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Decomposing factor exposure for equity portfolios

Tien, David; Pfleiderer, Paul; Maxim, Robert; Marsh, … - In: Linear factor models in finance, (pp. 262-275). 2005

Persistent link: https://www.econbiz.de/10003304070

Stock and bond return relations and stock market uncertainty : evidence from wavelet analysis

Lin, Fu-Lai; Yang, Sheng-Yung; Marsh, Terry Alan; Chen, … - In: International review of economics & finance : IREF 55 (2018), pp. 285-294

Persistent link: https://www.econbiz.de/10012033480

A market model with time-varying moments and results on Neuer Markt stock returns

Wagner, Niklas F. - 2001

Persistent link: https://www.econbiz.de/10001662098

Zur Messung von Rendite und Risiko bei Private Equity-Investments

Kaserer, Christoph; Wagner, Niklas F. - In: Kapitalmarkt, Unternehmensfinanzierung und rationale …, (pp. 95-108). 2006

Persistent link: https://www.econbiz.de/10003236831

VaR prediction under long memory in volatility

Kinateder, Harald; Wagner, Niklas F. - In: Operations research proceedings 2010 : selected papers …, (pp. 123-128). 2011

Persistent link: https://www.econbiz.de/10009270862

Is risk higher during non-trading periods? : the risk trade-off for intraday versus overnight market returns

Riedel, Christoph; Wagner, Niklas F. - In: Journal of international financial markets, … 39 (2015), pp. 53-64

Persistent link: https://www.econbiz.de/10011475596

Liquidity and conditional market returns : evidence from German exchange traded funds

Czauderna, Katrin; Riedel, Christoph; Wagner, Niklas F. - In: Economic modelling 51 (2015), pp. 454-459

Persistent link: https://www.econbiz.de/10011476124

Interest rates, stock returns and credit spreads : evidence from German Eurobonds

Wagner, Niklas F.; Hogan, Warren Pat; Batten, Jonathan A. - In: Economic notes : economic review of Banca Monte dei … 34 (2005) 1, pp. 35-50

Persistent link: https://www.econbiz.de/10002984476

Wann beginnt die Krise? : Ein Blick auf Finanzmarktrenditen

Locarek-Junge, Hermann; Straßberger, Mario; Wagner, … - In: Krisenkommunikation : 5. Dresdner Kolloquium an der …, (pp. 142-152). 2003

Persistent link: https://www.econbiz.de/10002063628

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

Czauderna, Katrin - 2015

In the spirit of Merton (1973), we assert that temporary aggregate market illiquidity is compensated for in the form of higher conditional market returns. In order to test this hypothesis, we use two available liquidity proxies, namely versions of the Amihud illiquidity measure and a measure...

Persistent link: https://www.econbiz.de/10013014450