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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)

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Last updated 2017-04-03. Update your information in the RePEc Author Service.

Short-id: pha10


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Working Papers

2017

  1. Volatility, information feedback and market microstructure noise: A tale of two regimes
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads

2016

  1. Systemic risk spillovers in the European banking and sovereign network
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering Downloads View citations (3)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) Downloads

    See also Journal Article in Journal of Financial Stability (2016)

2015

  1. Multivariate dynamic intensity peaks-over-threshold models
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads

2014

  1. Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) Downloads View citations (1)
  2. Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  3. Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) Downloads View citations (1)
  4. Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads

2013

  1. Copula-based dynamic conditional correlation multiplicative error processes
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2012) Downloads
  2. Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
    See also Journal Article in Journal of Applied Econometrics (2015)
  3. Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (15)
  4. Financial network systemic risk contributions
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (26)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2011) Downloads View citations (7)
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2012) Downloads View citations (9)

    See also Journal Article in Review of Finance (2015)
  5. Forecasting systemic impact in financial networks
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (11)
    See also Journal Article in International Journal of Forecasting (2014)

2012

  1. Local Adaptive Multiplicative Error Models for High-Frequency Forecasts
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (6)
    See also Journal Article in Journal of Applied Econometrics (2015)
  2. Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  3. On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2012) Downloads View citations (1)

2011

  1. Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (9)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) Downloads View citations (2)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2010) Downloads View citations (1)

    See also Journal Article in Journal of Financial Econometrics (2013)
  2. Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (16)
  3. Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (5)
    See also Journal Article in Journal of Forecasting (2013)
  4. Price adjustment to news with uncertain precision
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) Downloads
    Also in FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit (2008) Downloads
    CFS Working Paper Series, Center for Financial Studies (CFS) (2008) Downloads View citations (1)
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2008) Downloads View citations (1)
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2008) View citations (3)

    See also Journal Article in Journal of International Money and Finance (2012)
  5. The Merit of High-Frequency Data in Portfolio Allocation
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (15)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2011) Downloads View citations (16)
  6. The impact of macroeconomic news on quote adjustments, noise and informational volatility
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (23)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) Downloads
    CFS Working Paper Series, Center for Financial Studies (CFS) (2010) Downloads
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2011) Downloads View citations (8)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) Downloads

    See also Journal Article in Journal of Banking & Finance (2011)

2010

  1. Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (17)
    See also Journal Article in Computational Statistics & Data Analysis (2012)
  2. Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2010) Downloads View citations (1)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads View citations (11)

    See also Journal Article in Journal of Business & Economic Statistics (2013)

2009

  1. A blocking and regularization approach to high dimensional realized covariance estimation
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (5)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2009) Downloads View citations (10)

    See also Journal Article in Journal of Applied Econometrics (2012)
  2. Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads
    See also Journal Article in Journal of Banking & Finance (2012)
  3. Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (6)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2009) Downloads View citations (5)

    See also Journal Article in Journal of Empirical Finance (2012)
  4. Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2009) Downloads View citations (1)
  5. The Market Impact of a Limit Order
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (21)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2009) Downloads View citations (1)

    See also Journal Article in Journal of Economic Dynamics and Control (2012)

2008

  1. Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  2. Measuring and Modeling Risk Using High-Frequency Data
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  3. Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
  4. Testing Multiplicative Error Models Using Conditional Moment Tests
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  5. Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)

2007

  1. Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2007) Downloads View citations (1)

    See also Journal Article in Journal of Economic Dynamics and Control (2008)
  2. Modelling Financial High Frequency Data Using Point Processes
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) Downloads View citations (8)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (2)
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

2006

  1. A Dynamic Semiparametric Proportional Hazard Model
    FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2007)
  2. Testing the Conditional Mean Function of Autoregressive Conditional Duration Models
    FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit Downloads View citations (5)

2005

  1. 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 Downloads View citations (2)

2004

  1. A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (7)
    Also in FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit (2004) Downloads View citations (8)
    Discussion Papers, University of Copenhagen. Department of Economics (2004) Downloads View citations (5)
  2. 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 Downloads View citations (3)
    Also in CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2004) Downloads View citations (1)
    Discussion Papers, University of Copenhagen. Department of Economics (2004) Downloads View citations (1)

    See also Journal Article in Journal of Financial and Quantitative Analysis (2007)
  3. Order Aggressiveness and Order Book Dynamics
    FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit Downloads View citations (4)
    See also Journal Article in Empirical Economics (2006)

