Niklas F Wagner : Citation Profile


Are you Niklas F Wagner?

Universität Passau

13

H index

16

i10 index

440

Citations

RESEARCH PRODUCTION:

39

Articles

12

Papers

2

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   21 years (2000 - 2021). See details.
   Cites by year: 20
   Journals where Niklas F Wagner has often published
   Relations with other researchers
   Recent citing documents: 90.    Total self citations: 14 (3.08 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwa75
   Updated: 2022-10-01    RAS profile: 2021-12-23    
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Relations with other researchers


Works with:

Batten, Jonathan (6)

Szilagyi, Peter (5)

Wong, Wing-Keung (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:

Shen, Dehua (8)

Shahbaz, Muhammad (5)

Bollerslev, Tim (5)

Iglesias, Emma (5)

Bouri, Elie (5)

Masih, Abul (4)

Balcilar, Mehmet (4)

Voia, Marcel (4)

Miller, Stephen (4)

Rockinger, Michael (4)

Papavassiliou, Vassilios (4)

Cites to:

Narayan, Paresh (24)

Bekaert, Geert (22)

Nguyen, Duc Khuong (18)

Bollerslev, Tim (16)

Engle, Robert (15)

Harvey, Campbell (15)

Jagannathan, Ravi (15)

GUPTA, RANGAN (14)

Batten, Jonathan (14)

Wong, Wing-Keung (13)

French, Kenneth (12)

Main data


Where Niklas F Wagner has published?


Journals with more than one article published# docs
Finance Research Letters6
International Review of Financial Analysis4
Energy Economics4
Emerging Markets Review3
Journal of Banking & Finance2
Research in International Business and Finance2
Journal of International Financial Markets, Institutions and Money2
Journal of Empirical Finance2

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

Recent works citing Niklas F Wagner (2022 and 2021)


YearTitle of citing document
2022Positive tone and initial coin offering. (2022). Chen, Zishan ; Zhang, Dunli ; Aerts, Walter. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:2:p:2237-2266.

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2021Testing and Modelling Time Series with Time Varying Tails. (2021). Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2111.

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2021Bitcoin and the South Sea Company: A comparative analysis. (2021). Fernandez, Amilcar Orlian ; Demmler, Michael . In: Revista Finanzas y Politica Economica. RePEc:col:000443:019660.

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2021Can Crude Oil Futures be the Good Hedging Tool for Tyre Equities? Evidence from India. (2021). Ramesh, K G ; Hawaldar, Iqbal Thonse ; Pinto, Prakash ; Kumar, Abhaya K. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-06-60.

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2022Volatility Spillover between Stock Returns and Oil Prices during the Covid-19 Pandemic in ASEAN. (2022). , Supriyanto ; Alexandri, Mohammad Benny. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-01-16.

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2021Risk hedging for gas power generation considering power-to-gas energy storage in three different electricity markets. (2021). Zhao, Junhua ; Tao, Yuechuan ; Qiu, Jing ; Lai, Shuying. In: Applied Energy. RePEc:eee:appene:v:291:y:2021:i:c:s0306261921003226.

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2021Higher moment connectedness in cryptocurrency market. (2021). Yarovaya, Larisa ; Arif, Muhammad ; Naeem, Muhammad Abubakr ; Hasan, Mudassar. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001064.

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2021Is gold a hedge or a safe-haven asset in the COVID–19 crisis?. (2021). Sensoy, Ahmet ; Lucey, Brian M ; Boubaker, Sabri ; Akhtaruzzaman, MD. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001772.

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2021The liquidity mechanics of dealer banks in the market-based credit system. (2021). Becker, Christoph. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002376.

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2022Robust enhanced indexation with ESG: An empirical study in the Chinese Stock Market. (2022). Jing, Kui ; Xu, Fengmin ; Li, Xuepeng. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s026499932100300x.

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2022Does systematic risk change when markets close? An analysis using stocks’ beta. (2022). Insana, Alessandra. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000281.

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2021Returns and volume: Frequency connectedness in cryptocurrency markets. (2021). Tzaferi, Dimitra ; Fousekis, Panos. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:13-20.

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2021The golden hedge: From global financial crisis to global pandemic. (2021). Tao, Ran. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:170-180.

