Nikolaus Hautsch : Citation Profile

Universität Wien (90% share)
Center for Financial Studies (10% share)

23

H index

43

i10 index

1837

Citations

RESEARCH PRODUCTION:

41

Articles

140

Papers

1

Books

6

Chapters

EDITOR:

1

Books edited

1

Series edited

RESEARCH ACTIVITY:

   27 years (1999 - 2026). See details.
   Cites by year: 68
   Journals where Nikolaus Hautsch has often published
   Relations with other researchers
   Recent citing documents: 117.    Total self citations: 80 (4.17 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha10
   Updated: 2026-06-13    RAS profile: 2025-04-24    
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Relations with other researchers

Works with:

Söderlind, Paul (8)

Johannesson, Magnus (8)

Tonks, Ian (8)

Sojli, Elvira (8)

Füllbrunn, Sascha (8)

Bos, Charles (8)

Brownlees, Christian (8)

Frijns, Bart (8)

Jurkatis, Simon (8)

Schuerhoff, Norman (8)

Moinas, Sophie (8)

Zhang, S. Sarah (8)

Menkveld, Albert (8)

Dreber, Anna (8)

Prokopczuk, Marcel (8)

Holzmeister, Felix (8)

Liew, Chee (8)

Deev, Oleg (8)

Pastor, Lubos (8)

Harris, Jeffrey (8)

Renault, Thomas (8)

Stefanova, Denitsa (8)

Roy, Saurabh (8)

Hurlin, Christophe (8)

Ferrara, Gerardo (8)

FERROUHI, EL MEHDI (8)

Schwarz, Marco (8)

Taylor, Nick (8)

Wolff, Christian (8)

LINTON, OLIVER (8)

Frömmel, Michael (8)

Sarno, Lucio (8)

Smales, Lee (8)

Nielsson, Ulf (8)

Lof, Matthijs (8)

Korajczyk, Robert (8)

Palan, Stefan (8)

Park, Andreas (8)

Reitz, Stefan (8)

Alexeev, Vitali (8)

Gehrig, Thomas (8)

Talavera, Oleksandr (8)

Scaillet, Olivier (8)

Dumitrescu, Ariadna (8)

Caporin, Massimiliano (8)

Davies, Ryan (8)

Degryse, Hans (8)

Dimpfl, Thomas (8)

Ødegaard, Bernt (8)

Foucault, Thierry (8)

Pelizzon, Loriana (8)

Rinne, Kalle (8)

Roesch, Dominik (7)

Aloosh, Arash (7)

Neszveda, Gabor (7)

Kazak, Ekaterina (7)

Hambuckers, Julien (7)

Tang, Yuehua (7)

Bohorquez Correa, Santiago (7)

Schenk-Hoppé, Klaus (7)

Shui, Jessica (7)

Koetter, Michael (7)

van Kervel, Vincent (6)

Chernov, Mikhail (6)

Gil-Bazo, Javier (6)

Ranaldo, Angelo (6)

Xia, Shuo (6)

Gerritsen, Dirk (6)

Vilkov, Grigory (6)

Pasquariello, Paolo (6)

Wilhelmsson, Anders (6)

Shachar, Or (6)

Xiu, Dacheng (6)

Walther, Thomas (5)

Eugster, Nicolas (5)

Horenstein, Alex (5)

Huang, Wenqian (5)

Verousis, Thanos (5)

Deku, Solomon (5)

CAPELLE-BLANCARD, Gunther (5)

Jalkh, Naji (5)

Ait-Sahalia, Yacine (4)

Voigt, Stefan (4)

Wong, Wing-Keung (4)

Colliard, Jean-Edouard (4)

Güçbilmez, Ufuk (4)

Abudy, Menachem (3)

Capera Romero, Laura (3)

Chow, Nikolai Sheung-Chi (3)

He, Xuezhong (Tony) (3)

Mihet, Roxana (3)

Theissen, Erik (2)

Patton, Andrew (2)

Parolya, Nestor (2)

Patel, Vinay (2)

Lajaunie, Quentin (2)

Putnins, Talis (2)

Archakov, Ilya (2)

PASCUAL, ROBERTO (2)

Hasse, Jean-Baptiste (2)

Andersen, Torben (2)

Heath, Davidson (2)

Kearney, Fearghal (2)

Lopez-Lira, Alejandro (2)

Hjalmarsson, Erik (2)

Vogel, Sebastian (2)

Bjønnes, Geir (2)

Adrian, Tobias (2)

Gorbenko, Arseny (2)

Kassner, Bernhard (2)

Rakowski, David (2)

Roy, Saurabh (2)

Zhou, Chen (2)

Bouri, Elie (2)

Regis, Luca (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Nikolaus Hautsch.

