Access Statistics for Niklas F Wagner

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices 0 0 1 1 1 2 5 5
Extreme Asymmetric Volatility: VIX and S&P 500 0 0 0 0 2 10 46 59
Extreme asymmetric volatility: Stress and aggregate asset prices 0 0 0 0 1 2 6 21
Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications 0 0 1 654 1 1 8 1,565
On Adaptive Tail Index Estimation for Financial Return Models 0 0 0 201 0 1 5 541
Option Pricing with a Dynamic Fat-Tailed Model 0 0 0 0 0 0 0 0
Option pricing with a dynamic fat-tailed model 0 0 0 0 0 0 1 1
Return-Volume Dependence and Extremes in International Equity Markets 0 0 0 214 0 0 1 533
Surprise Volume and Heteroskedasticity in Equity Market Returns 0 0 0 127 0 0 0 289
Systematic credit risk: CDX index correlation and extreme dependence 0 0 0 0 0 0 0 1
Total Working Papers 0 0 2 1,197 5 16 72 3,015


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter? 0 0 2 9 1 1 4 50
Autoregressive conditional tail behavior and results on Government bond yield spreads 0 0 1 9 0 0 2 59
Can stock market investors hedge energy risk? Evidence from Asia 0 0 12 13 3 7 39 42
Credit cycle dependent spread determinants in emerging sovereign debt markets 0 0 0 11 4 4 7 115
Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods? 0 0 0 1 0 1 7 9
Domestic mergers and acquisitions in BRICS countries: Acquirers and targets 1 2 7 7 2 4 17 17
Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis 0 0 0 5 0 0 4 29
Explaining aggregate credit default swap spreads 0 0 0 11 0 0 3 64
Extreme asymmetric volatility: Stress and aggregate asset prices 1 1 3 11 2 4 10 40
Government intervention in response to the subprime financial crisis: The good into the pot, the bad into the crop 0 0 8 50 0 1 19 256
How do bond, equity and commodity cycles interact? 0 0 2 3 1 2 12 13
Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds 0 0 0 88 0 0 3 361
Is risk higher during non-trading periods? The risk trade-off for intraday versus overnight market returns 0 0 5 9 0 1 10 34
Liquidity and conditional market returns: Evidence from German exchange traded funds 0 0 1 3 0 0 4 18
Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany 0 0 2 17 0 0 5 92
Measuring tail thickness under GARCH and an application to extreme exchange rate changes 0 0 0 14 0 1 3 82
Multiple-period market risk prediction under long memory: when VaR is higher than expected 0 0 0 14 0 1 3 56
Openness endangers your wealth: Noise trading and the big five 0 0 5 9 1 1 14 34
Quantitative easing and the pricing of EMU sovereign debt 0 0 2 2 0 1 14 14
Rewarding risk-taking or skill? The case of private equity fund managers 2 3 8 16 9 14 38 56
Tail index estimation in small smaples Simulation results for independent and ARCH-type financial return models 0 0 0 2 0 0 0 23
The Determinants of Credit Spread Changes of German SME Bonds 0 0 0 0 1 3 16 107
The betting against beta anomaly: Fact or fiction? 0 0 2 6 1 1 14 42
Time-varying moments, idiosyncratic risk, and an application to hot-issue IPO aftermarket returns 0 0 0 15 0 0 0 95
Total Journal Articles 4 6 60 325 25 47 248 1,708


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Introduction to Risk Management Post Financial Crisis: A Period of Monetary Easing 1 2 3 4 2 7 9 12
Total Chapters 1 2 3 4 2 7 9 12


Statistics updated 2018-11-07