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2021Can home-biased investors diversify interregionally in the long run?. (2021). Ur, Mobeen ; Narayan, Seema. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:167-181.

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2021A study on the bursting point of Bitcoin based on the BSADF and LPPLS methods. (2021). Yao, Can-Zhong ; Li, Hong-Yu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s106294082030173x.

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2021Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak. (2021). Al-Fayoumi, Nedal ; Abuzayed, Bana. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000978.

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2021Global equity market leadership positions through implied volatility measures. (2021). Padungsaksawasdi, Chaiyuth ; Parhizgari, A M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:180-205.

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2021Running out of energy: The Price effect of energy deficiency. (2021). Li, Shuo ; Wang, Brian Yutao ; Yang, Zhiqing ; Liu, Guangqiang. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002644.

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2021Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications. (2021). Kang, Sanghoon ; Dash, Saumya Ranjan ; Ur, Mobeen ; Maitra, Debasish. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003844.

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2022Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implications. (2022). Kang, Sang Hoon ; Suleman, Muhammad Tahir ; Arif, Muhammad ; Hasan, Mudassar ; Naeem, Muhammad Abubakr. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321006022.

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2022Does the source of oil price shocks matter for the systemic risk?. (2022). Yao, Ting ; Huang, Su-Su ; Liu, Meng-Tian ; Ouyang, Zi-Sheng. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001347.

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2021Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging. (2021). Sgarra, Carlo ; Gonzato, Luca. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001845.

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2021Chasing the ‘green bandwagon’ in times of uncertainty. (2021). Dragomirescu-Gaina, Catalin ; Philippas, Dionisis ; Galariotis, Emilios. In: Energy Policy. RePEc:eee:enepol:v:151:y:2021:i:c:s0301421521000598.

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2021Relationships and portfolios between oil and Chinese stock sectors: A study based on wavelet denoising-higher moments perspective. (2021). Lu, Tuantuan ; Dai, Yimin ; Wei, YU ; Tang, Yong ; Zhu, Pengfei. In: Energy. RePEc:eee:energy:v:217:y:2021:i:c:s0360544220325238.

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2021Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets. (2021). Zou, Huiwen ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:225:y:2021:i:c:s0360544221004394.

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2021Tanker freight rates and economic policy uncertainty: A wavelet-based copula approach. (2021). Bai, Xiwen. In: Energy. RePEc:eee:energy:v:235:y:2021:i:c:s0360544221016315.

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2021Oil price changes, uncertainty, and geopolitical risks: On the resilience of GCC countries to global tensions. (2021). Klein, Tony ; Alqahtani, Abdullah. In: Energy. RePEc:eee:energy:v:236:y:2021:i:c:s0360544221017898.

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2021Evaluating corporate credit risks in emerging markets. (2021). Chan, Wing ; Kalimipalli, Madhu ; Dodd, Olga. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302532.

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2021Is small beautiful? The resilience of small banks during the European debt crisis. (2021). Varotto, Simone ; Liu, Cai. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001290.

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2021Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies. (2021). Chen, Jinyu ; Zhu, Xuehong ; Liao, Jianhui. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001563.

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2022A bibliometric review of financial market integration literature. (2022). Yarovaya, Larisa ; Paltrinieri, Andrea ; Oriani, Marco Ercole ; Goodell, John W ; Patel, Ritesh. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000151.

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2021Calendar effects in Bitcoin returns and volatility. (2021). Papavassiliou, Vassilios ; Kinateder, Harald. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319311316.

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2021Return equicorrelation in the cryptocurrency market: Analysis and determinants. (2021). Vo, Xuan Vinh ; Bouri, Elie ; Saeed, Tareq. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320300891.

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2021How explosive are cryptocurrency prices?. (2021). Gronwald, Marc. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320303913.

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2021Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?. (2021). Ekaputra, Irwan ; Mariana, Christy Dwita ; Husodo, Zaafri Ananto. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316123.

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2021Cumulation, crash, coherency: A cryptocurrency bubble wavelet analysis. (2021). Roberts, Stephen ; Weydemann, Leonard ; Hochfilzer, Leonhard ; Fruehwirt, Wolfgang. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320303421.

