Niklas F Wagner : Citation Profile


Are you Niklas F Wagner?

Universität Passau

9

H index

8

i10 index

242

Citations

RESEARCH PRODUCTION:

29

Articles

11

Papers

RESEARCH ACTIVITY:

   19 years (2000 - 2019). See details.
   Cites by year: 12
   Journals where Niklas F Wagner has often published
   Relations with other researchers
   Recent citing documents: 53.    Total self citations: 9 (3.59 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwa75
   Updated: 2019-11-10    RAS profile: 2019-09-26    
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Relations with other researchers


Works with:

Batten, Jonathan (5)

Szilagyi, Peter (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Niklas F Wagner.

Is cited by:

Bollerslev, Tim (5)

Iglesias, Emma (5)

Rockinger, Michael (4)

Shen, Dehua (4)

Balcilar, Mehmet (4)

Voia, Marcel (4)

Shahbaz, Muhammad (4)

Han, Heejoon (3)

Fernandez, Viviana (3)

Härdle, Wolfgang (3)

Verbeek, Marno (3)

Cites to:

Bekaert, Geert (13)

Bollerslev, Tim (12)

Narayan, Paresh (12)

Engle, Robert (11)

Nguyen, Duc Khuong (11)

Pedersen, Lasse (10)

de Vries, Casper (10)

Harvey, Campbell (9)

Jagannathan, Ravi (9)

Batten, Jonathan (8)

Singleton, Kenneth (8)

Main data


Where Niklas F Wagner has published?


Journals with more than one article published# docs
Finance Research Letters4
International Review of Financial Analysis4
Energy Economics3
Research in International Business and Finance2
Journal of Banking & Finance2
Emerging Markets Review2
Journal of Empirical Finance2
Journal of International Financial Markets, Institutions and Money2

Working Papers Series with more than one paper published# docs
Econometrics / University Library of Munich, Germany3
Post-Print / HAL3
Research Program in Finance Working Papers / University of California at Berkeley2
CEFS Working Paper Series / Technische Universitt Mnchen (TUM), Center for Entrepreneurial and Financial Studies (CEFS)2

Recent works citing Niklas F Wagner (2019 and 2018)


YearTitle of citing document
2018Quantitative easing and sovereign bond yields: a global perspective. (2018). Migiakis, Petros ; Malliaropulos, Dimitrios. In: Working Papers. RePEc:bog:wpaper:253.

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2018“Much Ado about Nothing”? The Effect of Print Media Tone on Stock Indices. (2018). Schreiber, Ben Z ; Saadon, Yossi ; Rosenboim, Mosi. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2018.10.

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2018Non-Performing Loans, Cost of Capital, and Lending Supply: Lessons from the Eurozone Banking Crisi. (2018). Chiesa, Gabriella ; Mansilla-Fernandez, J M. In: Working Papers. RePEc:bol:bodewp:wp1124.

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2017Can asymmetric conditional volatility imply asymmetric tail dependence?. (2017). Kim, Jong-Min ; Jung, Hojin. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:409-418.

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2018Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis. (2018). Shen, Dehua ; Zhang, Wei ; Li, Xiao. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:127-133.

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2018The impact of dividend-protected CEO equity incentives on firm value and risk. (2018). Karpaviius, Sigitas ; Yu, Fan. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:16-24.

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2019Interest rate pass-through in Morocco: Evidence from bank-level survey data. (2019). Bennouna, Hicham. In: Economic Modelling. RePEc:eee:ecmode:v:80:y:2019:i:c:p:142-157.

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2018Volatility smiles when information is lagged in prices. (2018). Marcato, Gianluca ; Campani, Carlos Heitor ; Sebehela, Tumellano . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:151-165.

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2017Digesting anomalies in emerging European markets: A comparison of factor pricing models. (2017). Zaremba, Adam ; Czapkiewicz, Anna. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:1-15.

