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On the dynamics of market illiquidity

Wagner, Niklas F. - In: Stock market liquidity : implications for market …, (pp. 349-357). 2008

Persistent link: https://www.econbiz.de/10003650783

Nonlinear term structure dependence: Copula functions, empirics, and risk implications

Junker, Markus; Szimayer, Alex; Wagner, Niklas F. - In: Journal of banking & finance 30 (2006) 4, pp. 1171-1199

Persistent link: https://www.econbiz.de/10003310246

Trading versus non-trading returns: evidence from Russia and the UK

Ben-Zion, Uri; Wagner, Niklas F. - In: Emerging European financial markets : independence and …, (pp. 415-427). 2006

Persistent link: https://www.econbiz.de/10003423394

Time-varying moments, idiosyncratic risk, and an application to hot-issue IPO aftermarket returns

Wagner, Niklas F. - In: Research in international business and finance 18 (2004) 1, pp. 59-72

Persistent link: https://www.econbiz.de/10003395986

Local and spillover shocks in implied market volatility : evidence for the U.S. and Germany

Wagner, Niklas F.; Szimayer, Alexander - In: Research in international business and finance 18 (2004) 3, pp. 237-251

Persistent link: https://www.econbiz.de/10003396216

Derivative securities pricing and modelling

Batten, Jonathan A. (contributor); … - 2012 - 1. ed.

Persistent link: https://www.econbiz.de/10009574776

Surprise volume and heteroskedasticity in equity market returns

Wagner, Niklas F.; Marsh, Terry Alan - 2004 - Version: September 2004

Heterosedasticity in returns may be explainable by trading volume. We use different volume variables, including surprise volume - i.e. unexpected above-avergae trading activity - which is derived from uncorrelated volume innovations. Assuming eakly exogenous volume, we extend the Lamoureux and...

Persistent link: https://www.econbiz.de/10009243804

A new family of equity style indices and mutual fund performance : do liquidity and idiosyncratic risk matter?

Wagner, Niklas F.; Winter, Elisabeth - In: Journal of empirical finance 21 (2013), pp. 69-85

Persistent link: https://www.econbiz.de/10009745292

Equities, credits and volatilities : a multivariate analysis of the European market during the subprime crisis

Schreiber, Irene; Müller, Gernot; Klüppelberg, Claudia; … - In: International review of financial analysis 24 (2012), pp. 57-65

Persistent link: https://www.econbiz.de/10009688173

Credit cycle dependent spread determinants in emerging sovereign debt markets

Riedel, Christoph; Thuraisamy, Kannan S.; Wagner, Niklas F. - In: Emerging markets review 17 (2013), pp. 209-223

Persistent link: https://www.econbiz.de/10010243082