Niklas F Wagner : Citation Profile


Are you Niklas F Wagner?

Universität Passau

11

H index

12

i10 index

305

Citations

RESEARCH PRODUCTION:

32

Articles

12

Papers

RESEARCH ACTIVITY:

   20 years (2000 - 2020). See details.
   Cites by year: 15
   Journals where Niklas F Wagner has often published
   Relations with other researchers
   Recent citing documents: 35.    Total self citations: 10 (3.17 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwa75
   Updated: 2021-02-20    RAS profile: 2020-08-18    
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Relations with other researchers


Works with:

Batten, Jonathan (4)

Szilagyi, Peter (4)

Wong, Wing-Keung (2)

Kleine, Jens (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)

Shen, Dehua (5)

Iglesias, Emma (5)

Balcilar, Mehmet (4)

Voia, Marcel (4)

Rockinger, Michael (4)

Shahbaz, Muhammad (4)

Bouri, Elie (4)

Verbeek, Marno (3)

Han, Heejoon (3)

Baruník, Jozef (3)

Cites to:

Bekaert, Geert (16)

Nguyen, Duc Khuong (15)

Narayan, Paresh (14)

Wong, Wing-Keung (13)

Harvey, Campbell (12)

Bollerslev, Tim (12)

Engle, Robert (12)

GUPTA, RANGAN (11)

de Vries, Casper (11)

Batten, Jonathan (11)

Pedersen, Lasse (10)

Main data


Where Niklas F Wagner has published?


Journals with more than one article published# docs
Finance Research Letters6
International Review of Financial Analysis4
Emerging Markets Review3
Energy Economics3
Journal of Empirical Finance2
Research in International Business and Finance2
Journal of Banking & Finance2
Journal of International Financial Markets, Institutions and Money2

Working Papers Series with more than one paper published# docs
Post-Print / HAL3
Econometrics / University Library of Munich, Germany3
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 (2021 and 2020)


YearTitle of citing document
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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2020Diversification and optimal hedges for socially responsible investment in Brazil. (2020). Penabad, Maria-Celia ; Lopez-Andion, Carmen ; Iglesias, Ana ; Maside-Sanfiz, Jose Manuel ; Lopez-Penabad, Maria-Celia ; Iglesias-Casal, Ana. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:106-118.

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2020T+1 trading mechanism causes negative overnight return. (2020). Zhang, Bing. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:55-71.

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2020Modeling non-normal corporate bond yield spreads by copula. (2020). Jung, Hojin ; Kim, Dong H. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301078.

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2020The contagion effects of volatility indices across the U.S. and Europe. (2020). Huang, Tze-Chin ; Chiang, Shu-Mei ; Chen, Chun-Da. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301315.

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2020Institutional investors, selling pressure and crash risk: Evidence from China. (2020). Fu, Hui ; Fan, Yunqi . In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119302985.

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2020Dirty neighbors — Pollution in an interlinked world. (2020). Polanski, Arnold ; Melendez-Jimenez, Miguel A. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304335.

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2020Have commodities become a financial asset? Evidence from ten years of Financialization. (2020). Kartsakli, Maria ; Collot, Solene ; Adams, Zeno. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301092.

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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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2020Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models. (2020). Liu, Jia ; He, Kaijian ; Stafylas, Dimitrios ; Zha, Rui ; Yu, Lean. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918304964.

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2020Identifying influential energy stocks based on spillover network. (2020). Sun, Qingru ; Tang, Renwu ; Gao, Xiangyun ; Wang, ZE. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918305179.

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2020Tail dependence in the return-volume of leading cryptocurrencies. (2020). Bouri, Elie ; Roubaud, David ; Boako, Gideon ; Naeem, Muhammad. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612319306087.

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2020Do individual traders undermine firm valuation?. (2020). Chung, Chune Young ; Choi, Joung Hwa ; Sub, Paul Moon. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612319308463.

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2020The overnight return puzzle and the “T+1” trading rule in Chinese stock markets. (2020). Dam, Lammertjan ; Qiao, Kenan. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s1386418120300033.

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2020Tail behavior of Bitcoin, the dollar, gold and the stock market index. (2020). Ho, JI. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s104244312030086x.

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2020The cross-border credit channel and lending standards surveys. (2020). Siklos, Pierre L ; Filardo, Andrew J. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120300901.

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2020The impact of global financial crisis on informational efficiency: Evidence from price-volume relation in crude palm oil futures market. (2020). Lau, Wee Yeap ; Go, You-How. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:17:y:2020:i:c:s2405851317300028.

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2020Modeling the relationship between oil and USD exchange rates: Evidence from a regime-switching-quantile regression approach. (2020). Mokni, Khaled ; Youssef, Manel. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:55:y:2020:i:c:s1042444x20300141.