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2018A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets. (2018). Rizvi, Syed Aun R. ; Alam, Nafis ; Arshad, Shaista ; Aun, Syed . In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:143-161.

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2018Does governing law affect bond spreads?. (2018). Ratha, Dilip ; Kurlat, Sergio ; De, Supriyo. In: Emerging Markets Review. RePEc:eee:ememar:v:36:y:2018:i:c:p:60-78.

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2018Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Wu, Shuai. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:98-113.

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2018Environmental degradation in France: The effects of FDI, financial development, and energy innovations. (2018). Shahbaz, Muhammad ; Roubaud, David ; Nasir, Muhammad. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:843-857.

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2018The relation between treasury yields and corporate bond yield spreads in Australia: Evidence from VARs. (2018). Österholm, Pär ; Osterholm, Par. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:186-192.

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2017The equity-like behaviour of sovereign bonds. (2017). Dufour, Alfonso ; Varotto, Simone ; Stancu, Andrei . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:25-46.

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2017Volatility of commodity futures prices and market-implied inflation expectations. (2017). Orlowski, Lucjan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:133-141.

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2018Distribution specific dependence and causality between industry-level U.S. credit and stock markets. (2018). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Balcilar, Mehmet ; Hammoudeh, Shawkat ; Mensi, Walid ; Hussain, Syed Jawad. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:114-133.

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2018Fed policy expectations and portfolio flows to emerging markets. (2018). Koepke, Robin . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:170-194.

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2018The intraday volatility spillover index approach and an application in the Brexit vote. (2018). Nishimura, Yusaku ; Sun, Bianxia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:241-253.

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2018What drives corporate CDS spreads? A comparison across US, UK and EU firms. (2018). Pereira, John ; Nurullah, Mohamed ; Sorwar, Ghulam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:188-200.

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2018On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting. (2018). Goutte, Stéphane ; DHAOUI, Abderrazak ; Abid, Ilyes ; Guesmi, Khaled. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:233-254.

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2017Sovereign risk and the impact of crisis: Evidence from Latin AmericaAuthor-Name: Batten, Jonathan A.. (2017). Gannon, Gerard L ; Thuraisamy, Kannan S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:328-350.

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2018The impact of more frequent portfolio disclosure on mutual fund performance. (2018). Parida, Sitikantha ; Teo, Terence. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:427-445.

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2018Point process models for extreme returns: Harnessing implied volatility. (2018). Herrera, Rodrigo ; Clements, Adam. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:161-175.

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2018Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics. (2018). Chen, Cathy Yi-Hsuan ; Hardle, Wolfgang Karl ; Chiang, Thomas C. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:21-32.

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2018Oil and energy sector stock markets: An analysis of implied volatility indexes. (2018). Dutta, Anupam. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:44:y:2018:i:c:p:61-68.

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2019Evolutionary support vector machine for RMB exchange rate forecasting. (2019). Li, Hongtao ; Sun, Shaolong ; Fu, Sibao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:521:y:2019:i:c:p:692-704.

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2018On the interdependence of natural gas and stock markets under structural breaks. (2018). Ahmed, Walid. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:67:y:2018:i:c:p:149-161.

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2018The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs. (2018). Jitmaneeroj, Boonlert. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:282-298.

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2019Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?. (2019). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:50-70.

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2018Tail risk and the return-volatility relation. (2018). Chevallier, Julien ; Aboura, Sofiane. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:16-29.

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2018Evaluation of the Adaptability of the Ukrainian Economy to Changes in Prices for Energy Carriers and to Energy Market Risks. (2018). Yemelyanov, Olexandr ; Lesyk, Lilia ; Petrushka, Tetyana ; Symak, Anastasiya. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:12:p:3529-:d:191459.

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2019Measurement of Connectedness and Frequency Dynamics in Global Natural Gas Markets. (2019). Toyoshima, Yuki ; Nakajima, Tadahiro. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:20:p:3927-:d:277263.

