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The Hill estimator in financial risk assessment and an application to extremal exchange rate risk
Wagner, Niklas F. - In: Financial risk and financial risk management, (pp. 173-187). 2002
Persistent link: https://www.econbiz.de/10001755640
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On tail index estimation and financial risk management implications
Wagner, Niklas F. - In: Operations research proceedings 2002 : selected papers …, (pp. 321-328). 2003
Persistent link: https://www.econbiz.de/10001752027
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A market model with time-varying moments and results on Neuer Markt stock returns
Wagner, Niklas F. - 2001
Persistent link: https://www.econbiz.de/10001662098
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Estimating financial risk under time-varying extremal return behavior
Wagner, Niklas F. - In: OR spectrum : quantitative approaches in management 25 (2003) 3, pp. 317-328
Persistent link: https://www.econbiz.de/10001788782
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Autoregressive conditional tail behavior and results on government bond yield spreads
Wagner, Niklas F. - In: International review of financial analysis 14 (2005) 2, pp. 247-261
Persistent link: https://www.econbiz.de/10002738302
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Time-varying moments, idiosyncratic risk, and an application to hot-issue IPO aftermarket returns
Wagner, Niklas F. - In: Research in international business and finance 18 (2004) 1, pp. 59-72
Persistent link: https://www.econbiz.de/10003395986
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On the dynamics of market illiquidity
Wagner, Niklas F. - In: Stock market liquidity : implications for market …, (pp. 349-357). 2008
Persistent link: https://www.econbiz.de/10003650783
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Alternative model specifications for implied volatility measured by the German VDAX
Wagner, Niklas F.; Szimayer, Alexander - In: Kredit und Kapital 34 (2001) 4, pp. 590-618
Persistent link: https://www.econbiz.de/10001654495
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Measuring tail thickness under GARCH and an application to extreme exchange rate changes
Wagner, Niklas F.; Marsh, Terry Alan - In: Journal of empirical finance 12 (2005) 1, pp. 165-185
Persistent link: https://www.econbiz.de/10002644047
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Interest rates, stock returns and credit spreads : evidence from German Eurobonds
Wagner, Niklas F.; Hogan, Warren Pat; Batten, Jonathan A. - In: Economic notes : economic review of Banca Monte dei … 34 (2005) 1, pp. 35-50
Persistent link: https://www.econbiz.de/10002984476