Is cited by:

Härdle, Wolfgang (50)

Gallo, Giampiero (36)

Brownlees, Christian (34)

Engle, Robert (26)

Schienle, Melanie (25)

Clements, Adam (23)

Caporin, Massimiliano (23)

Barigozzi, Matteo (20)

Herrera, Rodrigo (19)

Okhrin, Ostap (18)

Horst, Ulrich (18)

Cites to:

Engle, Robert (126)

Bauwens, Luc (82)

Bollerslev, Tim (67)

Shephard, Neil (63)

Diebold, Francis (57)

Veredas, David (43)

Andersen, Torben (39)

Lunde, Asger (39)

Hansen, Peter (36)

Giot, Pierre (32)

Härdle, Wolfgang (30)

Main data

Where Nikolaus Hautsch has published?

Journals with more than one article published# docs
Journal of Financial Econometrics6
Journal of Empirical Finance4
Journal of Applied Econometrics4
Review of Finance3
Journal of Econometrics3
Journal of Economic Dynamics and Control2
Journal of Business & Economic Statistics2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
SFB 649 Discussion Papers / Humboldt University Berlin, Collaborative Research Center 649: Economic Risk30
CFS Working Paper Series / Center for Financial Studies (CFS)28
FRU Working Papers / University of Copenhagen. Department of Economics. Finance Research Unit7
CoFE Discussion Papers / University of Konstanz, Center of Finance and Econometrics (CoFE)7
Papers / arXiv.org6
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)4
Discussion Papers / University of Copenhagen. Department of Economics2
Post-Print / HAL2

Recent works citing Nikolaus Hautsch (2026 and 2025)

YearTitle of citing document
2026High-dimensional estimation of quadratic variation based on penalized realized variance. (2021). Nielsen, Mikkel Slot ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2103.03237.

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2025Uniform Inference on High-dimensional Spatial Panel Networks. (2025). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2026A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective. (2025). Zhao, YU ; Du, Huaming. In: Papers. RePEc:arx:papers:2211.14997.

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2025Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2023). Polivka, Jeannine ; Dimitriadis, Timo ; Streicher, Sina ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2212.11833.

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2026Estimation of an Order Book Dependent Hawkes Process for Large Datasets. (2023). Mucciante, Luca ; Sancetta, Alessio. In: Papers. RePEc:arx:papers:2307.09077.

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2026Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility. (2024). Xu, Wei ; Horst, Ulrich ; Zhang, Rouyi. In: Papers. RePEc:arx:papers:2312.08784.

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2025SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249.

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2026A nonparametric test for diurnal variation in spot correlation processes. (2024). Liu, Zhi ; Hounyo, Ulrich ; Christensen, Kim. In: Papers. RePEc:arx:papers:2408.02757.

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2025VAR models with an index structure: A survey with new results. (2024). Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2412.11278.

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2025Assessing Consistency and Reproducibility in the Outputs of Large Language Models: Evidence Across Diverse Finance and Accounting Tasks. (2025). Wang, Victor Xiaoqi. In: Papers. RePEc:arx:papers:2503.16974.

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2025Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations. (2025). Cavaliere, Giuseppe ; Mikosch, Thomas ; Vilandt, Frederik ; Rahbek, Anders. In: Papers. RePEc:arx:papers:2505.06190.

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2025Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets. (2025). Rola, Przemyslaw. In: Papers. RePEc:arx:papers:2507.09734.

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2025Returns and Order Flow Imbalances: Intraday Dynamics and Macroeconomic News Effects. (2025). Takahashi, Makoto. In: Papers. RePEc:arx:papers:2508.06788.

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2025DiffVolume: Diffusion Models for Volume Generation in Limit Order Books. (2025). Ventre, Carmine ; Wang, Zhuohan. In: Papers. RePEc:arx:papers:2508.08698.

