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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

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

Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices

Aboura, Sofiane - 2015

Asymmetric volatility in equity markets has been widely documented in finance, where two competing explanations, as considered in Bekaert and Wu (2000), are the financial leverage and the volatility feedback hypothesis. We explicitly test for the role of both hypotheses in explaining extreme...

Persistent link: https://www.econbiz.de/10013039137

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

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

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

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

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

Systematic credit risk : CDX index correlation and extreme dependence

Aboura, Sofiane; Wagner, Niklas - In: Credit risk : models, derivatives, and management, (pp. 377-390). 2008

Persistent link: https://www.econbiz.de/10003718581

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