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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)

Access statistics for papers by Nikolaus Hautsch.

Last updated 2022-10-20. Update your information in the RePEc Author Service.

Short-id: pha10


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Working Papers

2023

  1. Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets
    Papers, arXiv.org Downloads View citations (4)

2022

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

2021

  1. Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading
    Papers, arXiv.org Downloads
    See also Journal Article Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading, Applied Mathematical Finance, Taylor & Francis Journals (2020) Downloads (2020)
  2. Non-Standard Errors
    Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz Downloads View citations (1)
    Also in Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) Downloads View citations (6)

2019

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

2018

  1. Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty
    Papers, arXiv.org Downloads
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2017) Downloads

    See also Journal Article Large-scale portfolio allocation under transaction costs and model uncertainty, Journal of Econometrics, Elsevier (2019) Downloads View citations (13) (2019)
  2. Limits to arbitrage in markets with stochastic settlement latency
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (3)

2017

  1. Counterparty credit limits: An effective tool for mitigating counterparty risk?
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (2)
  2. How effective are trading pauses?
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (1)
    See also Journal Article How effective are trading pauses?, Journal of Financial Economics, Elsevier (2019) Downloads View citations (20) (2019)
  3. 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 Downloads
  4. Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?
    Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition Downloads
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) Downloads
  5. The ambivalent role of high-frequency trading in turbulent market periods
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (6)
  6. Volatility, information feedback and market microstructure noise: A tale of two regimes
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (2)

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 Management Downloads View citations (72)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) Downloads View citations (1)

    See also Journal Article Systemic risk spillovers in the European banking and sovereign network, Journal of Financial Stability, Elsevier (2016) Downloads View citations (71) (2016)

2015

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

2014

  1. 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. Downloads
  2. Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) Downloads View citations (1)
  3. 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 (5)
  4. Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (7)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) Downloads View citations (2)

    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) Downloads View citations (10) (2019)

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 View citations (2)
  2. Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (5)
    See also Journal Article Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) Downloads View citations (35) (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 (32)
  4. Financial network systemic risk contributions
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (35)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2012) Downloads View citations (19)
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2011) Downloads View citations (10)

    See also Journal Article Financial Network Systemic Risk Contributions, Review of Finance, European Finance Association (2015) Downloads View citations (170) (2015)
  5. Forecasting systemic impact in financial networks
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (13)
    See also Journal Article Forecasting systemic impact in financial networks, International Journal of Forecasting, Elsevier (2014) Downloads View citations (40) (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 (7)
    See also Journal Article Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) Downloads View citations (17) (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 (10)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2012) Downloads View citations (10)

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 (17)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) Downloads View citations (3)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2010) Downloads View citations (7)

    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) Downloads View citations (13) (2014)
  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 (20)
  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 (7)
    See also Journal Article Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models, Journal of Forecasting, John Wiley & Sons, Ltd. (2013) Downloads View citations (6) (2013)
  4. Price adjustment to news with uncertain precision
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) Downloads
    Also in CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2008) View citations (5)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2008) Downloads View citations (4)
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2008) Downloads View citations (4)
    FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit (2008) Downloads View citations (4)

    See also Journal Article Price adjustment to news with uncertain precision, Journal of International Money and Finance, Elsevier (2012) Downloads View citations (1) (2012)
  5. The Merit of High-Frequency Data in Portfolio Allocation
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (19)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2011) Downloads View citations (22)
  6. The impact of macroeconomic news on quote adjustments, noise and informational volatility
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (39)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) Downloads
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) Downloads View citations (15)
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2011) Downloads View citations (25)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2010) Downloads View citations (15)

    See also Journal Article The impact of macroeconomic news on quote adjustments, noise, and informational volatility, Journal of Banking & Finance, Elsevier (2011) Downloads View citations (25) (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 (18)
    See also Journal Article Bayesian inference in a Stochastic Volatility Nelson–Siegel model, Computational Statistics & Data Analysis, Elsevier (2012) Downloads View citations (15) (2012)
  2. 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 Downloads View citations (13)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2010) Downloads View citations (13)
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) Downloads View citations (1)

    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) Downloads View citations (47) (2013)

2009

  1. A blocking and regularization approach to high dimensional realized covariance estimation
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (10)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2009) Downloads View citations (7)

    See also Journal Article A blocking and regularization approach to high‐dimensional realized covariance estimation, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2012) Downloads View citations (57) (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 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) Downloads View citations (11) (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 (9)

