Nikolaus Hautsch
Names
| first: |
Nikolaus |
| last: |
Hautsch |
Identifer
Contact
Affiliations
-
Universität Wien
/ Fakultät für Wirtschaftswissenschaften
/ Department of Statistics and Operations Research (weight: 90%)
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Center for Financial Studies (weight: 10%)
Research profile
author of:
- Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence (RePEc:aah:create:2010-29)
by Nikolaus Hautsch & Mark Podolskij - Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty (RePEc:arx:papers:1709.06296)
by Nikolaus Hautsch & Stefan Voigt - Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading (RePEc:arx:papers:1709.08238)
by Martin D. Gould & Nikolaus Hautsch & Sam D. Howison & Mason A. Porter - Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets (RePEc:arx:papers:1812.00595)
by Nikolaus Hautsch & Christoph Scheuch & Stefan Voigt - HARNet: A Convolutional Neural Network for Realized Volatility Forecasting (RePEc:arx:papers:2205.07719)
by Rafael Reisenhofer & Xandro Bayer & Nikolaus Hautsch - Jump detection in high-frequency order prices (RePEc:arx:papers:2403.00819)
by Markus Bibinger & Nikolaus Hautsch & Alexander Ristig - Consistent Estimation of the High-Dimensional Efficient Frontier (RePEc:arx:papers:2409.15103)
by Taras Bodnar & Nikolaus Hautsch & Yarema Okhrin & Nestor Parolya - Nonstandard Errors (RePEc:bla:jfinan:v:79:y:2024:i:3:p:2339-2390)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy - A Dynamic Semiparametric Proportional Hazard Model (RePEc:bpj:sndecm:v:11:y:2007:i:2:n:1)
by Gerhard Frank & Hautsch Nikolaus - Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence (RePEc:cam:camdae:1464)
by Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss - Unknown item RePEc:cfs:cfswop:wp200725 (paper)
- Unknown item RePEc:cfs:cfswop:wp200903 (paper)
- Unknown item RePEc:cfs:cfswop:wp200918 (paper)
- Dynamic latent factor models for intensity processes (RePEc:cor:louvco:2003103)
by BAUWENS, Luc & HAUTSCH, Nikolaus - Modelling financial high frequency data using point processes (RePEc:cor:louvco:2006080)
by BAUWENS, Luc & HAUTSCH, Nikolaus - Stochastic conditional intensity processes (RePEc:cor:louvrp:1937)
by BAUWENS, Luc & HAUTSCH, Nikolaus - Modelling financial high frequency data using point processes (RePEc:cor:louvrp:2123)
by BAUWENS, Luc & HAUTSCH, Nikolaus - Modelling Financial High Frequency Data Using Point Processes (RePEc:ctl:louvec:2006039)
by Luc, BAUWENS & Nikolaus, HAUTSCH - Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery (RePEc:cup:jfinqa:v:42:y:2007:i:01:p:189-208_00)
by Hautsch, Nikolaus & Hess, Dieter - The impact of macroeconomic news on quote adjustments, noise and informational volatility (RePEc:eca:wpaper:2013/230855)
by Nikolaus Hautsch & Dieter Hess & David Veredas - Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models (RePEc:ecm:wc2000:1082)
by Frank Gerhard & Nikolaus Hautsch - Bayesian inference in a Stochastic Volatility Nelson–Siegel model (RePEc:eee:csdana:v:56:y:2012:i:11:p:3774-3792)
by Hautsch, Nikolaus & Yang, Fuyu - Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model (RePEc:eee:dyncon:v:32:y:2008:i:12:p:3978-4015)
by Hautsch, Nikolaus - The market impact of a limit order (RePEc:eee:dyncon:v:36:y:2012:i:4:p:501-522)
by Hautsch, Nikolaus & Huang, Ruihong - Large-scale portfolio allocation under transaction costs and model uncertainty (RePEc:eee:econom:v:212:y:2019:i:1:p:221-240)
by Hautsch, Nikolaus & Voigt, Stefan - Local mispricing and microstructural noise: A parametric perspective (RePEc:eee:econom:v:230:y:2022:i:2:p:510-534)
by Andersen, Torben G. & Archakov, Ilya & Cebiroglu, Gökhan & Hautsch, Nikolaus - When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions (RePEc:eee:empfin:v:18:y:2011:i:2:p:321-340)
by Groß-Klußmann, Axel & Hautsch, Nikolaus - Modelling and forecasting liquidity supply using semiparametric factor dynamics (RePEc:eee:empfin:v:19:y:2012:i:4:p:610-625)
by Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija - Dynamic conditional correlation multiplicative error processes (RePEc:eee:empfin:v:36:y:2016:i:c:p:41-67)
by Bodnar, Taras & Hautsch, Nikolaus - Volatility estimation on the basis of price intensities (RePEc:eee:empfin:v:9:y:2002:i:1:p:57-89)
by Gerhard, Frank & Hautsch, Nikolaus - Modelling the buy and sell intensity in a limit order book market (RePEc:eee:finmar:v:10:y:2007:i:3:p:249-286)
by Hall, Anthony D. & Hautsch, Nikolaus - Systemic risk spillovers in the European banking and sovereign network (RePEc:eee:finsta:v:25:y:2016:i:c:p:206-224)
by Betz, Frank & Hautsch, Nikolaus & Peltonen, Tuomas A. & Schienle, Melanie - Forecasting systemic impact in financial networks (RePEc:eee:intfor:v:30:y:2014:i:3:p:781-794)
by Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie - The impact of macroeconomic news on quote adjustments, noise, and informational volatility (RePEc:eee:jbfina:v:35:y:2011:i:10:p:2733-2746)
by Hautsch, Nikolaus & Hess, Dieter & Veredas, David - Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields (RePEc:eee:jbfina:v:36:y:2012:i:11:p:2988-3007)
by Hautsch, Nikolaus & Ou, Yangguoyi - Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions (RePEc:eee:jeborg:v:52:y:2003:i:1:p:97-113)
by Hautsch, Nikolaus & Klotz, Stefan - How effective are trading pauses? (RePEc:eee:jfinec:v:131:y:2019:i:2:p:378-403)
by Hautsch, Nikolaus & Horvath, Akos - Price adjustment to news with uncertain precision (RePEc:eee:jimfin:v:31:y:2012:i:2:p:337-355)
by Hautsch, Nikolaus & Hess, Dieter & Müller, Christoph - Nonstandard errors (RePEc:ehl:lserod:123002)
by Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac - Unknown item RePEc:grz:wpsses:2021-08 (paper)
- Non-Standard Errors (RePEc:hhs:lunewp:2021_017)
by Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena - Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model (RePEc:hum:wpaper:sfb649dp2007-052)
by Nikolaus Hautsch - Modelling Financial High Frequency Data Using Point Processes (RePEc:hum:wpaper:sfb649dp2007-066)
by Luc Bauwens & Nikolaus Hautsch - Price Adjustment to News with Uncertain Precision (RePEc:hum:wpaper:sfb649dp2008-025)
by Nikolaus Hautsch & Dieter Hess & Christoph Müller - Measuring and Modeling Risk Using High-Frequency Data (RePEc:hum:wpaper:sfb649dp2008-045)
by Wolfgang Härdle & Nikolaus Hautsch & Uta Pigorsch - Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models (RePEc:hum:wpaper:sfb649dp2008-047)
by Nikolaus Hautsch & Vahidin Jeleskovic - Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia (RePEc:hum:wpaper:sfb649dp2008-053)
by Nikolaus Hautsch & Yangguoyi Ou - Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference (RePEc:hum:wpaper:sfb649dp2008-063)
by Nikolaus Hautsch & Yangguoyi Ou - Testing Multiplicative Error Models Using Conditional Moment Tests (RePEc:hum:wpaper:sfb649dp2008-067)
by Nikolaus Hautsch - Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics (RePEc:hum:wpaper:sfb649dp2009-044)
by Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci - A blocking and regularization approach to high dimensional realized covariance estimation (RePEc:hum:wpaper:sfb649dp2009-049)
by Nikolaus Hautsch & Lada M. Kyj & Roel C.A. Oomen - The Market Impact of a Limit Order (RePEc:hum:wpaper:sfb649dp2009-051)
by Nikolaus Hautsch & Ruihong Huang - Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements (RePEc:hum:wpaper:sfb649dp2009-063)
by Axel Groß-Klußmann & Nikolaus Hautsch - Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model (RePEc:hum:wpaper:sfb649dp2010-004)
by Nikolaus Hautsch & Fuyu Yang - The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility (RePEc:hum:wpaper:sfb649dp2010-005)
by Nikolaus Hautsch & Dieter Hess & David Veredas - Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence (RePEc:hum:wpaper:sfb649dp2010-038)
by Nikolaus Hautsch & Mark Podolskij - Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes (RePEc:hum:wpaper:sfb649dp2010-055)