2003

  1. Dynamic latent factor models for intensity processes
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (12)

2001

  1. A mean variance king? Creation and resolution of uncertainty under the employment report's reign
    ZEW Discussion Papers, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research Downloads View citations (2)
  2. Shirking or mismatch? Coach-team separation in German professional soccer
    Discussion Papers, Series I, University of Konstanz, Department of Economics Downloads View citations (1)

2000

  1. Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (1)

1999

  1. Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions
    Finance, EconWPA Downloads View citations (3)

Undated

  1. Semiparametric autoregressive conditional proportional hazard models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (1)
  2. Stochastic conditional intensity processes
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    See also Journal Article in Journal of Financial Econometrics (2006)

Journal Articles

2016

  1. Dynamic conditional correlation multiplicative error processes
    Journal of Empirical Finance, 2016, 36, (C), 41-67 Downloads View citations (3)
  2. Systemic risk spillovers in the European banking and sovereign network
    Journal of Financial Stability, 2016, 25, (C), 206-224 Downloads View citations (3)
    See also Working Paper (2016)

2015

  1. Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?
    Journal of Applied Econometrics, 2015, 30, (2), 263-290 Downloads View citations (6)
    See also Working Paper (2013)
  2. Financial Network Systemic Risk Contributions
    Review of Finance, 2015, 19, (2), 685-738 Downloads View citations (15)
    See also Working Paper (2013)
  3. Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts
    Journal of Applied Econometrics, 2015, 30, (4), 529-550 Downloads View citations (4)
    See also Working Paper (2012)

2014

  1. Forecasting systemic impact in financial networks
    International Journal of Forecasting, 2014, 30, (3), 781-794 Downloads View citations (7)
    See also Working Paper (2013)

2013

  1. Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes
    Journal of Financial Econometrics, 2013, 12, (1), 89-121 Downloads View citations (6)
    See also Working Paper (2011)
  2. 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 Downloads View citations (16)
    See also Working Paper (2010)
  3. Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models
    Journal of Forecasting, 2013, 32, (8), 724-742 Downloads
    See also Working Paper (2011)

2012

  1. A blocking and regularization approach to high‐dimensional realized covariance estimation
    Journal of Applied Econometrics, 2012, 27, (4), 625-645 Downloads View citations (24)
    See also Working Paper (2009)
  2. Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields
    Journal of Banking & Finance, 2012, 36, (11), 2988-3007 Downloads View citations (3)
    See also Working Paper (2009)
  3. Bayesian inference in a Stochastic Volatility Nelson–Siegel model
    Computational Statistics & Data Analysis, 2012, 56, (11), 3774-3792 Downloads View citations (10)
    See also Working Paper (2010)
  4. Modelling and forecasting liquidity supply using semiparametric factor dynamics
    Journal of Empirical Finance, 2012, 19, (4), 610-625 Downloads View citations (5)
    See also Working Paper (2009)
  5. Price adjustment to news with uncertain precision
    Journal of International Money and Finance, 2012, 31, (2), 337-355 Downloads
    See also Working Paper (2011)
  6. The market impact of a limit order
    Journal of Economic Dynamics and Control, 2012, 36, (4), 501-522 Downloads View citations (12)
    See also Working Paper (2009)

2011

  1. The impact of macroeconomic news on quote adjustments, noise, and informational volatility
    Journal of Banking & Finance, 2011, 35, (10), 2733-2746 Downloads View citations (8)
    See also Working Paper (2011)
  2. 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 Downloads View citations (43)

2008

  1. 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 Downloads View citations (18)
    See also Working Paper (2007)

2007

  1. A Dynamic Semiparametric Proportional Hazard Model
    Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (2), 1-42 Downloads View citations (1)
    See also Working Paper (2006)
  2. Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery
    Journal of Financial and Quantitative Analysis, 2007, 42, (01), 189-208 Downloads View citations (20)
    See also Working Paper (2004)
  3. Modelling the buy and sell intensity in a limit order book market
    Journal of Financial Markets, 2007, 10, (3), 249-286 Downloads View citations (34)

2006

  1. Order aggressiveness and order book dynamics
    Empirical Economics, 2006, 30, (4), 973-1005 Downloads View citations (42)
    See also Working Paper (2004)
  2. Stochastic Conditional Intensity Processes
    Journal of Financial Econometrics, 2006, 4, (3), 450-493 Downloads View citations (41)
    See also Working Paper

2003

  1. Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities
    Journal of Financial Econometrics, 2003, 1, (2), 189-215 View citations (8)
  2. 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 Downloads View citations (11)

2002

  1. 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 Downloads View citations (5)
  2. Volatility estimation on the basis of price intensities
    Journal of Empirical Finance, 2002, 9, (1), 57-89 Downloads View citations (12)

Editor

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