Details about Nikolaus Hautsch

E-mail:
Homepage:	http://homepage.univie.ac.at/nikolaus.hautsch/
Postal address:	Department of Statistics and Operations Research University of Vienna Oskar-Morgenstern-Platz 1 1090 Vienna Austria
Workplace:	Department of Statistics and Operations Research, Fakultät für Wirtschaftswissenschaften (Faculty of Economics), Universität Wien (University of Vienna), (more information at EDIRC) Center for Financial Studies, (more information at EDIRC)

Access statistics for papers by Nikolaus Hautsch.

Last updated 2024-10-08. Update your information in the RePEc Author Service.

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Working Papers

2024

1. Consistent Estimation of the High-Dimensional Efficient Frontier
   Papers, arXiv.org
2. Jump detection in high-frequency order prices
   Papers, arXiv.org
3. Nonstandard errors
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   Also in Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   Working Papers, Lund University, Department of Economics (2021)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) (2024)

2023

4. Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets
   Papers, arXiv.org View citations (4)
   See also Journal Article Building trust takes time: limits to arbitrage for blockchain-based assets, Review of Finance, European Finance Association (2024) (2024)

2022

5. HARNet: A Convolutional Neural Network for Realized Volatility Forecasting
   Papers, arXiv.org View citations (2)
   Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2022) View citations (2)

2021

6. Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading
   Papers, arXiv.org
   See also Journal Article Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading, Applied Mathematical Finance, Taylor & Francis Journals (2020) (2020)

2019

7. Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect?
   CFS Working Paper Series, Center for Financial Studies (CFS)

2018

8. Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty
   Papers, arXiv.org
   Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2017)
   See also Journal Article Large-scale portfolio allocation under transaction costs and model uncertainty, Journal of Econometrics, Elsevier (2019) View citations (15) (2019)
9. Limits to arbitrage in markets with stochastic settlement latency
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (3)

2017

10. Counterparty credit limits: An effective tool for mitigating counterparty risk?
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (1)
11. How effective are trading pauses?
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (1)
    See also Journal Article How effective are trading pauses?, Journal of Financial Economics, Elsevier (2019) View citations (22) (2019)
12. Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information
    VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking, Verein für Socialpolitik / German Economic Association
13. Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?
    Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014)
14. The ambivalent role of high-frequency trading in turbulent market periods
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (7)
15. Volatility, information feedback and market microstructure noise: A tale of two regimes
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (2)

2016

16. Systemic risk spillovers in the European banking and sovereign network
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management View citations (87)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) View citations (1)
    See also Journal Article Systemic risk spillovers in the European banking and sovereign network, Journal of Financial Stability, Elsevier (2016) View citations (73) (2016)

2015

17. Multivariate dynamic intensity peaks-over-threshold models
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (3)
    See also Journal Article Multivariate dynamic intensity peaks‐over‐threshold models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) View citations (2) (2020)

2014

18. Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth
    University of East Anglia Applied and Financial Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK.
19. Efficient iterative maximum likelihood estimation of high-parameterized time series models
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) View citations (1)
20. Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2014) View citations (1)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2014) View citations (3)
    See also Journal Article Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence, Journal of Business & Economic Statistics, Taylor & Francis Journals (2019) View citations (13) (2019)

2013

21. Copula-based dynamic conditional correlation multiplicative error processes
    CFS Working Paper Series, Center for Financial Studies (CFS)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2012)
22. Do high-frequency data improve high-dimensional portfolio allocations?
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (37) (2015)
23. Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
24. Financial network systemic risk contributions
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (35)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2011) View citations (3)
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2012) View citations (6)
    See also Journal Article Financial Network Systemic Risk Contributions, Review of Finance, European Finance Association (2015) View citations (204) (2015)
25. Forecasting systemic impact in financial networks
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Forecasting systemic impact in financial networks, International Journal of Forecasting, Elsevier (2014) View citations (42) (2014)

2012

26. Local adaptive multiplicative error models for high-frequency forecasts
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (19) (2015)
27. Modeling time-varying dependencies between positive-valued high-frequency time series
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
28. On the dark side of the market: Identifying and analyzing hidden order placements
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (10)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2012)

2011

29. Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (17)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2010) View citations (7)
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2010)
    See also Journal Article Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes, Journal of Financial Econometrics, Oxford University Press (2014) View citations (13) (2014)
30. Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)
31. Predicting bid-ask spreads using long memory autoregressive conditional poisson models
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models, Journal of Forecasting, John Wiley & Sons, Ltd. (2013) View citations (6) (2013)
32. Price adjustment to news with uncertain precision
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR)
    Also in FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit (2008) View citations (4)
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2008)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2008) View citations (4)
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2008) View citations (5)
    See also Journal Article Price adjustment to news with uncertain precision, Journal of International Money and Finance, Elsevier (2012) View citations (1) (2012)
33. The impact of macroeconomic news on quote adjustments, noise and informational volatility
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (40)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) View citations (15)
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2011) View citations (26)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2010) View citations (15)
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2010)
    See also Journal Article The impact of macroeconomic news on quote adjustments, noise, and informational volatility, Journal of Banking & Finance, Elsevier (2011) View citations (26) (2011)
34. The merit of high-frequency data in portfolio allocation
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2011) View citations (22)

