Niklas Wagner

Passau University

Professor of Finance

Innstrasse 27

Passau, 94030

Germany

SCHOLARLY PAPERS

42

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16,225

SSRN CITATIONS
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Top 14,862

in Total Papers Citations

26

CROSSREF CITATIONS

33

Scholarly Papers (42)

On a Model of Portfolio Selection with Benchmark

Number of pages: 25 Posted: 11 Sep 2000
Niklas Wagner
Passau University
Downloads 1,707 (9,504)

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portfolio selection, multiattribute utility, regret, benchmark portfolio, index tracking

On a Model of Portfolio Selection with Benchmark

Journal of Asset Management, Vol. 3, No. 1, pp. 55-65, 2005
Posted: 23 Jul 2002
Niklas Wagner
Passau University

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portfolio selection, multiattribute utility, regret, benchmark portfolio, index tracking

2.

Pricing CDX Credit Default Swaps Using the Hull-White Model

Number of pages: 20 Posted: 21 Jul 2008
Bastian Hofberger and Niklas Wagner
affiliation not provided to SSRN and Passau University
Downloads 1,279 (15,321)
Citation 1

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CDS pricing, Hull-White model

3.

Private Equity Funds: Valuation, Systematic Risk and Illiquidity

Number of pages: 61 Posted: 06 Mar 2008 Last Revised: 15 Jan 2015
Axel Buchner, Christoph Kaserer and Niklas Wagner
University of Passau, Technische Universität München (TUM) and Passau University
Downloads 1,097 (19,349)
Citation 3

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private equity, venture capital, buyout, fund life cycle, equilibrium fund values, illiquidity and expected returns, time-varying systematic risk

4.

Government Intervention in Response to the Subprime Financial Crisis: The Good into the Pot, the Bad into the Crop

Number of pages: 32 Posted: 29 Jan 2009 Last Revised: 05 May 2010
Bastian Breitenfellner and Niklas Wagner
Passau University and Passau University
Downloads 1,046 (20,746)
Citation 2

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financial crisis, government intervention, bailout, risk management, credit risk, credit derivatives, securitization

5.

Return-Volume Dependence and Extremes in International Equity Markets

EFA 2003 Annual Conference Paper No. 284; Research Program in Finance RPF No. 293
Number of pages: 50 Posted: 06 Aug 2003
Terry Marsh and Niklas Wagner
Quantal International Inc. and Passau University
Downloads 945 (24,060)
Citation 12

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trading volume, return-volume dependence, mixture of distribution hypothesis, extreme returns, bivariate extremal dependence, market crashes

6.

Local and Spillover Shocks in Implied Market Volatility: Evidence for the U.S. And Germany

EFMA 2001 Lugano Meetings
Number of pages: 24 Posted: 08 Mar 2004
Alexander Szimayer and Niklas Wagner
University of Hamburg - Faculty of Economics and Business Administration and Passau University
Downloads 649 (40,506)

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implied volatility, volatility indices, volatility spillover, market stress, public news releases

7.

A New Family of Equity Style Indices and Mutual Fund Performance: Do Liquidity and Idiosyncratic Risk Matter?

Number of pages: 53 Posted: 28 Sep 2008 Last Revised: 15 Sep 2011
Niklas Wagner and Elisabeth Winter
Passau University and University of Passau
Downloads 639 (41,377)
Citation 1

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asset pricing anomalies, risk factors, mutual fund performance, idiosyncratic risk, liquidity

Extreme Asymmetric Volatility: Stress and Aggregate Asset Prices

Number of pages: 43 Posted: 25 Feb 2009 Last Revised: 21 Jun 2015
Sofiane Aboura and Niklas Wagner
Université Paris XIII Nord - Department of Economics and Management and Passau University
Downloads 623 (42,190)
Citation 2

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market volatility, asymmetric volatility, leverage effect, volatility feedback, market stress, financial stability, systemic risk, extreme volatility, aggregate asset prices;

Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices

Posted: 06 Feb 2010 Last Revised: 21 Jun 2015
Sofiane Aboura and Niklas Wagner
Université Paris XIII Nord - Department of Economics and Management and Passau University

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market volatility, asymmetric volatility, leverage effect, volatility feedback, VIX, market stress, systemic market risk

9.

Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications

Number of pages: 43 Posted: 24 Jun 2003
Markus Junker, Alexander Szimayer and Niklas Wagner
Center of Advanced European Studies and Research, Germany (CAESAR) - Financial Engineering Group, University of Hamburg - Faculty of Economics and Business Administration and Passau University
Downloads 583 (46,677)
Citation 7

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affine term structure models, nonlinear dependence, copula functions, tail dependence, value-at-risk

Interest Rates, Stock Returns, and Credit Spreads: Evidence from German Eurobonds

Number of pages: 25 Posted: 12 Feb 2003
Niklas Wagner, Warren P. Hogan and Jonathan A. Batten
Passau University, University of Technology, Sydney - School of Finance and Economics and Universiti Utara Malaysia
Downloads 547 (49,999)
Citation 1

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Credit spreads, bond ratings, spread prediction

Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds

Economic Notes, Vol. 34, No. 1, pp. 35-50, February 2005
Number of pages: 16 Posted: 09 Jul 2005
Niklas Wagner, Warren P. Hogan and Jonathan A. Batten
Passau University, University of Technology, Sydney - School of Finance and Economics and Universiti Utara Malaysia
Downloads 31 (485,132)
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11.

The Betting Against Beta Anomaly: Fact or Fiction?

Number of pages: 16 Posted: 16 Dec 2015
Axel Buchner and Niklas Wagner
University of Passau and Passau University
Downloads 567 (48,441)

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Asset Pricing, Performance Measurement, Abnormal Return, Systematic Risk

12.

Executive Pay, Free Float, and Firm Performance: Evidence from Germany

CEFS Working Paper No. 6
Number of pages: 22 Posted: 29 Mar 2005
Christoph Kaserer and Niklas Wagner
Technische Universität München (TUM) and Passau University
Downloads 549 (50,369)
Citation 4

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Executive pay, free float, corporate control

13.

Pricing CDX Credit Default Swaps with CreditGrades and Trinomial Trees

Number of pages: 28 Posted: 21 Aug 2007 Last Revised: 24 Feb 2008
Christian Stewart and Niklas Wagner
affiliation not provided to SSRN and Passau University
Downloads 543 (51,089)
Citation 1

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CDS pricing, spreads, structural models, tree models

14.

Time-Varying Moments, Idiosyncratic Risk, and an Application to Hot-Issue IPO Aftermarket Returns

Number of pages: 21 Posted: 08 Mar 2004
Niklas Wagner
Passau University
Downloads 425 (69,281)

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abnormal returns, idiosyncratic risk, aftermarket stock returns

15.

Systematic Credit Risk: CDX Index Correlation and Extreme Dependence

Number of pages: 23 Posted: 18 Sep 2007
Sofiane Aboura and Niklas Wagner
Université Paris XIII Nord - Department of Economics and Management and Passau University
Downloads 411 (72,251)

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credit risk, factor model, time-varying risk, extreme dependence

16.

Multiple-Period Market Risk Prediction under Long Memory: When VaR is Higher than Expected

Journal of Risk Finance (2014), Vol. 15, pp. 4-32
Number of pages: 60 Posted: 15 Mar 2009 Last Revised: 16 Jan 2014
Harald Kinateder and Niklas Wagner
Passau University and Passau University
Downloads 389 (76,959)
Citation 2

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multiple-period value-at-risk, volatility scaling, long memory, GARCH, Hurst exponent, square-root-of-time rule

17.

Explaining Aggregate Credit Default Swap Spreads

Number of pages: 34 Posted: 29 Jun 2009 Last Revised: 09 Feb 2012
Bastian Breitenfellner and Niklas Wagner
Passau University and Passau University
Downloads 357 (84,989)
Citation 1

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aggregate credit risk, credit default swaps, credit and stock markets, extreme spread changes, financial crisis, systemic risk, iTraxx

18.

Rewarding Risk-Taking or Managerial Skill? The Case of Private Equity Fund Managers

Number of pages: 58 Posted: 24 Apr 2015
Axel Buchner and Niklas Wagner
University of Passau and Passau University
Downloads 351 (86,689)
Citation 1

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Private equity, venture capital, buyout funds, fund manager compensation, risk-taking incentives

19.

Domestic Mergers and Acquisitions in BRICS Countries: Acquirers and Targets

Number of pages: 36 Posted: 11 Jan 2017 Last Revised: 10 Jul 2017
Harald Kinateder, Matthias Fabich and Niklas Wagner
Passau University, University of Passau and Passau University
Downloads 343 (88,990)

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Announcement Returns, BRICS Countries, Emerging Markets, Event Study, Mergers and Acquisitions

20.

On Adaptive Tail Index Estimation for Financial Return Models

UC Berkeley Working Paper No. RPF-295
Number of pages: 31 Posted: 23 Jan 2001
Niklas Wagner and Terry Marsh
Passau University and Quantal International Inc.
Downloads 301 (102,707)
Citation 7

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Fat-tails, tail index of stationary marginal distributions, Hill estimator, minimal AMSE

21.