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2025Signed network models for portfolio optimization. (2025). Adhikari, Bibhas. In: Papers. RePEc:arx:papers:2510.05377.

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2026Beyond Returns: A Candlestick-Based Approach to Spot Covariance Estimation. (2025). Simsek, Yasin. In: Papers. RePEc:arx:papers:2510.12911.

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2026Dynamic Spatial Treatment Effects and Network Fragility: Theory and Evidence from European Banking. (2025). Kikuchi, Tatsuru. In: Papers. RePEc:arx:papers:2510.24775.

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2025Dynamic Spatial Treatment Effects and Network Fragility: Theory and Evidence from the 2008 Financial Crisis. (2025). Kikuchi, Tatsuru. In: Papers. RePEc:arx:papers:2511.08602.

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2026Central limit theorem for a partially observed interacting system of Hawkes processes I: subcritical case. (2026). Xu, Liping ; Liu, Chenguang ; Zhang, AN. In: Papers. RePEc:arx:papers:2601.01189.

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2026Inference from high-frequency data: A subsampling approach. (2026). Veliyev, Bezirgen ; Thamrongrat, Nopporn ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.16668.

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2026Sustainable Investment: ESG Impacts on Large Portfolio. (2026). Yang, Yanrong ; Lu, Yonghe ; Wu, Ruike. In: Papers. RePEc:arx:papers:2602.14439.

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2026Same Error, Different Function: The Optimizer as an Implicit Prior in Financial Time Series. (2026). Beneventano, Pierfrancesco ; Poggio, Tomaso ; Crippa, Giulia ; Iannone, Giuseppe ; Cortesi, Federico Vittorio. In: Papers. RePEc:arx:papers:2603.02620.

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2026Beyond Polarity: Multi-Dimensional LLM Sentiment Signals for WTI Crude Oil Futures Return Prediction. (2026). Wang, Yiqing ; Geng, Kerui ; Liu, Dou ; Ma, Ding ; Dai, Dehao. In: Papers. RePEc:arx:papers:2603.11408.

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2026Breaking news. (2026). Yao, Wenying ; Winkelmann, Lars. In: Papers. RePEc:arx:papers:2603.22835.

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2026Forecasting duration in high-frequency financial data using a self-exciting flexible residual point process. (2026). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2604.00346.

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2026Exact Likelihood Inference and Robust Filtering for Gauss-Cauchy Convolution Models. (2026). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2605.01665.

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2025The Perks and Perils of Machine Learning in Business and Economic Research. (2025). Hornuf, Lars ; Dudda, Tom L. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11721.

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2025Beyond GARCH: Bayesian Neural Stochastic Volatility. (2025). Marn, Juan Miguel ; Guo, Hongfei ; Veiga, Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:47944.