    See also Journal Article Modelling and forecasting liquidity supply using semiparametric factor dynamics, Journal of Empirical Finance, Elsevier (2012) Downloads View citations (16) (2012)
  4. Modelling financial high frequency data using point processes
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (83)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2007) Downloads View citations (4)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (13)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) Downloads View citations (12)
  5. 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)
  6. The Market Impact of a Limit Order
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (46)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2009) Downloads View citations (14)

    See also Journal Article The market impact of a limit order, Journal of Economic Dynamics and Control, Elsevier (2012) Downloads View citations (46) (2012)

2008

  1. Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  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 (8)
  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 (5)

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 (2)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2007) Downloads View citations (2)

    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) Downloads View citations (32) (2008)

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 A Dynamic Semiparametric Proportional Hazard Model, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2007) Downloads View citations (2) (2007)
  2. Stochastic conditional intensity processes
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (45)
    See also Journal Article Stochastic Conditional Intensity Processes, Journal of Financial Econometrics, Oxford University Press (2006) Downloads View citations (50) (2006)
  3. 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 (12)

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 (12)
    Also in FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit (2004) Downloads View citations (11)
    Discussion Papers, University of Copenhagen. Department of Economics (2004) Downloads View citations (11)
  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 Discussion Papers, University of Copenhagen. Department of Economics (2004) Downloads View citations (2)
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2004) Downloads 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) Downloads View citations (34) (2007)
  3. Order Aggressiveness and Order Book Dynamics
    FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit Downloads View citations (6)
    See also Chapter Order aggressiveness and order book dynamics, Studies in Empirical Economics, Springer (2008) (2008)
    Journal Article Order aggressiveness and order book dynamics, Empirical Economics, Springer (2006) Downloads View citations (51) (2006)

2003

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

2002

  1. Modelling Intraday Trading Activity Using Box-Cox-ACD Models
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads View citations (6)
  2. 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) Downloads View citations (28)
    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) Downloads View citations (29) (2002)

2001

  1. 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 Downloads View citations (2)
  2. Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads
  3. 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) Downloads
    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) Downloads View citations (17) (2003)
  4. Shirking or mismatch? Coach-team separation in German professional soccer
    Discussion Papers, Series I, University of Konstanz, Department of Economics Downloads View citations (3)

2000

  1. Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (3)
  2. 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) Downloads View citations (3)

1999

  1. Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads View citations (6)
    Also in Finance, University Library of Munich, Germany (1999) Downloads View citations (6)
  2. Volatility Estimation on the Basis of Price Intensities
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads View citations (1)
    See also Journal Article Volatility estimation on the basis of price intensities, Journal of Empirical Finance, Elsevier (2002) Downloads View citations (18) (2002)

Undated

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

Journal Articles

2022

  1. Local mispricing and microstructural noise: A parametric perspective
    Journal of Econometrics, 2022, 230, (2), 510-534 Downloads View citations (1)

2021

  1. 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 Downloads View citations (1)

2020

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

2019

  1. Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
    Journal of Business & Economic Statistics, 2019, 37, (3), 419-435 Downloads View citations (10)
    See also Working Paper Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence, Cambridge Working Papers in Economics (2014) Downloads View citations (7) (2014)
  2. How effective are trading pauses?
    Journal of Financial Economics, 2019, 131, (2), 378-403 Downloads View citations (20)
    See also Working Paper How effective are trading pauses?, CFS Working Paper Series (2017) Downloads View citations (1) (2017)
  3. Large-scale portfolio allocation under transaction costs and model uncertainty
    Journal of Econometrics, 2019, 212, (1), 221-240 Downloads View citations (13)
    See also Working Paper Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty, Papers (2018) Downloads (2018)

2016

  1. Dynamic conditional correlation multiplicative error processes
    Journal of Empirical Finance, 2016, 36, (C), 41-67 Downloads View citations (8)
  2. Systemic risk spillovers in the European banking and sovereign network
    Journal of Financial Stability, 2016, 25, (C), 206-224 Downloads View citations (71)
    See also Working Paper Systemic risk spillovers in the European banking and sovereign network, Working Paper Series in Economics (2016) Downloads View citations (72) (2016)

2015

  1. Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?
    Journal of Applied Econometrics, 2015, 30, (2), 263-290 Downloads View citations (35)
    See also Working Paper Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?, SFB 649 Discussion Papers (2013) Downloads View citations (5) (2013)
  2. Financial Network Systemic Risk Contributions
    Review of Finance, 2015, 19, (2), 685-738 Downloads View citations (170)
    See also Working Paper Financial network systemic risk contributions, CFS Working Paper Series (2013) Downloads View citations (35) (2013)
  3. Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts
    Journal of Applied Econometrics, 2015, 30, (4), 529-550 Downloads View citations (17)
    See also Working Paper Local Adaptive Multiplicative Error Models for High-Frequency Forecasts, SFB 649 Discussion Papers (2012) Downloads View citations (7) (2012)