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2019On the Linkage between the Energy Market and Stock Returns: Evidence from Romania. (2019). Joldeș, Camelia ; armeanu, dan ; Gherghina, Tefan Cristian. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:8:p:1463-:d:223779.

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2018Investigation of the Financial Stability of S&P 500 Using Realized Volatility and Stock Returns Distribution. (2018). Akter, Nahida ; Nobi, Ashadun. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:22-:d:143724.

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2018Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study. (2018). Sun, Yiguo ; Wu, Ximing. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:29-:d:151386.

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2018How Does Distress Acquisition Incentivized by Government Purchases of Distressed Loans Affect Bank Default Risk?. (2018). Lin, Jyh-Jiuan ; Chen, Shi ; Chang, Chuen-Ping. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:39-:d:141985.

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2019CEO Overconfidence and Shadow-Banking Life Insurer Performance Under Government Purchases of Distressed Assets. (2019). Huang, Fu-Wei ; Yao, Wenyu ; Lin, Jyh-Horng ; Chen, Shi. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:1:p:28-:d:211106.

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2019THE CREDIT RISK DYNAMICS OF INTERNATIONAL BONDS: THE INDONESIAN CASE. (2019). Thuraisamy, Kannan S. In: Bulletin of Monetary Economics and Banking. RePEc:idn:journl:v:1:y:2019:i:sp6:p:1-20.

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2019A Continuous Differentiable Wavelet Shrinkage Function for Economic Data Denoising. (2019). He, Xuansen. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9849-y.

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2019Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe. (2019). Wengerek, Sascha Tobias ; Uhde, Andre ; Hippert, Benjamin. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:2:d:10.1007_s11147-018-9148-8.

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2018Bank governance and performance: a survey of the literature. (2018). Fernandes, Catarina ; Mateus, Cesario ; Martins, Francisco Vitorino ; Farinha, Jorge. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:19:y:2018:i:3:d:10.1057_s41261-017-0045-0.

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2018Environmental Degradation in France: The Effects of FDI, Financial Development, and Energy Innovations. (2018). Shahbaz, Muhammad ; Roubaud, David ; Nasir, Muhammad. In: MPRA Paper. RePEc:pra:mprapa:88195.

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2018Volatility Spillovers between Crude Oil Prices and New Energy Stock Price in China. (2018). Chen, Yufeng ; Jin, XI ; Li, Wenqi. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:2:p:43-62.

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2019Are type B investors efficacious? Exploring role of personality in ambidextrous investment decision-making. (2019). Misra, Rupali ; Banwet, D K ; Srivastava, Sumita. In: DECISION: Official Journal of the Indian Institute of Management Calcutta. RePEc:spr:decisn:v:46:y:2019:i:1:d:10.1007_s40622-018-0200-1.

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2018Overnight versus day returns in gold and gold related assets. (2018). Blose, Laurence E ; Kort, Alan ; Gondhalekar, Vijay . In: Journal of Economics and Finance. RePEc:spr:jecfin:v:42:y:2018:i:3:d:10.1007_s12197-017-9403-0.

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2017New Islamic equity style indices: Constructing and testing the efficacy of information transmission. (2017). Shaharuddin, Shahrin Saaid ; McMillan, David ; Ahmad, Rubi ; Lau, Wee-Yeap. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1363355.

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2018Pairs trading with a mean-reverting jump–diffusion model on high-frequency data. (2018). Endres, Sylvia ; Stubinger, Johannes. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:10:p:1735-1751.

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2019Forward-looking asset correlations in the estimation of economic capital. (2019). Novales, Alfonso ; Fonollosa, Alexandre ; Chamizo, Alvaro. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1925.

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2018Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market. (2018). Xu, Dinghai ; Wang, Donghua ; Ji, Jingru. In: Working Papers. RePEc:wat:wpaper:1806.