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2025The Sources of Researcher Variation in Economics. (2025). Williams, Kevin ; Ward, Zachary ; Trombetta, Martin ; Tastan, Huseyin ; Szczygielski, Krzysztof ; Spantig, Lisa ; Smith, Brock ; Salamanca, Nicolas ; Samudra, Aparna ; Sariyev, Orkhan ; Samahita, Margaret ; Roy, Jayjit ; Ricks, Michael ; Reuter, Anna ; Reimão, Maira ; Rayamajhee, Veeshan ; Pugatch, Todd ; Putman, Daniel ; Pörtner, Claus ; Porcher, Simon ; Petroulakis, Filippos ; Paudel, Jayash ; Meinzen-Dick, Laura ; Marino Fages, Diego ; Marcus, Jan ; Long, Dede ; LaFave, Daniel ; Klotzbücher, Valentin ; Kim, Sie Won ; Jakobsson, Niklas ; Huntington-Klein, Nick ; Holzmeister, Felix ; Hernæs, Øystein ; Henningsen, Arne ; Henderson, Daniel ; Harris, Mark ; Girardi, Daniele ; Gay, Victor ; Gauriot, Romain ; Gallegos, Sebastian ; Gamino, Aaron ; Gazeaud, Jules ; Fumarco, Luca ; Fitzpatrick, Anne ; Feld, Jan ; Duquette, Nicolas ; de Gendre, Alexandra ; Deer, Lachlan ; Crawfurd, Lee ; Collins, Matthew ; Buisson, Florent ; Brehm, Margaret ; Brun, Martín ; Bloem, Jeffrey ; Bhattacharya, Shreya ; Bhai, Moiz ; Bech-Wysocka, Katarzyna ; Bennett, Christopher ; Berniell, Inés ; Avdeev, Stanislav ; Andresen, Martin ; Angenendt, David ; Antón, José Ignacio ; Akbulut-Yuksel, Mevlude ; Ozer, Gorkem Turgut ; Weissmller, Kristina S ; Baker, Bradley ; Waters, Tom ; Adema, Joop ; Fradkin, Andrey ; Lee, Ryan ; Naumann, Elias ; Herns, Ystein ; Ropovik, Ivan ; Venkatesan, Madhavi ; Wagner, Gary A ; Miller, Klaus M ; Cerutti, Nicola ; Heller, Blake H ; Cullinan, John ; Camp, Andrew M ; Volkov, Eden ; Feyman, Yevgeniy ; Mogge, Lukas ; Goldhaber, Dan ; Bansal, Avijit ; Weinberg, Stephen E ; Segel, Joel E ; Hill, Andrew ; Ahmad, Imtiaz ; Sorensen, Lucy ; Dorsey-Palmateer, Reid ; Herman, Clment ; bech -Wysocka, Katarzyna ; Fiala, Nathan ; Nmadu, Job ; Bacher-Hicks, Andrew ; Chen, Weiwei ; Bandara, Imesh Nuwan ; Najam, Rafiuddin ; Prtner, Claus C ; Kameshwara, Kalyan Kumar ; Zahid, Muhammad Umer ; Woahid, S M ; Huysmans, Martijn ; Pua, Andrew Adrian ; Lang, David ; McCarthy, Ian M ; Zanoli, Raffaele ; Kronenberg, Christoph ; Riosavila, Fernando ; Henry, Junita ; Vernet, Antoine ; Bjoerkheim, Markus ; Arenas, Andreu ; Bartram, David ; Pitknen, Visa ; Tatan, Hseyin ; Burli, Pralhad H ; Galrraga, Julio ; Smet, Mike ; Clement, Jeffrey ; Schaak, Henning ; Farquharson, Christine ; Roeckert, Julian ; French, Evaewero ; Rodriguez, Abel ; Sievertsen, Hans Henrik ; Agasa, Lameck Ondieki ; Westheide, Christian ; Tagat, Anirudh ; Aslim, Erkmen Giray ; Sanogo, Vassiki ; Gilpin, Gregory ; Peukert, Christian ; Kaire, Jos ; Ligey, Maxime ; Jain, Anil ; Gayaker, Savas ; Merkus, Erik ; Wang, Yue ; Prakash, Manab ; Karney, Daniel ; Klotzbcher, Valentin ; Falken, Grace ; Antn, Jos-Ignacio ; Adamkovic, Matus ; Berha, Andu ; Imtiaz, Saad M ; Weber, Ellerie ; Reimao, Maira. In: HEC Research Papers Series. RePEc:ebg:heccah:1551.

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2025A two-stage game model of probabilistic price manipulation in decentralized exchanges. (2025). Jang, Huisu ; Lee, Yunyoung ; Son, Bumho. In: Economic Modelling. RePEc:eee:ecmode:v:147:y:2025:i:c:s0264999325000501.

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2025Adaptive local VAR for dynamic economic policy uncertainty spillover. (2025). Gillmann, Niels ; Okhrin, Ostap. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000744.

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2025Nonlinear hedging climate policy uncertainty: A dynamic mixed copula approach. (2025). Han, Yingwei ; Li, Jie. In: Economic Modelling. RePEc:eee:ecmode:v:151:y:2025:i:c:s0264999325001774.

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2025Imported risk in global financial markets: Evidence from cross-market connectedness. (2025). Ouyang, Zisheng ; Chen, Zhen ; Zhou, Xuewei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000142.

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2025Network volatility, contagion, and two-pillar policies: Insights from Chinese financial sector data. (2025). Zhang, Xiaoyuan ; You, Hang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000890.

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2025The role of international and domestic investors in international market information spillover effects: Evidence from interconnected multilayer networks. (2025). Li, Songsong ; Sercu, Piet ; Xu, Nan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:80:y:2025:i:c:s1062940825001056.

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2025Cascading failure, financial network and systemic risk. (2025). Cao, Jie ; Yang, Huirui ; Miao, Hualu ; Huang, Chuangxia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:80:y:2025:i:c:s1062940825001457.