2010

35. Bayesian inference in a stochastic volatility Nelson-Siegel Model
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Bayesian inference in a Stochastic Volatility Nelson–Siegel model, Computational Statistics & Data Analysis, Elsevier (2012) View citations (15) (2012)
36. Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (13)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2010)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2010) View citations (13)
    See also Journal Article Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence, Journal of Business & Economic Statistics, Taylor & Francis Journals (2013) View citations (50) (2013)

2009

37. A blocking and regularization approach to high dimensional realized covariance estimation
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (7)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2009)
    See also Journal Article A blocking and regularization approach to high‐dimensional realized covariance estimation, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2012) View citations (60) (2012)
38. Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (1)
    See also Journal Article Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields, Journal of Banking & Finance, Elsevier (2012) View citations (11) (2012)
39. Modelling and forecasting liquidity supply using semiparametric factor dynamics
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2009) View citations (9)
    See also Journal Article Modelling and forecasting liquidity supply using semiparametric factor dynamics, Journal of Empirical Finance, Elsevier (2012) View citations (19) (2012)
40. Modelling financial high frequency data using point processes
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (86)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2007)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (14)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) View citations (13)
41. Quantifying high-frequency market reactions to real-time news sentiment announcements
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2009) View citations (1)
42. The market impact of a limit order
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (14)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2009)
    See also Journal Article The market impact of a limit order, Journal of Economic Dynamics and Control, Elsevier (2012) View citations (52) (2012)

2008

43. Discrete-time stochastic volatility models and MCMC-based statistical inference
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
44. Measuring and modeling risk using high-frequency data
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
45. Modelling high-frequency volatility and liquidity using multiplicative error models
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
46. Testing multiplicative error models using conditional moment tests
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
47. Yield curve factors, term structure volatility, and bond risk premia
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2007

48. Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (2)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2007)
    See also Journal Article Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model, Journal of Economic Dynamics and Control, Elsevier (2008) View citations (34) (2008)

2006

49. A Dynamic Semiparametric Proportional Hazard Model
    FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit
    See also Journal Article A Dynamic Semiparametric Proportional Hazard Model, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2007) View citations (2) (2007)
50. Stochastic conditional intensity processes
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (49)
    See also Journal Article Stochastic Conditional Intensity Processes, Journal of Financial Econometrics, Oxford University Press (2006) View citations (54) (2006)
51. Testing the Conditional Mean Function of Autoregressive Conditional Duration Models
    FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit View citations (13)

2005

52. The latent factor VAR model: Testing for a common component in the intraday trading process
    FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit View citations (2)

2004

53. A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market
    Discussion Papers, University of Copenhagen. Department of Economics View citations (11)
    Also in FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit (2004) View citations (11)
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2004) View citations (12)
54. Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery
    FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit View citations (3)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2004) View citations (2)
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2004) View citations (2)
    See also Journal Article Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery, Journal of Financial and Quantitative Analysis, Cambridge University Press (2007) View citations (34) (2007)
55. Order Aggressiveness and Order Book Dynamics
    FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit View citations (6)
    See also Journal Article Order aggressiveness and order book dynamics, Empirical Economics, Springer (2006) View citations (54) (2006)
    Chapter Order aggressiveness and order book dynamics, Studies in Empirical Economics, Springer (2008) (2008)

2003

56. Dynamic latent factor models for intensity processes
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (19)

2002

57. Modelling Intraday Trading Activity Using Box-Cox-ACD Models
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (6)
58. The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (30)
    See also Journal Article The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report, Review of Finance, European Finance Association (2002) View citations (31) (2002)

2001

59. A mean variance king? Creation and resolution of uncertainty under the employment report's reign
    ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research View citations (1)
60. Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE)
61. Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE)
    See also Journal Article Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions, Journal of Economic Behavior & Organization, Elsevier (2003) View citations (17) (2003)
62. Shirking or mismatch? Coach-team separation in German professional soccer
    Discussion Papers, Series I, University of Konstanz, Department of Economics View citations (3)

2000

63. Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (3)
64. Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (3)