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2020Long memory or regime switching in volatility? Evidence from high-frequency returns on the U.S. stock indices. (2020). Ho, Kin-Yip ; Gao, Guangyuan ; Shi, Yanlin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x18300441.

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2020Does herding behavior exist in the Mongolian stock market?. (2020). Wong, Wing-Keung ; Batmunkh, Munkh-Ulzii ; Vieito, Joo Paulo ; Choijil, Enkhbayar ; Espinosa-Mendez, Christian. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x20301347.

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2020Time-varying linkages among gold, stocks, bonds and real estate. (2020). Yunus, Nafeesa. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:165-185.

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2020Correlation and risk measurement modeling: A Markov-switching mixed Clayton copula approach. (2020). Peng, Rui ; Cai, Wen-Li ; Pan, Fei ; Liu, Xiang-Dong. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:197:y:2020:i:c:s0951832019306854.

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2020The hedging effectiveness of global sectors in emerging and developed stock markets. (2020). Zeng, Hongchao ; Wu, Lei ; Han, Liyan ; Jin, Jiayu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:92-117.

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2020CBOE VIX and Jump-GARCH option pricing models. (2020). Yoon, Sun-Joong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:839-859.

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2020A systematic review of the bubble dynamics of cryptocurrency prices. (2020). Corbet, Shaen ; Kyriazis, Nikolaos ; Papadamou, Stephanos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919310037.

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2020Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying. (2020). Benito, Sonia ; Garcia-Jorcano, Laura. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920300192.

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2020Riding the Wave of Crypto-Exuberance: The Potential Misusage of Corporate Blockchain Announcements. (2020). Sensoy, Ahmet ; Corbet, Shaen ; Lucey, Brian ; Cumming, Douglas ; Akyildirim, Erdin . In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:159:y:2020:i:c:s0040162520310179.

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2020Liner shipping industry and oil price volatility: Dynamic connectedness and portfolio diversification. (2020). Chandra, Saurabh ; Maitra, Debasish ; Dash, Saumya Ranjan. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:138:y:2020:i:c:s136655452030613x.

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2020Hedging Strategies of Green Assets against Dirty Energy Assets. (2020). Tran, Dang Khoa ; Bouri, Elie ; Saeed, Tareq. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:12:p:3141-:d:372689.

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2020Modelling Sector-Level Asset Prices. (2020). Premachandra, I M ; Diaz-Rainey, Ivan ; Tulloch, Daniel J. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:120-:d:369520.

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2020Shock and Volatility Spillovers between Crude Oil Price and Stock Returns: Evidence for Thailand. (2020). Sethapramote, Yuthana ; Jiranyakul, Komain ; Theplib, Krit. In: MPRA Paper. RePEc:pra:mprapa:98094.

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2020On the pricing of overnight market risk. (2020). Perras, Patrizia ; Wagner, Niklas. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:3:d:10.1007_s00181-019-01714-4.

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2020Forecasting stock volatility in the presence of extreme shocks: Short‐term and long‐term effects. (2020). Wang, LU ; Liu, Guoshan ; Ma, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:5:p:797-810.

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2020Impact of international energy prices on Chinas industries. (2020). Zhang, Qin ; Wong, Jin Boon. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:722-748.

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2020Forecasting stock price volatility: New evidence from the GARCH-MIDAS model. (2020). Yang, Lin ; Liu, Jing ; Ma, Feng ; Wang, LU. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:684-694.

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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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article3
2020Linear and nonlinear growth determinants: The case of Mongolia and its connection to China In: Emerging Markets Review.
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article1
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: 1
paper
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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article7
2017Can stock market investors hedge energy risk? Evidence from Asia In: Energy Economics.
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article18
2019Liquidity, surprise volume and return premia in the oil market In: Energy Economics.
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article2
2019Time-varying energy and stock market integration in Asia In: Energy Economics.
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article5
2018Addressing COP21 using a stock and oil market integration index In: Energy Policy.
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article6
2005Autoregressive conditional tail behavior and results on Government bond yield spreads In: International Review of Financial Analysis.
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article5
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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article21
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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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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article1
2017Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods? In: Finance Research Letters.
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article4
2017How do bond, equity and commodity cycles interact? In: Finance Research Letters.
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article5
2019Cryptocurrencies as financial bubbles: The case of Bitcoin In: Finance Research Letters.
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article3
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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article8
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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article41
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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article11
2017Quantitative easing and the pricing of EMU sovereign debt In: The Quarterly Review of Economics and Finance.
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article11
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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article16
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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paper12
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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article6
2005Surprise volume and heteroskedasticity in equity market returns In: Quantitative Finance.
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article25
2004Surprise Volume and Heteroskedasticity in Equity Market Returns.(2004) In: Econometrics.
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This paper has another version. Agregated cites: 25
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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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paper17
2004Return-Volume Dependence and Extremes in International Equity Markets.(2004) In: Finance.
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This paper has another version. Agregated cites: 17
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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paper0

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