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2025Price discovery through wrapped tokens. (2025). Johnson, William C ; Scharnowski, Stefan. In: Economics Letters. RePEc:eee:ecolet:v:257:y:2025:i:c:s0165176525005403.

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2025Estimating time-varying networks for high-dimensional time series. (2025). Chen, Jia ; Li, Degui ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624002926.

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2025Quantile graphical models: Prediction and conditional independence with applications to systemic risk. (2025). Chernozhukov, Victor ; Chen, Mingli ; Belloni, Alexandre. In: Journal of Econometrics. RePEc:eee:econom:v:252:y:2025:i:pa:s030440762500154x.

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2024Dynamic portfolio selection with sector-specific regularization. (2024). Wang, Linqi ; Hafner, Christian M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:17-33.

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2025Multiplicative Error Models: 20 years on. (2025). Gallo, Giampiero ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:209-229.

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2025Testing liquidity: A statistical theory based on asset staleness. (2025). Trapin, Luca ; Pollastri, Alessandro ; Pirino, Davide. In: Econometrics and Statistics. RePEc:eee:ecosta:v:35:y:2025:i:c:p:23-40.

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2025The role of diagnostic ability in markets for expert services. (2025). Schwarz, Marco ; Liu, Fang ; Waibel, Christian ; Rasch, Alexander. In: European Economic Review. RePEc:eee:eecrev:v:180:y:2025:i:c:s001429212500176x.

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2025The effect of currency risk on crypto asset utilization in Türkiye. (2025). Smales, Lee ; Baur, Dirk G ; Oefele, Nico. In: Emerging Markets Review. RePEc:eee:ememar:v:65:y:2025:i:c:s1566014125000135.

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2025Systemic risk between banks and firms in dual-layer dynamic networks. (2025). Qian, Shuitu ; You, Hang ; Zhang, Xiaoyuan. In: Emerging Markets Review. RePEc:eee:ememar:v:66:y:2025:i:c:s1566014125000251.

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2025How stressed are the banks? An inter-temporal network analysis. (2025). Swain, Pankaj ; Misra, Arun Kumar ; Poddar, Abhishek. In: Emerging Markets Review. RePEc:eee:ememar:v:69:y:2025:i:c:s1566014125001189.

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2025Tail risk dynamics of banks with score-driven extreme value models. (2025). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000155.

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2025What triggers intraday price jumps and co-jumps in gold?. (2025). Sobti, Neharika. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004673.

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2025Behind in time, behind in the game – time zone affects trading aggressiveness. (2025). Lepone, Grace ; Gautam, Anil. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007440.

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2025Bitcoin arbitrage and exchange default risk. (2025). Intini, Silvia ; Guo, Weiwei ; Jahanshahloo, Hossein. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s154461232401393x.

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2025U.S. interbank risk spillover network: Temporal dynamics and external shocks. (2025). Ren, Xiaohang ; He, Yue ; Tao, Miaomiao. In: Finance Research Letters. RePEc:eee:finlet:v:85:y:2025:i:pb:s1544612325011687.

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2025Enhanced volatility spillover network prediction of Chinese financial institutions using GCN-LSTM model. (2025). Li, Shaofang ; Gu, Qinen ; Qin, Jiaying. In: Finance Research Letters. RePEc:eee:finlet:v:85:y:2025:i:pc:s1544612325012917.

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2025On the efficiency contributions of analyst recommendations to financial markets. (2025). Lee, Suzanne S ; Choi, Youngmin. In: Journal of Financial Markets. RePEc:eee:finmar:v:75:y:2025:i:c:s1386418125000254.

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2025Decomposing systemic risk: The roles of contagion and common exposures. (2025). Hipp, Ruben ; Haaj, Grzegorz. In: Journal of Financial Stability. RePEc:eee:finsta:v:80:y:2025:i:c:s1572308925000804.

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2025Toward open science in marketing research. (2025). Mizik, Natalie ; Sarstedt, Marko ; Datta, Hannes ; Adler, Susanne J ; Deer, Lachlan. In: International Journal of Research in Marketing. RePEc:eee:ijrema:v:42:y:2025:i:1:p:212-233.

