance, Emerald Group Publishing.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FIN: Finance (2) 2004-02-01 2004-09-30
  2. NEP-FMK: Financial Markets (2) 2004-02-01 2004-02-01
  3. NEP-CFN: Corporate Finance (1) 2004-09-30
  4. NEP-ETS: Econometric Time Series (1) 2004-09-30
  5. NEP-MAC: Macroeconomics (1) 2004-02-01
  6. NEP-RMG: Risk Management (1) 2004-02-01

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