1999

65. Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions
    Finance, University Library of Munich, Germany View citations (6)
    Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (1999) View citations (6)
66. Volatility Estimation on the Basis of Price Intensities
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (1)
    See also Journal Article Volatility estimation on the basis of price intensities, Journal of Empirical Finance, Elsevier (2002) View citations (17) (2002)

Undated

67. Semiparametric autoregressive conditional proportional hazard models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (1)

Journal Articles

2024

1. Building trust takes time: limits to arbitrage for blockchain-based assets
   Review of Finance, 2024, 28, (4), 1345-1381
   See also Working Paper Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets, Papers (2023) View citations (4) (2023)
2. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390
   See also Working Paper Nonstandard errors, LSE Research Online Documents on Economics (2024) (2024)

2023

3. Maximum-Likelihood Estimation Using the Zig-Zag Algorithm*
   Journal of Financial Econometrics, 2023, 21, (4), 1346-1375 View citations (1)

2022

4. Local mispricing and microstructural noise: A parametric perspective
   Journal of Econometrics, 2022, 230, (2), 510-534 View citations (3)

2021

5. A Descriptive Study of High-Frequency Trade and Quote Option Data*
   (Stealth Trading in Options Markets)
   Journal of Financial Econometrics, 2021, 19, (1), 128-177 View citations (6)

2020

6. Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading
   Applied Mathematical Finance, 2020, 27, (6), 520-548
   See also Working Paper Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading, Papers (2021) (2021)
7. Multivariate dynamic intensity peaks‐over‐threshold models
   Journal of Applied Econometrics, 2020, 35, (2), 248-272 View citations (2)
   See also Working Paper Multivariate dynamic intensity peaks-over-threshold models, CFS Working Paper Series (2015) View citations (3) (2015)

2019

8. Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
   Journal of Business & Economic Statistics, 2019, 37, (3), 419-435 View citations (13)
   See also Working Paper Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence, Cambridge Working Papers in Economics (2014) View citations (8) (2014)
9. How effective are trading pauses?
   Journal of Financial Economics, 2019, 131, (2), 378-403 View citations (22)
   See also Working Paper How effective are trading pauses?, CFS Working Paper Series (2017) View citations (1) (2017)
10. Large-scale portfolio allocation under transaction costs and model uncertainty
    Journal of Econometrics, 2019, 212, (1), 221-240 View citations (15)
    See also Working Paper Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty, Papers (2018) (2018)

2016

11. Dynamic conditional correlation multiplicative error processes
    Journal of Empirical Finance, 2016, 36, (C), 41-67 View citations (8)
12. Systemic risk spillovers in the European banking and sovereign network
    Journal of Financial Stability, 2016, 25, (C), 206-224 View citations (73)
    See also Working Paper Systemic risk spillovers in the European banking and sovereign network, Working Paper Series in Economics (2016) View citations (87) (2016)

2015

13. Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?
    Journal of Applied Econometrics, 2015, 30, (2), 263-290 View citations (37)
    See also Working Paper Do high-frequency data improve high-dimensional portfolio allocations?, SFB 649 Discussion Papers (2013) (2013)
14. Financial Network Systemic Risk Contributions
    Review of Finance, 2015, 19, (2), 685-738 View citations (204)
    See also Working Paper Financial network systemic risk contributions, CFS Working Paper Series (2013) View citations (35) (2013)
15. Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts
    Journal of Applied Econometrics, 2015, 30, (4), 529-550 View citations (19)
    See also Working Paper Local adaptive multiplicative error models for high-frequency forecasts, SFB 649 Discussion Papers (2012) (2012)

2014

16. Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes
    Journal of Financial Econometrics, 2014, 12, (1), 89-121 View citations (13)
    Also in Journal of Financial Econometrics, 2013, 12, (1), 89-121 (2013) View citations (18)
    See also Working Paper Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes, CFS Working Paper Series (2011) View citations (17) (2011)
17. Forecasting systemic impact in financial networks
    International Journal of Forecasting, 2014, 30, (3), 781-794 View citations (42)
    See also Working Paper Forecasting systemic impact in financial networks, SFB 649 Discussion Papers (2013) (2013)

2013

18. Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
    Journal of Business & Economic Statistics, 2013, 31, (2), 165-183 View citations (50)
    See also Working Paper Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence, CREATES Research Papers (2010) View citations (13) (2010)
19. Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models
    Journal of Forecasting, 2013, 32, (8), 724-742 View citations (6)
    See also Working Paper Predicting bid-ask spreads using long memory autoregressive conditional poisson models, SFB 649 Discussion Papers (2011) (2011)

