Following that link brings us to:
http://korpora.zim.uni-duisburg-essen.de/kant/aa03/
wget won't follow links that point to domains not specified by the user. Since korpora.zim.uni-duisburg-essen.de is not equal to korpora.org, wget will not follow the links on the index page.
To remedy this, use --span-hosts or -H. -rH is a VERY dangerous combination - combined, you can accidentally crawl the entire Internet - so you'll want to keep its scope very tightly focused. This command will do what you intended to do:
wget -e robots=off -rH -l inf -np -D korpora.org,korpora.zim.uni-duisburg-essen.de http://korpora.org/kant/aa03/index.html
(-np, or --no-parent, will limit the crawl to aa03/. -D will limit it to only those two domains. -l inf will crawl infinitely deep, constrained by -D and -np).