by Nikolaus Hautsch & Peter Malec & Melanie Schienle - Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models (RePEc:hum:wpaper:sfb649dp2011-044)
by Axel Groß-Klußmann & Nikolaus Hautsch - Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data (RePEc:hum:wpaper:sfb649dp2011-056)
by Nikolaus Hautsch & Ruihong Huang - The Merit of High-Frequency Data in Portfolio Allocation (RePEc:hum:wpaper:sfb649dp2011-059)
by Nikolaus Hautsch & Lada M. Kyj & Peter Malec - Financial Network Systemic Risk Contributions (RePEc:hum:wpaper:sfb649dp2011-072)
by Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle - On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements (RePEc:hum:wpaper:sfb649dp2012-014)
by Nikolaus Hautsch & Ruihong Huang - Local Adaptive Multiplicative Error Models for High-Frequency Forecasts (RePEc:hum:wpaper:sfb649dp2012-031)
by Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci - Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes (RePEc:hum:wpaper:sfb649dp2012-044)
by Taras Bodnar & Nikolaus Hautsch - Financial Network Systemic Risk Contributions (RePEc:hum:wpaper:sfb649dp2012-053)
by Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle - Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series (RePEc:hum:wpaper:sfb649dp2012-054)
by Nikolaus Hautsch & Julia Schuamburg & Melanie Schienle - Forecasting systemic impact in financial networks (RePEc:hum:wpaper:sfb649dp2013-008)
by Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle - Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? (RePEc:hum:wpaper:sfb649dp2013-014)
by Nikolaus Hautsch & Lada M. Kyj & Peter Malec - Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency (RePEc:hum:wpaper:sfb649dp2013-017)
by Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss - Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models (RePEc:hum:wpaper:sfb649dp2014-010)
by Nikolaus Hautsch & Ostap Okhrin & Alexander Ristig - Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence (RePEc:hum:wpaper:sfb649dp2014-055)
by Markus Bibinger & Markus Reiss & Nikolaus Hautsch & Peter Malec - Non-Standard Errors (RePEc:inn:wpaper:2021-31)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & Tobi - A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market (RePEc:kud:kuiedp:0407)
by Anthony D. Hall & Nikolaus Hautsch - Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery (RePEc:kud:kuiedp:0417)
by Nikolaus Hautsch & Dieter Hess - FRU Working Papers (RePEc:kud:kuiefr)
from University of Copenhagen. Department of Economics. Finance Research Unit as editor - A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market (RePEc:kud:kuiefr:200403)
by Anthony D. Hall & Nikolaus Hautsch - Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery (RePEc:kud:kuiefr:200406)
by Nikolaus Hautsch & Dieter Hess - The latent factor VAR model: Testing for a common component in the intraday trading process (RePEc:kud:kuiefr:200503)
by Nikolaus Hautsch - Order Aggressiveness and Order Book Dynamics (RePEc:kud:kuiefr:200504)
by Anthony D. Hall & Nikolaus Hautsch - A Dynamic Semiparametric Proportional Hazard Model (RePEc:kud:kuiefr:200605)
by Frank Gerhard & Nikolaus Hautsch - Testing the Conditional Mean Function of Autoregressive Conditional Duration Models (RePEc:kud:kuiefr:200606)
by Nikolaus Hautsch - Price Adjustment to News with Uncertain Precision (RePEc:kud:kuiefr:200801)
by Nikolaus Hautsch & Dieter Hess & Christoph Müller - Semiparametric autoregressive conditional proportional hazard models (RePEc:nuf:econwp:0202)
by Frank Gerhard & Nikolaus Hautsch - Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities (RePEc:oup:jfinec:v:1:y:2003:i:2:p:189-215)
by Nikolaus Hautsch - Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes (RePEc:oup:jfinec:v:12:y:2013:i:1:p:89-121)
by Nikolaus Hautsch & Peter Malec & Melanie Schienle - Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes (RePEc:oup:jfinec:v:12:y:2014:i:1:p:89-121.)
