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Determinanten der Credit Spread Veränderungen von deutschen Mittelstandsanleihen

Kinateder, Harald; Oppolzer, Linda; Wagner, Niklas - In: Credit and Capital Markets – Kredit und Kapital 48 (2015) 1, pp. 121-147

Viele in Deutschland ansässige kleine und mittlere Unternehmen (KMU) haben in den letzten Jahren erfolgreich Anleihen am Kapitalmarkt emittiert, allerdings ist dieses Segment des Kapitalmarktes noch größtenteils unerforscht. Um die Besonderheiten im Pricing von Mittelstandsanleihen...

Persistent link: https://www.econbiz.de/10014523065

Multiple-period market risk prediction under long memory: when VaR is higher than expected

Kinateder, Harald; Wagner, Niklas - In: Journal of Risk Finance 15 (2014) January, pp. 4-32

Purpose – The paper aims to model multiple-period market risk forecasts under long memory persistence in market volatility. Design/methodology/approach – The paper proposes volatility forecasts based on a combination of the GARCH(1,1)-model with potentially fat-tailed and skewed innovations...

Persistent link: https://www.econbiz.de/10010732415

Multifractality and value-at-risk forecasting of exchange rates

Batten, Jonathan A.; Kinateder, Harald; Wagner, Niklas - In: Physica A: Statistical Mechanics and its Applications 401 (2014) C, pp. 71-81

This paper addresses market risk prediction for high frequency foreign exchange rates under nonlinear risk scaling behaviour. We use a modified version of the multifractal model of asset returns (MMAR) where trading time is represented by the series of volume ticks. Our dataset consists of...

Persistent link: https://www.econbiz.de/10010872934

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

Aktuelle Herausforderungen des modernen Finanzcontrollings

Wagner, Niklas F.; Buchner, Axel; Kinateder, Harald; … - In: Controlling : Zeitschrift für erfolgsorientierte … 24 (2012) 8/9, pp. 440-444

Persistent link: https://www.econbiz.de/10009614656

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

Determinanten der Credit Spread Veränderungen von deutschen Mittelstandsanleihen

Kinateder, Harald; Oppolzer, Linda; Wagner, Niklas F. - In: Credit and capital markets : Kredit und Kapital 48 (2015) 1, pp. 121-147

Persistent link: https://www.econbiz.de/10011412028

Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods?

Kinateder, Harald; Hofstetter, Benedikt; Wagner, Niklas F. - In: Finance research letters 21 (2017), pp. 144-150

Persistent link: https://www.econbiz.de/10011807738

Quantitative easing and the pricing of EMU sovereign debt

Kinateder, Harald; Wagner, Niklas F. - In: The quarterly review of economics and finance : journal … 66 (2017), pp. 1-12

Persistent link: https://www.econbiz.de/10011792719

Domestic mergers and acquisitions in BRICS countries : acquirers and targets

Kinateder, Harald; Fabich, Matthias; Wagner, Niklas F. - In: Emerging markets review 32 (2017), pp. 190-199

Persistent link: https://www.econbiz.de/10011803269