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2021Asymmetric News Effects on Cryptocurrency Liquidity: an Event Study Perspective. (2021). Zhang, Sijia ; Yue, Wei. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316135.

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2021COVID?19 and oil price risk exposure. (2021). Zhong, Angel ; Chiah, Mardy ; Boubaker, Sabri ; Akhtaruzzaman, MD. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320316962.

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2021The COVID-19 pandemic haunting the transmission of the quantitative easing to the exchange rate. (2021). Aloui, Donia. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321001069.

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2022A Value-at-Risk forecastability indicator in the framework of a Generalized Autoregressive Score with “Asymmetric Laplace Distribution”. (2022). Roxana, Ioan ; Maria, Dima Tefana ; Bogdan, Dima. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002154.

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2022Robust return efficiency and herding behavior of fund managers. (2022). Chen, Ning ; Li, Shouwei ; Lu, Shuai. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003093.

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2022Ethereum synchronicity, upside volatility and Bitcoin crash risk. (2022). Luan, Zhiqian ; Ma, YU. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003573.

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2022Volatility Spillovers between Stock and Energy Markets during Crises: A Comparative Assessment between the 2008 Global Financial Crisis and the Covid-19 Pandemic Crisis. (2022). Arouri, Mohamed ; Kouaissah, Noureddine ; Jebabli, Ikram. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003664.

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2022Bubbles in Ethereum. (2022). Figuerola-Ferretti, Isabel ; Bellon, Carlos . In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003871.

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2022Understanding digital bubbles amidst the COVID-19 pandemic: Evidence from DeFi and NFTs. (2022). el Montasser, Ghassen ; Charfeddine, Lanouar ; Maouchi, Youcef. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005341.

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2022COVID-19 and cryptocurrency volatility: Evidence from asymmetric modelling. (2022). Apergis, Nicholas. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005894.

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2021Does blockchain patent-development influence Bitcoin risk?. (2021). Corbet, Shaen ; Oxley, Les ; Hou, Yang ; Hu, Yang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:70:y:2021:i:c:s1042443120301475.

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2021Speculation and lottery-like demand in cryptocurrency markets. (2021). Junttila, Juha ; Grobys, Klaus. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000081.

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2021Do cryptocurrencies hedge against EPU and the equity market volatility during COVID-19? – New evidence from quantile coherency analysis. (2021). Wu, Lanxin ; Jiang, Yonghong ; Nie, HE ; Tian, Gengyu. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000433.

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2021Information shares and market quality before and during the European sovereign debt crisis. (2021). Papavassiliou, Vassilios ; Kinateder, Harald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000536.

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2021Exchange rate regimes and price efficiency: Empirical examination of the impact of financial crisis. (2021). Sheng, Hsia Hua ; Rasheed, Abdul A ; Diniz-Maganini, Natalia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000809.

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2021Stock market and deviations from covered interest parity. (2021). Ibhagui, Oyakhilome. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001104.

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2022Does monetary policy fuel bitcoin demand? Event-study evidence from emerging markets. (2022). Marmora, Paul. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443121001931.

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2022Does implied volatility (or fear index) affect Islamic stock returns and conventional stock returns differently? Wavelet-based granger-causality, asymmetric quantile regression and NARDL approaches. (2022). Masih, Abul ; Ariff, Mohamed ; Kawsar, Najmul Haque ; Karim, Muhammad Mahmudul. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443122000233.

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2021Merger & Acquisitions (M&As) as an important strategic vehicle in business: Thematic areas, research avenues & possible suggestions. (2021). Hossain, Mohammed Sawkat. In: Journal of Economics and Business. RePEc:eee:jebusi:v:116:y:2021:i:c:s0148619521000229.

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2021Dynamic asymmetric optimal portfolio allocation between energy stocks and energy commodities: Evidence from clean energy and oil and gas companies. (2021). Miller, Stephen ; Canarella, Giorgio ; Asl, Mahdi Ghaemi. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420720310102.

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2021The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal?. (2021). Arreolahernandez, Jose ; Ahmad, Wasim ; Mishra, Ritesh Kumar ; Saini, Seema. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721001161.

