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 0 0 3 3
Extreme Asymmetric Volatility: VIX and S&P 500 0 0 0 0 1 7 43 43
Extreme asymmetric volatility: Stress and aggregate asset prices 0 0 0 0 1 1 6 18
Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications 1 1 2 654 1 3 10 1,564
On Adaptive Tail Index Estimation for Financial Return Models 0 0 2 201 0 0 4 538
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 0 0
Return-Volume Dependence and Extremes in International Equity Markets 0 0 0 214 0 1 5 533
Surprise Volume and Heteroskedasticity in Equity Market Returns 0 0 0 127 0 0 2 289
Systematic credit risk: CDX index correlation and extreme dependence 0 0 0 0 0 0 1 1
Total Working Papers 1 1 5 1,197 3 12 74 2,989
1 registered items for which data could not be found


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 1 8 1 1 4 48
Autoregressive conditional tail behavior and results on Government bond yield spreads 0 1 1 9 0 1 2 59
Can stock market investors hedge energy risk? Evidence from Asia 2 5 12 12 3 10 31 31
Credit cycle dependent spread determinants in emerging sovereign debt markets 0 0 0 11 1 1 3 109
Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods? 0 0 0 1 1 3 6 7
Domestic mergers and acquisitions in BRICS countries: Acquirers and targets 1 2 4 4 2 3 9 9
Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis 0 0 1 5 0 2 6 29
Explaining aggregate credit default swap spreads 0 0 0 11 3 3 5 64
Extreme asymmetric volatility: Stress and aggregate asset prices 0 2 2 10 1 5 8 35
Government intervention in response to the subprime financial crisis: The good into the pot, the bad into the crop 2 4 10 49 3 6 24 251
How do bond, equity and commodity cycles interact? 1 1 3 3 2 5 10 10
Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds 0 0 0 88 0 2 3 360
Is risk higher during non-trading periods? The risk trade-off for intraday versus overnight market returns 0 1 2 6 1 3 6 29
Liquidity and conditional market returns: Evidence from German exchange traded funds 0 0 1 3 0 0 5 18
Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany 0 1 1 16 0 1 3 90
Measuring tail thickness under GARCH and an application to extreme exchange rate changes 0 0 0 14 0 0 2 81
Multiple-period market risk prediction under long memory: when VaR is higher than expected 0 0 0 14 0 1 5 55
Openness endangers your wealth: Noise trading and the big five 0 1 8 9 1 3 21 32
Quantitative easing and the pricing of EMU sovereign debt 1 1 2 2 2 6 11 11
Rewarding risk-taking or skill? The case of private equity fund managers 2 4 12 12 4 9 37 37
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 2 7 12 101
The betting against beta anomaly: Fact or fiction? 1 2 3 6 2 5 21 41
Time-varying moments, idiosyncratic risk, and an application to hot-issue IPO aftermarket returns 0 0 0 15 0 0 1 95
Total Journal Articles 10 25 63 310 29 77 235 1,625


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 0 0 2 2 0 0 4 4
Total Chapters 0 0 2 2 0 0 4 4


Statistics updated 2018-06-06