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Works by Niklas F Wagner:


YearTitleTypeCited
2005Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds In: Economic Notes.
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article1
2015Liquidity and conditional market returns: Evidence from German exchange traded funds In: Economic Modelling.
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article1
2013Credit cycle dependent spread determinants in emerging sovereign debt markets In: Emerging Markets Review.
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article10
2017Domestic mergers and acquisitions in BRICS countries: Acquirers and targets In: Emerging Markets Review.
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article1
2005Measuring tail thickness under GARCH and an application to extreme exchange rate changes In: Journal of Empirical Finance.
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article21
2004Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes.(2004) In: Econometrics.
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This paper has another version. Agregated cites: 21
paper
2013A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter? In: Journal of Empirical Finance.
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article6
2017Can stock market investors hedge energy risk? Evidence from Asia In: Energy Economics.
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article7
2019Liquidity, surprise volume and return premia in the oil market In: Energy Economics.
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article0
2019Time-varying energy and stock market integration in Asia In: Energy Economics.
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article2
2018Addressing COP21 using a stock and oil market integration index In: Energy Policy.
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article3
2005Autoregressive conditional tail behavior and results on Government bond yield spreads In: International Review of Financial Analysis.
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article3
2010Government intervention in response to the subprime financial crisis: The good into the pot, the bad into the crop In: International Review of Financial Analysis.
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article20
2012Explaining aggregate credit default swap spreads In: International Review of Financial Analysis.
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article13
2012Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis In: International Review of Financial Analysis.
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article6
2016Openness endangers your wealth: Noise trading and the big five In: Finance Research Letters.
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article1
2016The betting against beta anomaly: Fact or fiction? In: Finance Research Letters.
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article1
2017Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods? In: Finance Research Letters.
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article3
2017How do bond, equity and commodity cycles interact? In: Finance Research Letters.
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article3
2015Is risk higher during non-trading periods? The risk trade-off for intraday versus overnight market returns In: Journal of International Financial Markets, Institutions and Money.
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article4
2019Are venture capital and buyout backed IPOs any different? In: Journal of International Financial Markets, Institutions and Money.
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article0
2006Nonlinear term structure dependence: Copula functions, empirics, and risk implications In: Journal of Banking & Finance.
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article37
2004Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications.(2004) In: Econometrics.
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paper
2017Rewarding risk-taking or skill? The case of private equity fund managers In: Journal of Banking & Finance.
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article2
2014Multifractality and value-at-risk forecasting of exchange rates In: Physica A: Statistical Mechanics and its Applications.
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article9
2017Quantitative easing and the pricing of EMU sovereign debt In: The Quarterly Review of Economics and Finance.
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article8
2004Time-varying moments, idiosyncratic risk, and an application to hot-issue IPO aftermarket returns In: Research in International Business and Finance.
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article4
2004Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany In: Research in International Business and Finance.
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article15
2014Multiple-period market risk prediction under long memory: when VaR is higher than expected In: Journal of Risk Finance.
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article7
2015Extreme asymmetric volatility: Stress and aggregate asset prices In: Post-Print.
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paper9
2008Systematic credit risk: CDX index correlation and extreme dependence In: Post-Print.
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paper1
2009Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices In: Post-Print.
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paper1
2004Tail index estimation in small smaples Simulation results for independent and ARCH-type financial return models In: Statistical Papers.
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article5
2005Surprise volume and heteroskedasticity in equity market returns In: Quantitative Finance.
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article20
2004Surprise Volume and Heteroskedasticity in Equity Market Returns.(2004) In: Econometrics.
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2004Surprise volume and heteroskedasticity in equity market returns.(2004) In: CEFS Working Paper Series.
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2000Return-Volume Dependence and Extremes in International Equity Markets. In: Research Program in Finance Working Papers.
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paper14
2004Return-Volume Dependence and Extremes in International Equity Markets.(2004) In: Finance.
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2000On Adaptive Tail Index Estimation for Financial Return Models. In: Research Program in Finance Working Papers.
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2006Stochastic modeling of private equity: an equilibrium based approach to fund valuation In: CEFS Working Paper Series.
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paper0

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