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2022Hedging UK stock portfolios with gold and oil: The impact of Brexit. (2022). Bouri, Elie ; Al-Fayoumi, Nedal ; Abuzayed, Bana. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004438.

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2022GAS and GARCH based value-at-risk modeling of precious metals. (2022). Tiwari, Aviral ; Owusu Junior, Peterson ; Asafo-Adjei, Emmanuel ; Tweneboah, George. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004645.

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2022A risk measure of the stock market that is based on multifractality. (2022). Chen, Liqing ; Zhang, Zilu ; Sun, QI ; Wang, YI. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:596:y:2022:i:c:s0378437122001960.

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2021Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold. (2021). BenSaïda, Ahmed ; Ghorbel, Ahmed ; Bensaida, Ahmed ; Chemkha, Rahma ; Tayachi, Tahar. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:82:y:2021:i:c:p:71-85.

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2021Do higher-order realized moments matter for cryptocurrency returns?. (2021). Ahmed, Walid ; al Mafrachi, Mustafa. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:483-499.

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2022An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies. (2022). Nadarajah, Saralees ; Zhang, Yuanyuan ; Chu, Jeffrey ; Chan, Stephen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001628.

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2021Turkmenistan’s Gas Sector Development Scenarios Based on Econometric and SWOT Analysis. (2021). Iwaszczuk, Natalia ; Wolak, Jacek. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:10:p:2740-:d:551974.

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2022Pandemic, War, and Global Energy Transitions. (2022). Hunt, Julian D ; Boza-Kiss, Benigna ; Srivastava, Leena ; Pachauri, Shonali ; McCollum, David L ; Echeverri, Luis Gomez ; Gielen, Dolf ; Barreto-Gomez, Leonardo ; Fritz, Steffen ; Paulavets, Katsia ; Bazilian, Morgan D ; Zakeri, Behnam ; Victor, David G ; Urge-Vorsatz, Diana ; Creutzig, Felix ; Rogelj, Joeri ; Pouya, Shaheen ; Zimm, Caroline. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:17:p:6114-:d:895664.

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2021Is It Possible to Forecast the Price of Bitcoin?. (2021). Goutte, Stéphane ; Chevallier, Julien ; Guegan, Dominique. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:2:p:24-420:d:564101.

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2021How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature. (2021). Arnaut-Berilo, Almira ; Omanovic, Adna ; Zaimovic, Azra. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:551-:d:679488.

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2021Fantastic Beasts: Blockchain Based Banking. (2021). Daluwathumullagamage, Dulani Jayasuriya ; Sims, Alexandra. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:4:p:170-:d:533154.

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2021.

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2021Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market. (2021). Yoon, Seong-Min ; Tiwari, Aviral Kumar ; Nasreen, Samia. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:14:p:7672-:d:591227.

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2022Deconstruction of the Green Bubble during COVID-19 International Evidence. (2022). Kenourgios, Dimitris ; Dar, Vandita ; Papathanasiou, Spyros ; Ghosh, Bikramaditya. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:6:p:3466-:d:772284.

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2021Bitcoin-specific fear sentiment and bitcoin returns in the COVID-19 outbreak. (2021). Tunali, Ahmet Semih ; Tekin, Hasan ; Polat, Ali Yavuz ; Aysan, Ahmet Faruk. In: Working Papers. RePEc:hal:wpaper:hal-03354930.

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2022Corporate control and the choice of investment financing: the case of corporate acquisitions in India. (2022). Mandal, Anandadeep ; Rani, Neelam ; Power, Gabriel J. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:1:d:10.1007_s11156-021-00987-0.

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2021Bitcoin-specific fear sentiment and bitcoin returns in the COVID-19 outbreak. (2021). Tunali, Ahmet Semih ; Tekin, Hasan ; Polat, Ali Yavuz ; Aysan, Ahmet Faruk. In: MPRA Paper. RePEc:pra:mprapa:110013.

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2021Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model. (2021). Ravazzolo, Francesco ; Casarin, Roberto ; Bulfone, Giacomo. In: Working Paper series. RePEc:rim:rimwps:21-09.