Surprise Volume and Heteroskedasticity in Equity Market Returns

Number of pages: 40 Posted: 17 Sep 2004 Last Revised: 22 Aug 2008
Niklas Wagner and Terry Marsh
Passau University and Quantal International Inc.
Downloads 293 (105,789)
Citation 6

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ARCH, trading volume, return volume dependence, asymmetric

22.

Quantitative Easing and the Pricing of EMU Sovereign Debt

Number of pages: 52 Posted: 05 Sep 2015 Last Revised: 05 Jun 2017
Harald Kinateder and Niklas Wagner
Passau University and Passau University
Downloads 291 (106,587)
Citation 1

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credit risk, sovereign yield spreads, monetary policy, European sovereign debt crisis, unobservable factors, time-varying heterogeneity, liquidity, systematic risk premium

23.

Equities, Credits and Volatilities: A Multivariate Analysis of the European Market During the Sub-Prime Crisis

Number of pages: 17 Posted: 26 Oct 2009 Last Revised: 25 Jun 2012
affiliation not provided to SSRN, affiliation not provided to SSRN, Technische Universität München (TUM) and Passau University
Downloads 261 (119,569)
Citation 3

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credit risk, credit default swaps, iTraxx index, vector autoregression, multivariate GARCH, BEKK

24.

Measuring Tail Thickness Under GARCH and an Application to Extreme Exchange Rate Changes

Journal of Empirical Finance, Vol. 12, 2005, UC Berkeley IBER Finance Working Paper No. 297
Number of pages: 30 Posted: 22 Jan 2003 Last Revised: 04 Oct 2009
Terry Marsh and Niklas Wagner
Quantal International Inc. and Passau University
Downloads 256 (122,043)
Citation 2

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fat tails, tail index, stationary marginal distribution, GARCH, Hill estimator, foreign exchange

25.

Are Systemically Important Eurozone Banks Undercapitalized? A Stress Testing Approach

Number of pages: 56 Posted: 24 Feb 2015 Last Revised: 13 Apr 2017
Dennis Kahlert and Niklas Wagner
University of Passau and Passau University
Downloads 196 (158,265)
Citation 1

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Stress testing, aggregate bank risk, bank balance sheets, financial stability, systemic risk, economic capital

26.

Time-Varying Energy and Stock Market Integration in Asia

Number of pages: 39 Posted: 02 May 2017 Last Revised: 04 Jan 2019
Universiti Utara Malaysia, Passau University, Central European University and Passau University
Downloads 182 (169,188)

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Coal; Commodities; Energy Risk; Financial Market Integration; Gas, International Asset Pricing; Market Risk; Oil; Regime Switching Model

27.

Option Pricing with a Dynamic Fat-Tailed Model

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 38 Posted: 30 Mar 2012 Last Revised: 21 Jun 2015
Sofiane Aboura, Sébastien Valeyre and Niklas Wagner
Université Paris XIII Nord - Department of Economics and Management, John Locke Investments and Passau University
Downloads 162 (187,235)

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European-style option pricing, volatility smile, risk model

28.

Autoregressive Conditional Tail Behavior and Results on Government Bond Yield Spreads

Number of pages: 22 Posted: 16 Jun 2004
Niklas Wagner
Passau University
Downloads 149 (200,897)
Citation 3

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Tail index, Pareto-model, autoregressive conditional tail, extreme financial risk, spread risk

29.

Is Risk Higher during Non-Trading Periods? The Risk Trade-Off for Intraday versus Overnight Market Returns

Number of pages: 36 Posted: 12 Sep 2014 Last Revised: 24 Jun 2015
Christoph Riedel and Niklas Wagner
University of Passau and Passau University
Downloads 146 (204,339)
Citation 2

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market risk, tail risk, downside risk, value-at-risk, intraday returns, overnight risk, stock markets, extreme returns, tail index

30.

Can Investors Hedge Energy Risk? Evidence from Asia

Number of pages: 41 Posted: 03 May 2017
Universiti Utara Malaysia, Passau University, Central European University and Passau University
Downloads 117 (242,709)
Citation 3

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Coal, Commodities, Financial Market Integration, Gas International Asset Pricing, Oil, Systematic Risk, Market Risk

31.

Should Investors Buy Commodities?

Number of pages: 33 Posted: 27 Feb 2015
Universiti Utara Malaysia, Central European University and Passau University
Downloads 115 (245,817)

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Commodities, Financial Market Integration, International Asset Pricing, Systematic Risk, Market Risk

32.

