Niklas Wagner

Working papers are available at SSRN.

with Aboura S. (2013):
Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices, Working Paper, Université de Paris IX, Dauphine and Passau University

with Buchner A., Kaserer C. (2013):
Private Equity Fund Valuation and Systematic Risk: An Equilibrium Approach and Empirical Evidence, CEFS Working Paper

with Kinateder H. (2012):
When VaR is Higher than Expected: Market Risk Prediction under Long Memory, Working Paper, Passau University

with Kaserer C. (2012):
Determinanten der Vorstandsvergütung: Paradigmenwechsel oder Versagen in der Unternehmenskontrolle?, CEFS Working Paper No. 2004-6

with Marsh T. A. (2000):
On Adaptive Tail Index Estimation for Financial Return Models, Working Paper No. RPF-295, U.C. Berkeley, November 2000

with Marsh T. A. (2000):
Return-Volume Dependence and Extremes in International Equity Markets, Working Paper No. RPF-293, U.C. Berkeley, May 2000

with C. Riedel, K. Thuraisamy (2013):
Credit Cycle Dependent Spread Determinants in Emerging Sovereign Debt Markets, Emerging Markets Review: forthcoming

with Buchner A. (2013):
Portfolio and Risk Management for Private Equity Fund Investments, in: Baker, H. K., Filbeck, G. (eds.): Portfolio Theory and Management, Oxford University Press, New York, pp. 638-653.

with Winter E. (2013):
A New Family of Equity Style Indices and Mutual Fund Performance: Do Liquidity and Idiosyncratic Risk Matter?, Journal of Empirical Finance 21: 69-85. paper

with Schreiber I., Müller G., Klüppelberg C. (2012):
Equities, Credits and Volatilities: A Multivariate Analysis of the European Market during the Subprime Crisis, International Review of Financial Analysis 22: 57-65. paper

with A. Buchner, A. Mohamed (2012):
An Option-Pricing Framework for the Valuation of Fund Management Compensation, in: Batten J., Wagner N. (eds.): Derivative Securities Pricing and Modelling, Emerald, Bingley, pp. 331–350

with Breitenfellner B. (2012):
Explaining aggregate credit default swap spreads, International Review of Financial Analysis 22: 18-29. paper

with Breitenfellner B. (2010):
Government Intervention in Response to the Subprime Financial Crisis: The Good into the Pot, the Bad into the Crop, International Review of Financial Analysis 19: 289-297paper

with Buchner A., Kaserer C. (2010):
Modeling the Cash Flow Dynamics of Private Equity Funds: Theory and Empirical Evidence, Journal of Alternative Investments 13: 41-54. paper

with Junker M., Szimayer A. (2006):
Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications, Journal of Banking and Finance 30: 1171-1199. paper

with Marsh T. A. (2005):
Surprise Volume and Heteroskedasticity in Equity Market Returns, Quantitative Finance 5: 153-168. paper

with Hogan W. , Batten J. A. (2005):
Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds, Economic Notes 34: 35-50. paper

Wagner N. (2005):
Autoregressive Conditional Tail Behavior and Results on Government Bond Yield Spreads, International Review of Financial Analysis 14: 247-261. paper

with Marsh T. A. (2005):
Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes, Journal of Empirical Finance 12: 165-185. paper

with Szimayer A. (2004):
Local and Spillover Shocks in Implied Market Volatility: Evidence for the U.S. and Germany, Research in International Business and Finance 18: 237-251. paper

with Marsh T. A. (2004):
Tail Index Estimation in Small Samples: Simulation Results for Independent and ARCH-type Financial Return Models, Statistical Papers 45: 545-562. paper

Wagner N. (2004):
Time-Varying Moments, Idiosyncratic Risk, and an Application to Hot-Issue IPO Aftermarket Returns, Research in International Business and Finance 18: 59-72. paper

Wagner N. (2003):
Estimating Financial Risk under Time-Varying Extremal Return Behavior, Operations Research Spectrum 25: 317-328. paper

Wagner N. (2002):
On a Model of Portfolio Selection with Benchmark, Journal of Asset Management 3: 55-65. paper

with Szimayer A. (2001):
Alternative Model Specifications for Implied Volatility Measured by the German VDAX, Kredit und Kapital 34: 590-618. paper

with Bamberg G. (2000):
Equity Index Replication with Standard and Robust Regression Estimators, Operations Research Spectrum 22: 525-543. paper