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 0 0 0 0 7 12
Extreme asymmetric volatility: Stress and aggregate asset prices 0 0 0 0 0 0 1 28
Linear and Nonlinear Growth Determinants: The Case of Mongolia and its Connection to China 0 0 23 23 0 1 14 14
Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes 0 0 0 238 1 2 4 436
Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications 0 0 1 656 0 1 4 1,574
On Adaptive Tail Index Estimation for Financial Return Models 0 1 1 202 0 1 7 554
Return-Volume Dependence and Extremes in International Equity Markets 0 0 1 216 0 0 6 548
Return-Volume Dependence and Extremes in International Equity Markets 0 0 1 118 0 0 3 374
Stochastic modeling of private equity: an equilibrium based approach to fund valuation 0 3 13 90 3 11 46 291
Surprise Volume and Heteroskedasticity in Equity Market Returns 0 0 2 131 3 4 17 317
Surprise volume and heteroskedasticity in equity market returns 0 0 0 7 0 0 3 56
Systematic credit risk: CDX index correlation and extreme dependence 0 0 1 1 1 1 6 12
Total Working Papers 0 4 43 1,682 8 21 118 4,216


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? 2 2 2 13 3 4 6 64
Addressing COP21 using a stock and oil market integration index 0 0 2 7 2 6 12 40
Are venture capital and buyout backed IPOs any different? 1 1 8 10 2 5 34 43
Autoregressive conditional tail behavior and results on Government bond yield spreads 0 0 0 9 0 0 3 62
Can stock market investors hedge energy risk? Evidence from Asia 0 1 3 18 1 2 15 81
Credit cycle dependent spread determinants in emerging sovereign debt markets 0 0 1 14 2 5 16 139
Cryptocurrencies as financial bubbles: The case of Bitcoin 4 8 24 24 6 16 45 45
Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods? 0 0 0 2 0 2 3 14
Domestic mergers and acquisitions in BRICS countries: Acquirers and targets 0 0 1 14 1 2 20 59
Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis 0 0 1 6 0 0 5 40
Explaining aggregate credit default swap spreads 1 2 3 14 1 2 8 75
Government intervention in response to the subprime financial crisis: The good into the pot, the bad into the crop 1 1 6 59 4 9 20 293
How do bond, equity and commodity cycles interact? 0 0 4 9 0 1 14 33
Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds 0 0 0 88 0 0 5 367
Is risk higher during non-trading periods? The risk trade-off for intraday versus overnight market returns 0 0 1 11 0 1 6 49
Linear and nonlinear growth determinants: The case of Mongolia and its connection to China 0 0 0 0 4 8 11 11
Liquidity and conditional market returns: Evidence from German exchange traded funds 1 1 2 5 2 3 6 28
Liquidity, surprise volume and return premia in the oil market 0 0 4 5 3 3 26 38
Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany 0 0 0 17 0 2 3 99
Measuring tail thickness under GARCH and an application to extreme exchange rate changes 0 0 0 14 0 0 1 85
Multifractality and value-at-risk forecasting of exchange rates 1 1 2 22 2 2 10 83
Multiple-period market risk prediction under long memory: when VaR is higher than expected 0 0 0 14 0 1 3 59
Nonlinear term structure dependence: Copula functions, empirics, and risk implications 0 0 1 70 0 0 5 205
Openness endangers your wealth: Noise trading and the big five 1 2 3 15 2 4 11 56
Quantitative easing and the pricing of EMU sovereign debt 0 1 4 8 2 5 15 41
Rewarding risk-taking or skill? The case of private equity fund managers 0 0 3 32 1 3 16 118
Rich men’s hobby or question of personality: Who considers collectibles as alternative investment? 1 1 3 3 1 4 9 9
Surprise volume and heteroskedasticity in equity market returns 0 0 0 1 0 0 2 19
Tail index estimation in small smaples Simulation results for independent and ARCH-type financial return models 0 0 0 2 0 0 4 27
The betting against beta anomaly: Fact or fiction? 0 1 1 10 0 3 8 59
Time-varying energy and stock market integration in Asia 0 3 6 7 2 10 23 27
Time-varying moments, idiosyncratic risk, and an application to hot-issue IPO aftermarket returns 0 0 0 15 0 1 4 103
Total Journal Articles 13 25 85 538 41 104 369 2,471


Statistics updated 2020-11-03