Openness Endangers Your Wealth: Noise Trading and the Big Five

Number of pages: 20 Posted: 31 Oct 2015
Jens Kleine, Niklas Wagner and Tim Weller
Steinbeis University Berlin, Passau University and Steinbeis University Berlin
Downloads 96 (278,322)

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individual investors, market participation, noise trading, overconfidence, personality traits, Big Five model, Agreeableness, Extraversion, Openness

33.

How Do Bond, Equity and Commodity Cycles Interact?

Finance Research Letters, Forthcoming
Number of pages: 15 Posted: 27 Jan 2017
Deakin University - School of Accounting, Economics and Finance, Deakin University - Faculty of Business and Law and Passau University
Downloads 95 (280,160)

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asset pricing; cross-market dependence; Granger causality; financial cycles; time-varying risk premium; commodity markets; gold; oil; market volatility

34.

Oil and Stock Market Returns: Direction, Volatility, or Liquidity?

Number of pages: 16 Posted: 11 Dec 2017
Harald Kinateder and Niklas Wagner
Passau University and Passau University
Downloads 93 (284,061)

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Asymmetric Volatility, International Stock Markets, Oil Market Liquidity, Oil Market Volatility, OVX

35.

Credit Cycle Dependent Spread Determinants in Emerging Sovereign Debt Markets

Emerging Markets Review, Forthcoming
Number of pages: 32 Posted: 19 Mar 2013
University of Passau, Deakin University - Faculty of Business and Law and Passau University
Downloads 85 (300,644)
Citation 1

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sovereign bonds, sovereign spreads, sovereign credit cycle, structural models of credit risk, Eurobonds, regime switching, sovereign debt crises

36.

Contingent Claims Analysis of Sovereign Default Risk in the Eurozone

Number of pages: 41 Posted: 24 Apr 2017 Last Revised: 22 Oct 2017
Dennis Kahlert, Niklas Wagner and Ludwig Weipert
University of Passau, Passau University and University of Passau
Downloads 83 (305,128)

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Structural credit risk model, jump-diffusion, first-passage time, sovereign default risk, credit contagion

37.

Do Liquidity Variables Improve Out-of-Sample Prediction of Sovereign Spreads during Crisis Periods?

Finance Research Letters, Forthcoming
Number of pages: 18 Posted: 28 Feb 2017
Passau University, University of Passau and Passau University
Downloads 71 (333,873)

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EMU Sovereign Debt, Forecast Evaluation, Market Liquidity, Mean Difference Test, Out-of-Sample Prediction, Predictability of Yield Spread Changes

38.

Liquidity and Conditional Market Returns: Evidence from German Exchange Traded Funds

Economic Modelling, Vol. 51, 2015
Number of pages: 19 Posted: 04 Oct 2015
Katrin Czauderna, Christoph Riedel and Niklas Wagner
University of Passau - Business Administration and Economics, University of Passau and Passau University
Downloads 60 (364,640)

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market liquidity, market illiquidity, time-varying expected market returns, illiquidity measures, exchange traded funds

39.

Addressing COP21 Using a Stock and Oil Market Integration Index

Number of pages: 32 Posted: 31 Oct 2017 Last Revised: 09 Feb 2018
Universiti Utara Malaysia, Passau University, Central European University and Passau University
Downloads 59 (367,616)

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Commodities, COP21, Financial Market Integration, International Asset Pricing, Market Risk, WTI Oil, Risk of Climate Change, Systematic Risk

40.

Estimating Financial Risk under Time-Varying Extremal Return Behavior

OR Spectrum, Vol. 25, No. 1, 2003
Number of pages: 19 Posted: 29 Jan 2017
Niklas Wagner
Passau University
Downloads 33 (463,493)

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Conditional value-at-risk, Tail estimation, Frechet distribution, Time-varying Pareto-tail, Quantile prediction

41.

Tracking an Index with Narrow Baskets: Efficiency, Costs and Tradeoffs Involved in Optimized Portfolios

Standard and Poor's Report
Posted: 13 Oct 2009
Standard & Poor's, Passau University, Munich Financial Systems Consulting and affiliation not provided to SSRN

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Portfolio Optimization, Index Tracking, Efficient Baskets, Stepwise Regression

42.

Equity Index Replication with Standard and Robust Regression Estimators

OR Spektrum, Vol. 22, No. 4, November 2000
Posted: 23 Feb 2001 Last Revised: 09 Oct 2009
Gunter Bamberg and Niklas Wagner
University of Augsburg - Department of Statistics and Mathematical Economic Theory and Passau University

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Approximate equity index replication, linear regression, robust estimation, non-linear estimation, tracking error