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2022Forecasting the Value-at-Risk of energy commodities: A comparison of models and alternative distribution functions. (2022). Madaleno, Mara ; Pinho, Carlos ; Amaro, Raphael. In: Applied Econometrics. RePEc:ris:apltrx:0440.

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2022Spatial contagion between financial markets: new evidence of asymmetric measures. (2022). Sahut, Jean-Michel ; Ftiti, Zied ; Miled, Wafa. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-021-04223-9.

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2022Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process. (2022). Pianese, Augusto ; Bianchi, Sergio ; Frezza, Massimiliano. In: Computational Management Science. RePEc:spr:comgts:v:19:y:2022:i:1:d:10.1007_s10287-021-00412-w.

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2021An empirical examination of beta anomaly in India. (2021). Rakhyani, Sarika. In: DECISION: Official Journal of the Indian Institute of Management Calcutta. RePEc:spr:decisn:v:48:y:2021:i:2:d:10.1007_s40622-021-00278-6.

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2021The time-varying causal relationship between the Bitcoin market and internet attention. (2021). Lu, Fengbin ; Zhang, Xun ; Wang, Shouyang ; Tao, Rui. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00275-9.

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2021On the factors of Bitcoin’s value at risk. (2021). Ho, JI. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00297-3.

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2022Analysis of market efficiency and fractal feature of NASDAQ stock exchange: Time series modeling and forecasting of stock index using ARMA-GARCH model. (2022). Rounaghi, Mohammad Mahdi ; Arashi, Mohammad. In: Future Business Journal. RePEc:spr:futbus:v:8:y:2022:i:1:d:10.1186_s43093-022-00125-9.

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2021Analysis of the dynamic relationship between liquidity proxies and returns on the French CAC 40 index. (2021). Sadefo-Kamdem, Jules ; Assoil, Ayad. In: SN Business & Economics. RePEc:spr:snbeco:v:1:y:2021:i:10:d:10.1007_s43546-021-00129-7.

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2021Bitcoin in the economics and finance literature: a survey. (2021). Rohilla, Purnima ; Kayal, Parthajit. In: SN Business & Economics. RePEc:spr:snbeco:v:1:y:2021:i:7:d:10.1007_s43546-021-00090-5.

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2021The risk function of the goodness-of-fit tests for tail models. (2021). Borner, Christoph J ; Hoffmann, Ingo. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:4:d:10.1007_s00362-020-01159-3.

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2021Does volume really matter? A risk management perspective using cross?country evidence. (2021). Bhattacharyya, Malay ; Patra, Saswat. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:118-135.

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2021A kernel fuzzy twin SVM model for early warning systems of extreme financial risks. (2021). Guo, Fanyong ; Huang, Xun. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:1459-1468.

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2022Oil and stock prices: New evidence from a time varying homogenous panel smooth transition VECM for seven developing countries. (2022). Shahbaz, Muhammad ; Omay, Tolga ; Ivrendi, Mehmet ; Ceylan, Resat. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1085-1100.

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2021Value?at?risk forecasting via dynamic asymmetric exponential power distributions. (2021). Zhao, Zhibiao ; Ou, LU. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:2:p:291-300.

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2022How do firms hedge in financial distress?. (2022). Jankensgrd, Hkan ; Andren, Niclas ; Dudley, Evan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:7:p:1324-1351.

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Niklas F Wagner has edited the books:


YearTitleTypeCited

Works by Niklas F Wagner:


YearTitleTypeCited
2005Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds In: Economic Notes.
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article2
2021Collectors: Personality between consumption and investment In: Journal of Behavioral and Experimental Finance.
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article0
2021Time for gift giving: Abnormal share repurchase returns and uncertainty In: Journal of Corporate Finance.
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article2
2020Pricing equity-bond covariance risk: Between flight-to-quality and fear-of-missing-out In: Journal of Economic Dynamics and Control.
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2015Liquidity and conditional market returns: Evidence from German exchange traded funds In: Economic Modelling.
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article4
2013Credit cycle dependent spread determinants in emerging sovereign debt markets In: Emerging Markets Review.
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article13
2017Domestic mergers and acquisitions in BRICS countries: Acquirers and targets In: Emerging Markets Review.
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article6
2020Linear and nonlinear growth determinants: The case of Mongolia and its connection to China In: Emerging Markets Review.
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article2
2020Linear and Nonlinear Growth Determinants: The Case of Mongolia and its Connection to China.(2020) In: MPRA Paper.
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This paper has another version. Agregated cites: 2
paper
2005Measuring tail thickness under GARCH and an application to extreme exchange rate changes In: Journal of Empirical Finance.
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article20
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: 20
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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article7
2017Can stock market investors hedge energy risk? Evidence from Asia In: Energy Economics.
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article28
2019Liquidity, surprise volume and return premia in the oil market In: Energy Economics.
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article7
2019Time-varying energy and stock market integration in Asia In: Energy Economics.
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article13
2021Hedging stocks with oil In: Energy Economics.
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article12
2018Addressing COP21 using a stock and oil market integration index In: Energy Policy.
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article9
2005Autoregressive conditional tail behavior and results on Government bond yield spreads In: International Review of Financial Analysis.
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article6
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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article24
2012Explaining aggregate credit default swap spreads In: International Review of Financial Analysis.
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article15
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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article9
2016Openness endangers your wealth: Noise trading and the big five In: Finance Research Letters.
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article3
2016The betting against beta anomaly: Fact or fiction? In: Finance Research Letters.
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article2
2017Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods? In: Finance Research Letters.
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article5
2017How do bond, equity and commodity cycles interact? In: Finance Research Letters.
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article9
2019Cryptocurrencies as financial bubbles: The case of Bitcoin In: Finance Research Letters.
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article30
2020Rich men’s hobby or question of personality: Who considers collectibles as alternative investment? In: Finance Research Letters.
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article0
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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article7
2019Are venture capital and buyout backed IPOs any different? In: Journal of International Financial Markets, Institutions and Money.
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article1
2006Nonlinear term structure dependence: Copula functions, empirics, and risk implications In: Journal of Banking & Finance.
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article43
2004Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications.(2004) In: Econometrics.
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This paper has another version. Agregated cites: 43
paper
2017Rewarding risk-taking or skill? The case of private equity fund managers In: Journal of Banking & Finance.
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article3
2014Multifractality and value-at-risk forecasting of exchange rates In: Physica A: Statistical Mechanics and its Applications.
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article19
2017Quantitative easing and the pricing of EMU sovereign debt In: The Quarterly Review of Economics and Finance.
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article18
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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article24
2014Multiple-period market risk prediction under long memory: when VaR is higher than expected In: Journal of Risk Finance.
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article10
2015Extreme asymmetric volatility: Stress and aggregate asset prices In: Post-Print.
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paper10
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
2020The Low-Volatility Anomaly Revisited In: Credit and Capital Markets.
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article0
2002On a model of portfolio selection with benchmark In: Journal of Asset Management.
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article4
2020On the pricing of overnight market risk In: Empirical Economics.
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article1
2011VaR Prediction under Long Memory in Volatility In: Operations Research Proceedings.
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2005Managing Investment Risks of Institutional Private Equity Investors — The Challenge of Illiquidity In: Springer Books.
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chapter0
2004Tail index estimation in small smaples Simulation results for independent and ARCH-type financial return models In: Statistical Papers.
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article7
2005Surprise volume and heteroskedasticity in equity market returns In: Quantitative Finance.
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article27
2004Surprise Volume and Heteroskedasticity in Equity Market Returns.(2004) In: Econometrics.
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This paper has another version. Agregated cites: 27
paper
2004Surprise volume and heteroskedasticity in equity market returns.(2004) In: CEFS Working Paper Series.
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This paper has another version. Agregated cites: 27
paper
2000Return-Volume Dependence and Extremes in International Equity Markets. In: Research Program in Finance Working Papers.
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paper19
2004Return-Volume Dependence and Extremes in International Equity Markets.(2004) In: Finance.
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This paper has another version. Agregated cites: 19
paper
2000On Adaptive Tail Index Estimation for Financial Return Models. In: Research Program in Finance Working Papers.
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paper4
2006Stochastic modeling of private equity: an equilibrium based approach to fund valuation In: CEFS Working Paper Series.
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 1st 2022. Contact: CitEc Team