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Der VDAX als Schätzer der zukünftigen Volatilität
Wagner, Niklas F. - In: Die Bank (1995), pp. 738-741
Persistent link: https://www.econbiz.de/10001192821
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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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Multiple-period market risk prediction under long memory : when VaR is higher than expected
Kinateder, Harald; Wagner, Niklas F. - In: Journal of risk finance : the convergence of financial … 15 (2014) 1, pp. 4-32
Persistent link: https://www.econbiz.de/10010252220
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Equities, credits and volatilities : a multivariate analysis of the European market during the subprime crisis
Schreiber, Irene; Müller, Gernot; Klüppelberg, Claudia; … - In: International review of financial analysis 24 (2012), pp. 57-65
Persistent link: https://www.econbiz.de/10009688173
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VaR prediction under long memory in volatility
Kinateder, Harald; Wagner, Niklas F. - In: Operations research proceedings 2010 : selected papers …, (pp. 123-128). 2011
Persistent link: https://www.econbiz.de/10009270862
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Option pricing with a dynamic fat-tailed model
Aboura, Sofiane; Valeyre, Sebastien; Wagner, Niklas F. - In: Journal of derivatives & hedge funds 20 (2014) 3, pp. 131-155
Persistent link: https://www.econbiz.de/10010462976
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Local and spillover shocks in implied market volatility : evidence for the U.S. and Germany
Wagner, Niklas F.; Szimayer, Alexander - In: Research in international business and finance 18 (2004) 3, pp. 237-251
Persistent link: https://www.econbiz.de/10003396216
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Is risk higher during non-trading periods? : the risk trade-off for intraday versus overnight market returns
Riedel, Christoph; Wagner, Niklas F. - In: Journal of international financial markets, … 39 (2015), pp. 53-64
Persistent link: https://www.econbiz.de/10011475596
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Extreme asymmetric volatility : stress and aggregate asset prices
Aboura, Sofiane; Wagner, Niklas F. - In: Journal of international financial markets, … 41 (2016), pp. 47-59
Persistent link: https://www.econbiz.de/10011475918
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How do bond, equity and commodity cycles interact?
Narayan, Paresh Kumar; Thuraisamy, Kannan Sivananthan; … - In: Finance research letters 21 (2017), pp. 151-156
Persistent link: https://www.econbiz.de/10011807742