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The Hill estimator in financial risk assessment and an application to extremal exchange rate risk

Wagner, Niklas F. - In: Financial risk and financial risk management, (pp. 173-187). 2002

Persistent link: https://www.econbiz.de/10001755640

Real Estate Private Equity - Funktion und Bedeutung einer Anlageklasse

Achleitner, Ann-Kristin; Wagner, Niklas F. - In: Stand und Entwicklungstendenzen der Immobilienökonomie …, (pp. 137-151). 2006

Persistent link: https://www.econbiz.de/10003352360

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

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

Quantitatives Fondsrating : ein persistentes Signal für langfristige Fondsqualität?

Wagner, Niklas F.; Stocker, Elisabeth; Sälzle, Rüdiger - In: Finanz-Betrieb : FB ; Zeitschrift für … 9 (2007) 7/8, pp. 461-472

Persistent link: https://www.econbiz.de/10003491509

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