Details about Nikolaus Hautsch

Access statistics for papers by Nikolaus Hautsch.

Last updated 2009-09-22. Update your information in the RePEc Author Service.

Short-id: pha10

Working Papers

2009

1. Analyzing Interest Rate Risk: Stochastic Volatility in the Term Structure of Government Bond Yields
   CFS Working Paper Series, Center for Financial Studies
2. Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics
   CFS Working Paper Series, Center for Financial Studies
   Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2009)

2008

3. Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
4. Measuring and Modeling Risk Using High-Frequency Data
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
5. Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
6. Price Adjustment to News with Uncertain Precision
   FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit View citations
   Also in CFS Working Paper Series, Center for Financial Studies (2008)
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2008) View citations
7. Testing Multiplicative Error Models Using Conditional Moment Tests
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
8. Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649

2007

9. Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model
   CFS Working Paper Series, Center for Financial Studies View citations
   Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2007)
   See also Journal Article in Journal of Economic Dynamics and Control (2008)
10. Modelling Financial High Frequency Data Using Point Processes
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) View citations

2006

11. A Dynamic Semiparametric Proportional Hazard Model
    FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit
12. Testing the Conditional Mean Function of Autoregressive Conditional Duration Models
    FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit View citations

2005

13. 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

2004

14. 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 View citations
    Also in FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit (2004) View citations
    Discussion Papers, University of Copenhagen. Department of Economics (2004) View citations
15. Bayesian Learning in Financial Markets - Testing for the Relevance of Information Precision in Price Discovery
    Discussion Papers, University of Copenhagen. Department of Economics View citations
    Also in FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit (2004) View citations
    See also Journal Article in Journal of Financial and Quantitative Analysis (2007)
16. Order Aggressiveness and Order Book Dynamics
    FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit View citations
    See also Journal Article in Empirical Economics (2006)

2003

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

2002

18. Modelling Intraday Trading Activity Using Box-Cox-ACD Models
    CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz View citations
19. The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report
    CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz View citations

2001

20. 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
21. Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities
    CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz View citations
22. Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions
    CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz View citations
    See also Journal Article in Journal of Economic Behavior & Organization (2003)

2000

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

1999

25. Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions
    Finance, EconWPA View citations
    Also in CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz (1999) View citations
26. Volatility Estimation on the Basis of Price Intensities
    CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz View citations
    See also Journal Article in Journal of Empirical Finance (2002)

Undated

27. Semiparametric autoregressive conditional proportional hazard models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations

Journal Articles

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
   See also Working Paper (2007)

2007

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
   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 View citations

2006

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

2003

6. Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities
   Journal of Financial Econometrics, 2003, 1, (2), 189-215 View citations
7. 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
   See also Working Paper (2001)

2002

8. Volatility estimation on the basis of price intensities
   Journal of Empirical Finance, 2002, 9, (1), 57-89 View citations
   See also Working Paper (1999)

Editor

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