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Wagner, Niklas's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
10,563 |
Total
Citations
39 |
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1.
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On a Model of Portfolio Selection with Benchmark
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Wagner, Niklas
Passau University
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Posted:
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11 Sep 00
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Last Revised:
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27 Jul 05
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1,564
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Wagner, Niklas
Passau University
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portfolio selection, multiattribute utility, regret, benchmark portfolio, index tracking
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Wagner, Niklas
Passau University
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1,564
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portfolio selection, multiattribute utility, regret, benchmark portfolio, index tracking
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2.
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Hofberger, Bastian
affiliation not provided to SSRN Wagner, Niklas
Passau University
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996
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CDS pricing, Hull-White model
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3.
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Marsh , Terry A.
University of California, Berkeley - Department of Finance Wagner, Niklas
Passau University
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877
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9
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trading volume, return-volume dependence, mixture of distribution hypothesis, extreme returns, bivariate extremal dependence, market crashes
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4.
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Breitenfellner, Bastian
Passau University Wagner, Niklas
Passau University
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29 Jan 09
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Last Revised:
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05 May 10
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733
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1
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financial crisis, government intervention, bailout, risk management, credit risk, credit derivatives, securitization
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5.
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Szimayer, Alexander
University of Hamburg - Faculty of Economics and Business Administration Wagner, Niklas
Passau University
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570
(21,458)
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4
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implied volatility, volatility indices, volatility spillover, market stress, public news releases
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6.
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Wagner, Niklas
Passau University Winter, Elisabeth
University of Passau
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28 Sep 08
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Last Revised:
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15 Sep 11
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555
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1
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asset pricing anomalies, risk factors, mutual fund performance, idiosyncratic risk, liquidity
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7.
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Buchner, Axel
University of Passau Kaserer, Christoph
Technische Universität München (TUM) Wagner, Niklas
Passau University
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06 Mar 08
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Last Revised:
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12 Mar 12
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526
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private equity, venture capital, buyout, fund life cycle, equilibrium fund values, illiquidity and expected returns, time-varying systematic risk
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8.
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Junker, Markus
Center of Advanced European Studies and Research, Germany (CAESAR) - Financial Engineering Group Szimayer, Alexander
University of Hamburg - Faculty of Economics and Business Administration Wagner, Niklas
Passau University
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520
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5
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affine term structure models, nonlinear dependence, copula functions, tail dependence, value-at-risk
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9.
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Interest Rates, Stock Returns, and Credit Spreads: Evidence from German Eurobonds
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Wagner, Niklas
Passau University Hogan, Warren P.
University of Technology, Sydney - School of Finance and Economics Batten, Jonathan A.
Hong Kong University of Science & Technology (HKUST) - Department of Finance
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Posted:
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12 Feb 03
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Last Revised:
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25 Sep 08
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511
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3
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Wagner, Niklas
Passau University Hogan, Warren P.
University of Technology, Sydney - School of Finance and Economics Batten, Jonathan A.
Hong Kong University of Science & Technology (HKUST) - Department of Finance
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31
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Wagner, Niklas
Passau University Hogan, Warren P.
University of Technology, Sydney - School of Finance and Economics Batten, Jonathan A.
Hong Kong University of Science & Technology (HKUST) - Department of Finance
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480
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3
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Credit spreads, bond ratings, spread prediction
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10.
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Stewart, Christian
affiliation not provided to SSRN Wagner, Niklas
Passau University
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21 Aug 07
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Last Revised:
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24 Feb 08
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485
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1
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CDS pricing, spreads, structural models, tree models
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11.
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Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG) Wagner, Niklas
Passau University
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25 Feb 09
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Last Revised:
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18 Jan 13
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423
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3
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market volatility, asymmetric volatility, leverage effect, volatility feedback, VIX, market stress, systemic market risk
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12.
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Wagner, Niklas
Passau University
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394
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2
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abnormal returns, idiosyncratic risk, aftermarket stock returns
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13.
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Kaserer, Christoph
Technische Universität München (TUM) Wagner, Niklas
Passau University
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361
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Executive pay, free float, corporate control
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14.
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Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG) Wagner, Niklas
Passau University
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353
(39,685)
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credit risk, factor model, time-varying risk, extreme dependence
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15.
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Wagner, Niklas
Passau University Marsh , Terry A.
University of California, Berkeley - Department of Finance
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276
(53,053)
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3
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Fat-tails, tail index of stationary marginal distributions, Hill estimator, minimal AMSE
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16.
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Kinateder, Harald
Passau University Wagner, Niklas
Passau University
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15 Mar 09
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Last Revised:
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31 Oct 12
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270
(54,351)
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multiple-period value-at-risk, volatility scaling, long memory, GARCH, Hurst exponent, square-root-of-time rule
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17.
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Breitenfellner, Bastian
Passau University Wagner, Niklas
Passau University
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| Posted: |
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29 Jun 09
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Last Revised:
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09 Feb 12
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260
(56,730)
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aggregate credit risk, credit default swaps, credit and stock markets, extreme spread changes, financial crisis, systemic risk, iTraxx
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18.
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Wagner, Niklas
Passau University Marsh , Terry A.
University of California, Berkeley - Department of Finance
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| Posted: |
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17 Sep 04
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Last Revised:
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22 Aug 08
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234
(63,564)
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2
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ARCH, trading volume, return volume dependence, asymmetric
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19.
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Marsh , Terry A.
University of California, Berkeley - Department of Finance Wagner, Niklas
Passau University
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| Posted: |
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22 Jan 03
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Last Revised:
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04 Oct 09
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231
(64,482)
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1
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fat tails, tail index, stationary marginal distribution, GARCH, Hill estimator, foreign exchange
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20.
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Schreiber, Irene
affiliation not provided to SSRN Müller, Gernot
affiliation not provided to SSRN Klüppelberg, C.
Technische Universität München (TUM) Wagner, Niklas
Passau University
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| Posted: |
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26 Oct 09
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Last Revised:
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25 Jun 12
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192
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2
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credit risk, credit default swaps, iTraxx index, vector autoregression, multivariate GARCH, BEKK
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21.
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Wagner, Niklas
Passau University
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125
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1
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Tail index, Pareto-model, autoregressive conditional tail, extreme financial risk, spread risk
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22.
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Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG) Valeyre, Sébastien
John Locke Investments Wagner, Niklas
Passau University
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| Posted: |
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30 Mar 12
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Last Revised:
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25 Jan 13
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86
(149,436)
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European-style option pricing, volatility smile, risk model
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23.
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Riedel, Christoph
University of Passau Thuraisamy, Kannan S.
Deakin University - Faculty of Business and Law Wagner, Niklas
Passau University
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21
(271,695)
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sovereign bonds, sovereign spreads, sovereign credit cycle, structural models of credit risk, Eurobonds, regime switching, sovereign debt crises
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24.
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Dash, Srikant
Standard & Poor's Wagner, Niklas
Passau University Brück, Bernhard
Munich Financial Systems Consulting Diller, Christian
Munich Financial Systems Consulting
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Portfolio Optimization, Index Tracking, Efficient Baskets, Stepwise Regression
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25.
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Bamberg , Gunter
University of Augsburg - Department of Statistics and Mathematical Economic Theory Wagner, Niklas
Passau University
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| Posted: |
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23 Feb 01
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Last Revised:
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09 Oct 09
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Approximate equity index replication, linear regression, robust estimation, non-linear estimation, tracking error
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