Niklas Wagner is Professor of Finance and Financial Control at the University of Passau, Germany. After receiving his PhD in Finance, he held postdoctoral appointments at the Haas School of Business, U.C. Berkeley, and at Stanford GSB, thereafter finishing his habilitation doctoral degree at TU Munich. Professor Wagner has co-authored various contributions in finance, covering research in the areas of asset management, empirical asset pricing, applied financial econometrics aswell as derivatives and risk management. In 2009, Handelsblatt Betriebswirte-Ranking listed him as a top 100 researcher at age below 40 in the overall German-speaking business administration research community. Professor Wagner has co-edited book volumes on derivatives and risk management, currently is an associate editor of Economic Modelling, Emerging Markets Review, Finance Research Letters, the Journal of International Financial Markets, Institutions and Money and the International Review of Financial Analysis, and is Editor-in-Chief of Studies in Economics and Finance. He regularly serves as a referee for well-known finance journals (including e.g. Journal of Applied Econometrics, Journal of Banking and Finance, Journal of Business and Economic Statistics, Management Science, Quantitative Finance, Review of Financial Studies). During recent years, Professor Wagner was an academic guest to leading universities in Asia, Australia, Europe as well as the U.S. Besides at Passau, he has taught courses at TU Dresden, TU Munich, Handelshochschule Leipzig, Leibniz University Hannover, Corvinus University Budapest and in the risk and investment management program of EDHEC Business School. His professional industry background is in quantitative asset management with HypoVereinsbank.
Working papers are available at SSRN.
with Kinateder H. (2019): Oil and Stock Market Returns: Direction, Volatility, or Liquidity?, Working Paper.
with Kahlert D., Weipert L. (2018): Contingent Claims Analysis of Souvereign Default Risk in the Eurozone, Working Paper.
with Kahlert D. (2017): Are Systemically Important Eurozone Banks Undercapitalized? A Stress Testing Approach, Working Paper.
with Buchner A., Kaserer C. (2016): Private Equity Funds: Valuation, Systematic Risk, and Illiquidity, CEFS Working Paper.
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 Kleine J., Peschke T. (2020): Rich Men’s Hobby or Question of Personality: Who Considers Collectibles as Alternative Investment?, Finance Research Letters: forthcoming.
with Batten J.A., Kinateder H., Szilagyi P. (2020): Hedging Stocks with Oil, Energy Economics 85: forthcoming.
with Perras P. (2020): On the Pricing of Overnight Market Risk, Empirical Economics 60: forthcoming.
with Batten J., Kinateder H., Szilagyi P. (2019): Time-Varying Energy and Stock Market Integration in Asia, Energy Economics 80: 777-792.
with Geuder J., Kinateder H. (2019): Cryptocurrencies as Financial Bubbles: The Case of Bitcoin, Finance Research Letters 31: 179-184.
with Buchner A., Mohamed A. (2019): Are Venture Capital and Buyout Backed IPOs any Different? Journal of International Financial Markets, Institutions and Money 60: 39-49
with Batten J., Kinateder H., Szilagyi P. (2019): Liquidity, Surprise Volume and Return Premia in the Oil Market, Energy Economics 77: 93-104.
with Batten J., Kinateder H., Szilagyi P. (2018): Addressing COP21 using a Stock and Oil Market Integration Index, Energy Policy 116: 127-136.
with Buchner A. (2017): Rewarding Risk-Taking or Skill? The Case of Private Equity Fund Managers, Journal of Banking and Finance 80: 14-32. link
with Kinateder H. (2017): Quantitative Easing and the Pricing of EMU Sovereign Debt, Quarterly Review of Economics and Finance 66: 1-12. link
with Narayan P., Thuraisamy K. (2017): How do Bond, Equity and Commodity Cycles Interact?, Finance Research Letters 21: 151-156. link
with Kinateder H., Fabich M. (2017): Domestic Mergers and Acquisitions in BRICS Countries: Acquirers and Targets, Emerging Markets Review 32: 190-199. link
with Kinateder H., Hofstetter B. (2017): Do Liquidity Variables Improve Out-of-sample Prediction of Sovereign Spreads During Crisis Periods?, Finance Research Letters 21: 144-150. link
with Batten J., Kinateder H., Szilagyi P. (2017): Can Stock Market Investors Hedge Energy Risk? Evidence from Asia, Energy Economics 66: 559-570. link
with Buchner A. (2016): The Betting against Beta Anomaly: Fact or Fiction? Finance Research Letters 16: 283-289. link
with Aboura S. (2016): Extreme Asymmetric Volatility: Stress and Aggregate Asset Prices, Journal of International Financial Markets, Institutions and Money 41: 47-59. link
with Kleine J., Weller T. (2016): Openness Endangers your Wealth: Noise Trading and the Big Five, Finance Research Letters 16: 239-247. link
with Czauderna K., Riedel C. (2015): Liquidity and Conditional Market Returns: Evidence from German Exchange Traded Funds, Economic Modelling 51: 454-459. link
with Riedel C. (2015): Is Risk Higher During Non-Trading Periods? The Risk Trade-Off for Intraday versus Overnight Market Returns, Journal of International Financial Markets, Institutions and Money 39: 53-64. link