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2025Food, harvesting and interest rate nexus: Quantile investigation about dependencies and spillover. (2025). Gubareva, Mariya ; Ghosh, Anandita ; Vo, Xuan Vinh ; Papadas, Dimitrios. In: International Economics. RePEc:eee:inteco:v:182:y:2025:i:c:s2110701725000162.

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2024Forecasting Bitcoin volatility using machine learning techniques. (2024). Urquhart, Andrew ; Sangiorgi, Ivan ; Huang, Zih-Chun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001306.

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2025Forecasting realized volatility with spillover effects: Perspectives from graph neural networks. (2025). Cucuringu, Mihai ; Dong, Xiaowen ; Zhang, Chao ; Pu, Xingyue. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:377-397.

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2025SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1093-1111.

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2025A survey of models and methods used for forecasting when investing in financial markets. (2025). Swanson, Norman R ; Maung, Kenwin. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:4:p:1355-1382.

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2026When to be discrete: The importance of time formulation in the modeling of extreme events in finance. (2026). Herrera, Rodrigo ; Bie-Barkowska, Katarzyna. In: International Journal of Forecasting. RePEc:eee:intfor:v:42:y:2026:i:1:p:61-84.

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2025Factor momentum versus price momentum: Insights from international markets. (2025). Fieberg, Christian ; Metko, Daniel ; Zaremba, Adam ; Cakici, Nusret. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002462.

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2025V-shapes. (2025). Ren, Roberto ; Flora, Maria. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:179:y:2025:i:c:s0378426625001414.

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2025The cross section of stock returns in an artificial stock market. (2025). van Cappelle, Tjeerd ; Pokidin, Dmytro. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:239:y:2025:i:c:s0167268125003774.

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2024Importance of transaction costs for asset allocation in foreign exchange markets. (2024). Taylor, Mark ; Maurer, Thomas A ; Pezzo, Luca ; Filippou, Ilias. In: Journal of Financial Economics. RePEc:eee:jfinec:v:159:y:2024:i:c:s0304405x24001090.

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2025Does monetary policy uncertainty moderate the transmission of policy shocks to government bond yields?. (2025). Wang, Ben Zhe ; Ying, Shan ; Sheen, Jeffrey ; Gu, Xin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:154:y:2025:i:c:s0261560625000567.

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2025Listening to the Market: Music sentiment and cryptocurrency returns. (2025). Yarovaya, Larisa ; Naeem, Muhammad Abubakr ; Younus, Mehak ; Hadhri, Sinda. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:157:y:2025:i:c:s0261560625001299.

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2025Trading-hour and nontrading-hour volatility in crude oil and U.S. dollar markets and its implications for portfolio optimization. (2025). Lai, Yu-Sheng. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000236.

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2025Extremal dependence in Australian electricity markets. (2025). Trck, Stefan ; Han, Lin ; Cribben, Ivor. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:39:y:2025:i:c:s2405851325000200.

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2025Conditional generalized quantiles as systemic risk measures: Properties, estimation, and application. (2025). Syuhada, Khreshna ; Salman, A. N. M., ; Hakim, Arief. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:235:y:2025:i:c:p:60-84.

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2025Investing in relative market positions in interconnected financial markets: A strategy for international portfolio diversification. (2025). Chen, Yiqing ; Yao, Shujie ; Ou, Jinghua. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:89:y:2025:i:c:s0927538x24003408.

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2025High-frequency liquidity in the Chinese stock market: Measurements, patterns, and determinants. (2025). Zhang, Ruixun ; Dai, Yuehao ; Zhao, Chaoyi ; Wu, Lan ; Chen, Ermo. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x25000186.

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2025Perceived problems, causes, and solutions of finance research reproducibility and replicability: A pre-registered report. (2025). Brosnan, Mark ; Ali, Searat ; Chai, Daniel ; Hasso, Tim. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x24003160.

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2025Tail risk interconnectedness between cryptocurrency and clean energy markets under geopolitical conflicts. (2025). Xiong, Xiong ; Li, YE ; Gong, Xiao-Li. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:668:y:2025:i:c:s0378437125002389.

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2025Forecasting realized volatility using news flow. (2025). Fernandes, Marcelo. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:104:y:2025:i:c:s106297692500081x.