2012

20. A blocking and regularization approach to high‐dimensional realized covariance estimation
    Journal of Applied Econometrics, 2012, 27, (4), 625-645 View citations (60)
    See also Working Paper A blocking and regularization approach to high dimensional realized covariance estimation, CFS Working Paper Series (2009) View citations (7) (2009)
21. Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields
    Journal of Banking & Finance, 2012, 36, (11), 2988-3007 View citations (11)
    See also Working Paper Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields, CFS Working Paper Series (2009) View citations (1) (2009)
22. Bayesian inference in a Stochastic Volatility Nelson–Siegel model
    Computational Statistics & Data Analysis, 2012, 56, (11), 3774-3792 View citations (15)
    See also Working Paper Bayesian inference in a stochastic volatility Nelson-Siegel Model, SFB 649 Discussion Papers (2010) (2010)
23. Modelling and forecasting liquidity supply using semiparametric factor dynamics
    Journal of Empirical Finance, 2012, 19, (4), 610-625 View citations (19)
    See also Working Paper Modelling and forecasting liquidity supply using semiparametric factor dynamics, SFB 649 Discussion Papers (2009) (2009)
24. Price adjustment to news with uncertain precision
    Journal of International Money and Finance, 2012, 31, (2), 337-355 View citations (1)
    See also Working Paper Price adjustment to news with uncertain precision, CFR Working Papers (2011) (2011)
25. The market impact of a limit order
    Journal of Economic Dynamics and Control, 2012, 36, (4), 501-522 View citations (52)
    See also Working Paper The market impact of a limit order, CFS Working Paper Series (2009) View citations (14) (2009)

2011

26. The impact of macroeconomic news on quote adjustments, noise, and informational volatility
    Journal of Banking & Finance, 2011, 35, (10), 2733-2746 View citations (26)
    See also Working Paper The impact of macroeconomic news on quote adjustments, noise and informational volatility, ULB Institutional Repository (2011) View citations (40) (2011)
27. When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions
    Journal of Empirical Finance, 2011, 18, (2), 321-340 View citations (106)

2008

28. Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
    Journal of Economic Dynamics and Control, 2008, 32, (12), 3978-4015 View citations (34)
    See also Working Paper Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model, CFS Working Paper Series (2007) View citations (2) (2007)

2007

29. A Dynamic Semiparametric Proportional Hazard Model
    Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (2), 42 View citations (2)
    See also Working Paper A Dynamic Semiparametric Proportional Hazard Model, FRU Working Papers (2006) (2006)
30. Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery
    Journal of Financial and Quantitative Analysis, 2007, 42, (1), 189-208 View citations (34)
    See also Working Paper Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery, FRU Working Papers (2004) View citations (3) (2004)
31. Modelling the buy and sell intensity in a limit order book market
    Journal of Financial Markets, 2007, 10, (3), 249-286 View citations (44)

2006

32. Order aggressiveness and order book dynamics
    Empirical Economics, 2006, 30, (4), 973-1005 View citations (54)
    See also Chapter Order aggressiveness and order book dynamics, Studies in Empirical Economics, 2008, 133-165 (2008) (2008)
    Working Paper Order Aggressiveness and Order Book Dynamics, FRU Working Papers (2004) View citations (6) (2004)
33. Stochastic Conditional Intensity Processes
    Journal of Financial Econometrics, 2006, 4, (3), 450-493 View citations (54)
    See also Working Paper Stochastic conditional intensity processes, LIDAM Reprints CORE (2006) View citations (49) (2006)

2003

34. Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities
    Journal of Financial Econometrics, 2003, 1, (2), 189-215 View citations (16)
35. Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions
    Journal of Economic Behavior & Organization, 2003, 52, (1), 97-113 View citations (17)
    See also Working Paper Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions, CoFE Discussion Papers (2001) (2001)
36. Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations
    Journal of Asset Management, 2003, 4, (3), 173-198 View citations (1)

2002

37. The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report
    Review of Finance, 2002, 6, (2), 133-161 View citations (31)
    See also Working Paper The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report, CoFE Discussion Papers (2002) View citations (30) (2002)
38. Volatility estimation on the basis of price intensities
    Journal of Empirical Finance, 2002, 9, (1), 57-89 View citations (17)
    See also Working Paper Volatility Estimation on the Basis of Price Intensities, CoFE Discussion Papers (1999) View citations (1) (1999)

Books

2012

1. Econometrics of Financial High-Frequency Data
   Springer Books, Springer View citations (52)

Chapters

2008

1. Order aggressiveness and order book dynamics
   Springer
   See also Working Paper Order Aggressiveness and Order Book Dynamics, University of Copenhagen. Department of Economics. Finance Research Unit (2004) View citations (6) (2004)
   Journal Article Order aggressiveness and order book dynamics, Springer (2006) View citations (54) (2006)

Editor

1. FRU Working Papers
   University of Copenhagen. Department of Economics. Finance Research Unit