by Nikolaus Hautsch & Peter Malec & Melanie Schienle - A Descriptive Study of High-Frequency Trade and Quote Option Data
[Stealth Trading in Options Markets] (RePEc:oup:jfinec:v:19:y:2021:i:1:p:128-177.)
by Torben Andersen & Ilya Archakov & Leon Grund & Nikolaus Hautsch & Yifan Li & Sergey Nasekin & Ingmar Nolte & Manh Cuong Pham & Stephen Taylor & Viktor Todorov - Maximum-Likelihood Estimation Using the Zig-Zag Algorithm (RePEc:oup:jfinec:v:21:y:2023:i:4:p:1346-1375.)
by Nikolaus Hautsch & Ostap Okhrin & Alexander Ristig - Stochastic Conditional Intensity Processes (RePEc:oup:jfinec:v:4:y:2006:i:3:p:450-493)
by Luc Bauwens & Nikolaus Hautsch - Financial Network Systemic Risk Contributions (RePEc:oup:revfin:v:19:y:2015:i:2:p:685-738.)
by Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle - Building trust takes time: limits to arbitrage for blockchain-based assets (RePEc:oup:revfin:v:28:y:2024:i:4:p:1345-1381.)
by Nikolaus Hautsch & Christoph Scheu & Stefan Voigt - The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report (RePEc:oup:revfin:v:6:y:2002:i:2:p:133-161.)
by Nikolaus Hautsch & Dieter Hess - Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations (RePEc:pal:assmgt:v:4:y:2003:i:3:d:10.1057_palgrave.jam.2240102)
by Nikolaus Hautsch & Joachim Inkmann - Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? (RePEc:rco:dpaper:28)
by Cebirogly, Gökhan & Hautsch, Nikolaus & Horst, Ulrich - Order aggressiveness and order book dynamics (RePEc:spr:empeco:v:30:y:2006:i:4:p:973-1005)
by Anthony Hall & Nikolaus Hautsch - Econometrics of Financial High-Frequency Data (RePEc:spr:sprbok:978-3-642-21925-2)
by Nikolaus Hautsch - Order aggressiveness and order book dynamics (RePEc:spr:stecpp:978-3-7908-1992-2_7)
by Anthony D. Hall & Nikolaus Hautsch - Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading (RePEc:taf:apmtfi:v:27:y:2020:i:6:p:520-548)
by Martin D. Gould & Nikolaus Hautsch & Sam D. Howison & Mason A. Porter - Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence (RePEc:taf:jnlbes:v:31:y:2013:i:2:p:165-183)
by Nikolaus Hautsch & Mark Podolskij - Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence (RePEc:taf:jnlbes:v:37:y:2019:i:3:p:419-435)
by Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss - Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth (RePEc:uea:aepppr:2012_56)
by Nikolaus Hautsch & Fuyu Yang - The impact of macroeconomic news on quote adjustments, noise and informational volatility (RePEc:ulb:ulbeco:2013/136190)
by Nikolaus Hautsch & Dieter Hess & David Veredas - A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market (RePEc:uts:rpaper:121)
by Anthony D. Hall & Nikolaus Hautsch - A blocking and regularization approach to high‐dimensional realized covariance estimation (RePEc:wly:japmet:v:27:y:2012:i:4:p:625-645)
by Nikolaus Hautsch & Lada M. Kyj & Roel C. A. Oomen - Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations? (RePEc:wly:japmet:v:30:y:2015:i:2:p:263-290)
by Nikolaus Hautsch & Lada M. Kyj & Peter Malec - Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts (RePEc:wly:japmet:v:30:y:2015:i:4:p:529-550)
by Wolfgang K. Härdle & Nikolaus Hautsch & Andrija Mihoci - Multivariate dynamic intensity peaks‐over‐threshold models (RePEc:wly:japmet:v:35:y:2020:i:2:p:248-272)
by Nikolaus Hautsch & Rodrigo Herrera - Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models (RePEc:wly:jforec:v:32:y:2013:i:8:p:724-742)
by Axel Groß‐KlußMann & Nikolaus Hautsch - Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions (RePEc:wpa:wuwpfi:9904002)