with Batten J., Szilagyi P. (2015): Should Emerging Market Investors buy Commodities? Applied Economics 47: 4228-4246. link
with Batten J., Kinateder H. (2014): Multifractality and Value-at-Risk Forecasting of Exchange Rates, Physica A 401: 71-81. link
with Kinateder H. (2014): Multiple-Period Market Risk Prediction under Long Memory: When VaR is Higher than Expected, Journal of Risk Finance 15: 4-32. link
with Aboura S., Valeyre S., (2014): Option Pricing with a Dynamic Fat-Tailed Model, Journal of Derivatives and Hedge Funds 20: 131-155. link
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. link
with Riedel C., Thuraisamy K. (2013): Credit Cycle Dependent Spread Determinants in Emerging Sovereign Debt Markets, Emerging Markets Review 17: 209-223. link
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. link
with Breitenfellner B. (2012): Explaining Aggregate Credit Default Swap Spreads, International Review of Financial Analysis 22: 18-29. link
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. link
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: 289-297. link
with Junker M., Szimayer A. (2006): Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications, Journal of Banking and Finance 30: 1171-1199. link
with Ben-Zion U. (2006): Trading versus Non-Trading Returns: Evidence from Russia and the U.K., International Finance Review 6: 415-427. link
with Marsh T. A. (2005): Surprise Volume and Heteroskedasticity in Equity Market Returns, Quantitative Finance 5: 153-168. link
with Hogan W., Batten J. A. (2005): Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds, Economic Notes 34: 35-50. link
(2005): Autoregressive Conditional Tail Behavior and Results on Government Bond Yield Spreads, International Review of Financial Analysis 14: 247-261. link
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. link
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. link
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. link
(2004): Time-Varying Moments, Idiosyncratic Risk, and an Application to Hot-Issue IPO Aftermarket Returns, Research in International Business and Finance 18: 59-72. link
(2003): Estimating Financial Risk under Time-Varying Extremal Return Behavior, Operations Research Spectrum 25: 317-328. link
(2002): On a Model of Portfolio Selection with Benchmark, Journal of Asset Management 3: 55-65. link
with Szimayer A. (2001): Alternative Model Specifications for Implied Volatility Measured by the German VDAX, Kredit und Kapital 34: 590-618. link
with Bamberg G. (2000): Equity Index Replication with Standard and Robust Regression Estimators, Operations Research Spectrum 22: 525-543. link
- Bachelier Finance Society BFS
- European Finance Association EFA
- European Financial Management Association EFMA
- Financial Management Association FMA
- INQUIRE UK Annual Seminar
- ILB Financial Risk International Forum
- NUS Risk Management Conference
- International Risk Management Conference IRMC
- Private Equity Forum Paris
- SMU-ESSEC Symposium on Empirical Finance Singapore
- Applied Economics
- Empirical Economics
- European Financial Management
- European Journal of Finance
- International Review of Economics and Finance
- Journal of Applied Econometrics
- Journal of Banking and Finance
- Journal of Business and Economic Statistics
- Journal of International Money and Finance
- Journal of Risk
- Management Science
- Quantitative Finance
- Review of Financial Studies
- 2004: Habilitation - Munich University of Technology (Post-Doctoral Degree)
- 1998: Dr. rer. pol. - University of Augsburg (Doctoral Degree in Finance)
- 1994: Dipl.-Kfm. - University of Augsburg (Master's Level Business Degree)
since 2007: Professor of Finance (W3), University of Passau
2006 - 2007: Visiting Professor of Banking and Finance (W3), Leibniz University Hannover
2004 - 2006: Associate Professor (C2), Munich University of Technology
2004: Visiting Scholar, Department of Economics, University of Cambridge
2002 - 2004: Assistant Professor (C1), Munich University of Technology
2001: Visiting Scholar, Centre for Mathematical Science, Munich University of Technology
2000 - 2002: Assistant Professor (C1), Dresden University of Technology
1999 - 2000: Visiting Scholar, Graduate School of Business, Stanford University
1998 - 1999: Visiting Scholar, Haas School of Business, U.C. Berkeley
2004 – : Academic visits: ● University of Cambridge ● Santa Clara University ● Hong Kong University of Science and Technology ● Deakin University ● Columbia University ● Bank of International Settlements ● Monash University
2012 – 2013: Professor, Risk and Investment Management program, EDHEC Business School
2009: Handelsblatt Betriebswirte-Ranking listing as a top 100 researcher at age below 40 in the German-speaking overall business administration community
2003 – : VHB Best Paper Award, DGF Outstanding Paper Award, Nomination: Heinz Meier Leibnitz-Preis of the DFG, DFG and SFB-386 Travel Grants
2002 – 2005: Invitation: European Summer Symposium in Financial Markets, Studienzentrum Gerzensee, organized by the Centre of Economic Policy Research (CEPR)
1998 – 2000: DFG Postdoctoral Research Fellowship
● Corporate Finance ● Portfolio Management ● Futures and Options Markets ● Quantitative Risk Management ● Empirical Finance