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The index effect : comparison of different measurement approaches

Kaserer, Christoph; Munzinger, Jakob; Wagner, Niklas F. - 2004 - Version: October 2004

The purpose of this paper is to examine additions and deletions of the S&P500. Competing event studies will be performed to analyze the announcement effect with different benchmarks. The main components of the paper are a Market Model based event study and a GARCH(1,1)-M Model study. The GARCH-M...

Persistent link: https://www.econbiz.de/10009231545

Aktuelle Herausforderungen des modernen Finanzcontrollings

Wagner, Niklas F.; Buchner, Axel; Kinateder, Harald; … - In: Controlling : Zeitschrift für erfolgsorientierte … 24 (2012) 8/9, pp. 440-444

Persistent link: https://www.econbiz.de/10009614656

Explaining cross-sectional differences in credit default swap spreads : an alternative approach using value at risk

Breitenfellner, Bastian; Wagner, Niklas F. - In: The VaR implementation handbook, (pp. 121-137). 2009

Persistent link: https://www.econbiz.de/10003826939

Credit risk : models, derivatives, and management

Wagner, Niklas F. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003659412

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

Extreme asymmetric volatility : stress and aggregate asset prices

Aboura, Sofiane; Wagner, Niklas F. - In: Journal of international financial markets, … 41 (2016), pp. 47-59

Persistent link: https://www.econbiz.de/10011475918

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

Determinanten der Credit Spread Veränderungen von deutschen Mittelstandsanleihen

Kinateder, Harald; Oppolzer, Linda; Wagner, Niklas F. - In: Credit and capital markets : Kredit und Kapital 48 (2015) 1, pp. 121-147

Persistent link: https://www.econbiz.de/10011412028

Option pricing with a dynamic fat-tailed model

Aboura, Sofiane; Valeyre, Sebastien; Wagner, Niklas F. - In: Journal of derivatives & hedge funds 20 (2014) 3, pp. 131-155

Persistent link: https://www.econbiz.de/10010462976

Should emerging market investors buy commodities?

Batten, Jonathan A.; Szilágyi, Péter G.; Wagner, Niklas F. - In: Applied economics 47 (2015) 37/39, pp. 4228-4246

Persistent link: https://www.econbiz.de/10011294620