by Nikolaus Hautsch - Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery (RePEc:zbw:cfrwps:0410)
by Hautsch, Nikolaus & Hess, Dieter - Price adjustment to news with uncertain precision (RePEc:zbw:cfrwps:0804)
by Hautsch, Nikolaus & Hess, Dieter E. & Müller, Christoph - Price adjustment to news with uncertain precision (RePEc:zbw:cfrwps:0804r)
by Hautsch, Nikolaus & Hess, Dieter & Müller, Christoph - The impact of macroeconomic news on quote adjustments, noise, and informational volatility (RePEc:zbw:cfrwps:1106)
by Hautsch, Nikolaus & Hess, Dieter E. & Veredas, David - Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model (RePEc:zbw:cfswop:200725)
by Hautsch, Nikolaus - Price adjustment to news with uncertain precision (RePEc:zbw:cfswop:200828)
by Hautsch, Nikolaus & Hess, Dieter E. & Müller, Christoph - Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields (RePEc:zbw:cfswop:200903)
by Hautsch, Nikolaus & Ou, Yangguoyi - Modelling and forecasting liquidity supply using semiparametric factor dynamics (RePEc:zbw:cfswop:200918)
by Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija - A blocking and regularization approach to high dimensional realized covariance estimation (RePEc:zbw:cfswop:200920)
by Hautsch, Nikolaus & Kyj, Lada M. & Hautsch, Nikolaus - The market impact of a limit order (RePEc:zbw:cfswop:200923)
by Hautsch, Nikolaus & Huang, Ruihong - Quantifying high-frequency market reactions to real-time news sentiment announcements (RePEc:zbw:cfswop:200931)
by Groß-Klußmann, Axel & Hautsch, Nikolaus - The impact of macroeconomic news on quote adjustments, noise, and informational volatility (RePEc:zbw:cfswop:201001)
by Hautsch, Nikolaus & Hess, Dieter E. & Veredas, David - Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence (RePEc:zbw:cfswop:201017)
by Hautsch, Nikolaus & Podolskij, Mark - Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes (RePEc:zbw:cfswop:201019)
by Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie - The merit of high-frequency data in portfolio allocation (RePEc:zbw:cfswop:201124)
by Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter - Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes (RePEc:zbw:cfswop:201125)
by Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie - On the dark side of the market: Identifying and analyzing hidden order placements (RePEc:zbw:cfswop:201204)
by Hautsch, Nikolaus & Huang, Ruihong - Copula-based dynamic conditional correlation multiplicative error processes (RePEc:zbw:cfswop:201319)
by Bodnar, Taras & Hautsch, Nikolaus - Financial network systemic risk contributions (RePEc:zbw:cfswop:201320)
by Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie - Efficient iterative maximum likelihood estimation of high-parameterized time series models (RePEc:zbw:cfswop:450)
by Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander - Systemic risk spillovers in the European banking and sovereign network (RePEc:zbw:cfswop:467)
by Betz, Frank & Hautsch, Nikolaus & Peltonen, Tuomas A. & Schienle, Melanie - Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency? (RePEc:zbw:cfswop:468)
by Cebiroglu, Gökhan & Hautsch, Nikolaus & Horst, Ulrich - Estimating the spot covariation of asset prices: Statistical theory and empirical evidence (RePEc:zbw:cfswop:477)
by Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus - Multivariate dynamic intensity peaks-over-threshold models (RePEc:zbw:cfswop:516)
by Hautsch, Nikolaus & Herrera, Rodrigo - Volatility, information feedback and market microstructure noise: A tale of two regimes (RePEc:zbw:cfswop:569)