2014

  1. Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes
    Journal of Financial Econometrics, 2014, 12, (1), 89-121 Downloads View citations (13)
    Also in Journal of Financial Econometrics, 2013, 12, (1), 89-121 (2013) Downloads 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) Downloads View citations (17) (2011)
  2. Forecasting systemic impact in financial networks
    International Journal of Forecasting, 2014, 30, (3), 781-794 Downloads View citations (40)
    See also Working Paper Forecasting systemic impact in financial networks, SFB 649 Discussion Papers (2013) Downloads View citations (13) (2013)

2013

  1. 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 (47)
    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) Downloads View citations (13) (2010)
  2. Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models
    Journal of Forecasting, 2013, 32, (8), 724-742 Downloads View citations (6)
    See also Working Paper Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models, SFB 649 Discussion Papers (2011) Downloads View citations (7) (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 (57)
    See also Working Paper A blocking and regularization approach to high dimensional realized covariance estimation, SFB 649 Discussion Papers (2009) Downloads View citations (10) (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 (11)
    See also Working Paper Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields, CFS Working Paper Series (2009) Downloads View citations (1) (2009)
  3. Bayesian inference in a Stochastic Volatility Nelson–Siegel model
    Computational Statistics & Data Analysis, 2012, 56, (11), 3774-3792 Downloads View citations (15)
    See also Working Paper Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model, SFB 649 Discussion Papers (2010) Downloads View citations (18) (2010)
  4. Modelling and forecasting liquidity supply using semiparametric factor dynamics
    Journal of Empirical Finance, 2012, 19, (4), 610-625 Downloads View citations (16)
    See also Working Paper Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics, SFB 649 Discussion Papers (2009) Downloads View citations (6) (2009)
  5. Price adjustment to news with uncertain precision
    Journal of International Money and Finance, 2012, 31, (2), 337-355 Downloads View citations (1)
    See also Working Paper Price adjustment to news with uncertain precision, CFR Working Papers (2011) Downloads (2011)
  6. The market impact of a limit order
    Journal of Economic Dynamics and Control, 2012, 36, (4), 501-522 Downloads View citations (46)
    See also Working Paper The Market Impact of a Limit Order, SFB 649 Discussion Papers (2009) Downloads View citations (46) (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 (25)
    See also Working Paper The impact of macroeconomic news on quote adjustments, noise and informational volatility, ULB Institutional Repository (2011) View citations (39) (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 (100)

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 (32)
    See also Working Paper Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model, SFB 649 Discussion Papers (2007) Downloads View citations (2) (2007)

2007

  1. A Dynamic Semiparametric Proportional Hazard Model
    Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (2), 1-42 Downloads View citations (2)
    See also Working Paper A Dynamic Semiparametric Proportional Hazard Model, FRU Working Papers (2006) Downloads (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, (1), 189-208 Downloads 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) Downloads View citations (3) (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 (43)

2006

  1. Order aggressiveness and order book dynamics
    Empirical Economics, 2006, 30, (4), 973-1005 Downloads View citations (51)
    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) Downloads View citations (6) (2004)
  2. Stochastic Conditional Intensity Processes
    Journal of Financial Econometrics, 2006, 4, (3), 450-493 Downloads View citations (50)
    See also Working Paper Stochastic conditional intensity processes, LIDAM Reprints CORE (2006) Downloads View citations (45) (2006)

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 (14)
  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 (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) Downloads (2001)
  3. Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations
    Journal of Asset Management, 2003, 4, (3), 173-198 Downloads View citations (1)

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 (29)
    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) Downloads View citations (28) (2002)
  2. Volatility estimation on the basis of price intensities
    Journal of Empirical Finance, 2002, 9, (1), 57-89 Downloads View citations (18)
    See also Working Paper Volatility Estimation on the Basis of Price Intensities, CoFE Discussion Papers (1999) Downloads View citations (1) (1999)

Books

2012

  1. Econometrics of Financial High-Frequency Data
    Springer Books, Springer View citations (47)

Chapters

2008

  1. Order aggressiveness and order book dynamics
    Springer
    See also Journal Article Order aggressiveness and order book dynamics, Springer (2006) Downloads View citations (51) (2006)
    Working Paper Order Aggressiveness and Order Book Dynamics, University of Copenhagen. Department of Economics. Finance Research Unit (2004) Downloads View citations (6) (2004)

Editor

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