[HTML][HTML] Volatility impacts on the European banking sector: GFC and COVID-19
This paper analyses the volatility transmission between European Global Systemically
Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional Correlation …
Important Banks (GSIBs) and implied stock market volatility. A Dynamic Conditional Correlation …
Cryptocurrencies as financial bubbles: The case of Bitcoin
J Geuder, H Kinateder, NF Wagner - Finance Research Letters, 2019 - Elsevier
We study bubble behavior in Bitcoin prices during the years 2016 to 2018 based on two
distinct testing methodologies. The Phillips et al. (2015) PSY methodology is used to identify …
distinct testing methodologies. The Phillips et al. (2015) PSY methodology is used to identify …
Hedging stocks with oil
We study the feasibility of hedging stocks with oil. The Dynamic Conditional Correlation (DCC)
approach allows for the calculation of optimal hedge ratios and corresponding hedge …
approach allows for the calculation of optimal hedge ratios and corresponding hedge …
Volatility impacts on global banks: Insights from the GFC, COVID-19, and the Russia-Ukraine war
This study analyzes the volatility impact of the Chicago Board Options Exchange Volatility
Index (VIX) on the global banking sector during the Global Financial Crisis (GFC), COVID-19, …
Index (VIX) on the global banking sector during the Global Financial Crisis (GFC), COVID-19, …
Nonlinear term structure dependence: Copula functions, empirics, and risk implications
M Junker, A Szimayer, N Wagner - Journal of Banking & Finance, 2006 - Elsevier
This paper documents nonlinear cross-sectional dependence in the term structure of US-Treasury
yields and points out risk management implications. The analysis is based on a …
yields and points out risk management implications. The analysis is based on a …
[HTML][HTML] Mott insulators with boundary zeros
The topological classification of electronic band structures is based on symmetry properties
of Bloch eigenstates of single-particle Hamiltonians. In parallel, topological field theory has …
of Bloch eigenstates of single-particle Hamiltonians. In parallel, topological field theory has …
Can stock market investors hedge energy risk? Evidence from Asia
The relationship between energy and stock prices is investigated in the context of Asia,
including China and Japan. Oil, gas and coal prices are considered both individually and as an …
including China and Japan. Oil, gas and coal prices are considered both individually and as an …
Time-varying energy and stock market integration in Asia
The degree of integration between energy and stock markets is critical for the diversification,
risk management and funding decisions of global corporations and investors alike. We …
risk management and funding decisions of global corporations and investors alike. We …
Local and spillover shocks in implied market volatility: Evidence for the US and Germany
N Wagner, A Szimayer - Research in international Business and Finance, 2004 - Elsevier
The occurrence and the transmission of large shocks in international equity markets is of
essential interest to the study of market integration and financial crises. To this aim, implied …
essential interest to the study of market integration and financial crises. To this aim, implied …
Domestic mergers and acquisitions in BRICS countries: Acquirers and targets
H Kinateder, M Fabich, N Wagner - Emerging Markets Review, 2017 - Elsevier
We study the firm value determinants for domestic acquisitions within BRICS countries
considering both acquirer and target shareholders. Targets earn significant positive …
considering both acquirer and target shareholders. Targets earn significant positive …