by Andersen, Torben G. & Cebiroglu, Gökhan & Hautsch, Nikolaus - How effective are trading pauses? (RePEc:zbw:cfswop:571)
by Hautsch, Nikolaus & Horvath, Akos - The ambivalent role of high-frequency trading in turbulent market periods (RePEc:zbw:cfswop:580)
by Hautsch, Nikolaus & Noé, Michael & Zhang, S. Sarah - Counterparty credit limits: An effective tool for mitigating counterparty risk? (RePEc:zbw:cfswop:581)
by Gould, Martin D. & Hautsch, Nikolaus & Howison, Sam D. & Porter, Mason A. - Large-scale portfolio allocation under transaction costs and model uncertainty (RePEc:zbw:cfswop:582)
by Hautsch, Nikolaus & Voigt, Stefan - Limits to arbitrage in markets with stochastic settlement latency (RePEc:zbw:cfswop:616)
by Hautsch, Nikolaus & Scheuch, Christoph & Voigt, Stefan - Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect? (RePEc:zbw:cfswop:625)
by Cebiroglu, Gökhan & Hautsch, Nikolaus & Walsh, Christopher - HARNet: A convolutional neural network for realized volatility forecasting (RePEc:zbw:cfswop:680)
by Reisenhofer, Rafael & Bayer, Xandro & Hautsch, Nikolaus - Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model (RePEc:zbw:cofedp:0020)
by Gerhard, Frank & Hautsch, Nikolaus - Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions (RePEc:zbw:cofedp:0104)
by Hautsch, Nikolaus & Klotz, Stefan - Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities (RePEc:zbw:cofedp:0105)
by Hautsch, Nikolaus & Pohlmeier, Winfried - Modelling Intraday Trading Activity Using Box-Cox-ACD Models (RePEc:zbw:cofedp:0205)
by Hautsch, Nikolaus - The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report (RePEc:zbw:cofedp:0206)
by Hautsch, Nikolaus & Hess, Dieter - Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions (RePEc:zbw:cofedp:9903)
by Hautsch, Nikolaus - Volatility Estimation on the Basis of Price Intensities (RePEc:zbw:cofedp:9919)
by Gerhard, Frank & Hautsch, Nikolaus - Systemic risk spillovers in the European banking and sovereign network (RePEc:zbw:kitwps:79)
by Betz, Frank & Hautsch, Nikolaus & Peltonen, Tuomas A. & Schienle, Melanie - Shirking or mismatch? Coach-team separation in German professional soccer (RePEc:zbw:kondp1:313)
by Hautsch, Nikolaus & Lehmann, Erik & Warning, Susanne & Frick, Bernd - Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model (RePEc:zbw:sfb649:sfb649dp2007-052)
by Hautsch, Nikolaus - Modelling financial high frequency data using point processes (RePEc:zbw:sfb649:sfb649dp2007-066)
by Bauwens, Luc & Hautsch, Nikolaus - Price adjustment to news with uncertain precision (RePEc:zbw:sfb649:sfb649dp2008-025)
by Hautsch, Nikolaus & Hess, Dieter E. & Müller, Christoph - Measuring and modeling risk using high-frequency data (RePEc:zbw:sfb649:sfb649dp2008-045)
by Härdle, Wolfgang Karl & Hautsch, Nikolaus & Pigorsch, Uta - Modelling high-frequency volatility and liquidity using multiplicative error models (RePEc:zbw:sfb649:sfb649dp2008-047)
by Hautsch, Nikolaus & Jeleskovic, Vahidin - Yield curve factors, term structure volatility, and bond risk premia (RePEc:zbw:sfb649:sfb649dp2008-053)
by Hautsch, Nikolaus & Ou, Yangguoyi - Discrete-time stochastic volatility models and MCMC-based statistical inference (RePEc:zbw:sfb649:sfb649dp2008-063)
by Hautsch, Nikolaus & Ou, Yangguoyi - Testing multiplicative error models using conditional moment tests (RePEc:zbw:sfb649:sfb649dp2008-067)
by Hautsch, Nikolaus - Modelling and forecasting liquidity supply using semiparametric factor dynamics (RePEc:zbw:sfb649:sfb649dp2009-044)
by Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija - A blocking and regularization approach to high dimensional realized covariance estimation (RePEc:zbw:sfb649:sfb649dp2009-049)
by Hautsch, Nikolaus & Kyj, Lada M. & Oomen, Roel C.A. - The market impact of a limit order (RePEc:zbw:sfb649:sfb649dp2009-051)
by Hautsch, Nikolaus & Huang, Ruihong - Quantifying high-frequency market reactions to real-time news sentiment announcements (RePEc:zbw:sfb649:sfb649dp2009-063)
by Groß-Klußmann, Axel & Hautsch, Nikolaus - Bayesian inference in a stochastic volatility Nelson-Siegel Model (RePEc:zbw:sfb649:sfb649dp2010-004)
by Hautsch, Nikolaus & Yang, Fuyu - The impact of macroeconomic news on quote adjustments, noise, and informational volatility (RePEc:zbw:sfb649:sfb649dp2010-005)
by Hautsch, Nikolaus & Hess, Dieter E. & Veredas, David - Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence (RePEc:zbw:sfb649:sfb649dp2010-038)
by Hautsch, Nikolaus & Podolskij, Mark - Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes (RePEc:zbw:sfb649:sfb649dp2010-055)
by Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie - Predicting bid-ask spreads using long memory autoregressive conditional poisson models (RePEc:zbw:sfb649:sfb649dp2011-044)
by Groß-Klußmann, Axel & Hautsch, Nikolaus - Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data (RePEc:zbw:sfb649:sfb649dp2011-056)
by Hautsch, Nikolaus & Huang, Ruihong - The merit of high-frequency data in portfolio allocation (RePEc:zbw:sfb649:sfb649dp2011-059)
by Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter - Financial network systemic risk contributions (RePEc:zbw:sfb649:sfb649dp2011-072)
by Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie - On the dark side of the market: Identifying and analyzing hidden order placements (RePEc:zbw:sfb649:sfb649dp2012-014)
by Hautsch, Nikolaus & Huang, Ruihong - Local adaptive multiplicative error models for high-frequency forecasts (RePEc:zbw:sfb649:sfb649dp2012-031)
by Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija - Copula-based dynamic conditional correlation multiplicative error processes (RePEc:zbw:sfb649:sfb649dp2012-044)
by Bodnar, Taras & Hautsch, Nikolaus - Financial network systemic risk contributions (RePEc:zbw:sfb649:sfb649dp2012-053)
by Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie - Modeling time-varying dependencies between positive-valued high-frequency time series (RePEc:zbw:sfb649:sfb649dp2012-054)
by Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander - Forecasting systemic impact in financial networks (RePEc:zbw:sfb649:sfb649dp2013-008)
by Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie - Do high-frequency data improve high-dimensional portfolio allocations? (RePEc:zbw:sfb649:sfb649dp2013-014)
by Hautsch, Nikolaus & Kyj, Lada. M. & Malec, Peter - Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency (RePEc:zbw:sfb649:sfb649dp2013-017)
by Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus - Efficient iterative maximum likelihood estimation of high-parameterized time series models (RePEc:zbw:sfb649:sfb649dp2014-010)
by Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander - Estimating the spot covariation of asset prices: Statistical theory and empirical evidence (RePEc:zbw:sfb649:sfb649dp2014-055)
by Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus - Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information (RePEc:zbw:vfsc17:168222)
by Hautsch, Nikolaus & Voigt, Stefan - A mean variance king? Creation and resolution of uncertainty under the employment report's reign (RePEc:zbw:zewdip:5416)
by Hautsch, Nikolaus & Hess, Dieter E.