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2025Extreme spillovers among green finance, energy, and energy metals markets in China: Evidence under the dilemma of energy transition. (2025). Lin, Boqiang ; Zhang, Zongyou. In: Renewable Energy. RePEc:eee:renene:v:241:y:2025:i:c:s0960148125000655.

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2025Research on sovereign credit and international banking industry tail risk contagion ----Perspective from double-layer complex network. (2025). Xiao-Li, Gong ; Zhuo-Cheng, WU ; Xiong, Xiong ; Wei, Zhang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:99:y:2025:i:c:s1059056025001558.

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2025Asymmetry in returns and volatility between green financial assets, sustainable investments, clean energy, and international stock markets. (2025). Tiwari, Aviral ; doğan, buhari ; Aikins, Emmanuel Joel ; ben Jabeur, Sami ; Doan, Buhari. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924004197.

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2025Unraveling financial interconnectedness: A quantile VAR model analysis of AI-based assets, sukuk, and islamic equity indices. (2025). Billah, Mabruk. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005117.

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2025Decoding investment strategies across agricultural commodities, Islamic equities, and Sukuk markets. (2025). Rabbani, Mustafa Raza ; Shaik, Muneer ; Billah, Mabruk ; Elsayed, Ahmed H. In: Research in International Business and Finance. RePEc:eee:riibaf:v:80:y:2025:i:c:s0275531925003538.

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2025Methodological ESG uncertainty in portfolio sorts. (2025). Henriquez-Salman, Ricardo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:80:y:2025:i:c:s0275531925003885.

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2025On the risk commonality of US tech firms: Relevance and determinants. (2025). Grundke, Peter ; Rohde, Kai ; Dinger, Valeriya. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:217:y:2025:i:c:s0040162524007662.

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2025The Price of Processing: Information Frictions and Market Efficiency in DeFi. (2025). Azar, Pablo ; Sinha, Nish ; Olivas, Sergio. In: Staff Reports. RePEc:fip:fednsr:99907.

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2025Dynamic Modeling of Limit Order Book and Market Maker Strategy Optimization Based on Markov Queue Theory. (2025). Liang, Shenbao ; Hu, Changlong ; Liu, Yang ; Xie, Fei. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:5:p:778-:d:1600631.

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2026Optimal Trade Execution Under Endogenous Order Flow. (2026). Tran, Hoang Hai ; Horst, Ulrich ; Chen, Ying. In: Operations Research. RePEc:inm:oropre:v:74:y:2026:i:1:p:72-92.

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2025The Sources of Researcher Variation in Economics. (2025). Huntington-Klein, Nick ; Gallegos, Sebastian ; Portner, Claus C. In: IZA Discussion Papers. RePEc:iza:izadps:dp17744.

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2026Quantifying the Predictive Capacity of Dynamic Graph Measures on Systemic and Tail Risk. (2026). Maurer, Frantz ; Lydaki, Eleftheria ; Tzagkarakis, George. In: Computational Economics. RePEc:kap:compec:v:67:y:2026:i:1:d:10.1007_s10614-024-10692-4.

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2026Exploring Nexus Between Oil Price Shocks and Copper Production: Analysing the Role of Mineral Prices and Geopolitical Factors in Saudi Arabia. (2026). Islam, Md. Monirul ; Ahmed, Faroque ; Ur, Anis ; Alam, Md Fakhre. In: Computational Economics. RePEc:kap:compec:v:67:y:2026:i:2:d:10.1007_s10614-025-10916-1.

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2025Constructing a country-specific indicator for cyclical systemic risk. (2025). Vella, Sarah. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:58:y:2025:i:3:d:10.1007_s10644-025-09884-1.

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2025A class of generalized autoregressive score panel stochastic frontier models. (2025). Tran, Kien ; Michaelides, Panayotis. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:64:y:2025:i:3:d:10.1007_s11123-024-00748-w.

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2025Price divergence in bitcoin market. (2025). Li, Xiao ; Chu, Gang ; Shen, Dehua ; Urquhart, Andrew. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:65:y:2025:i:3:d:10.1007_s11156-024-01371-4.

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2025The insights from the crowd: Drawing inferences from many approaches to key empirical questions in international business. (2025). Nuruzzaman, N ; Li, Yuanyuan ; Delios, Andrew ; Carneiro, Jorge ; Qiao, Wei ; Deng, Shu ; Chakravarty, Dwarka ; Zhou, Nan ; Wang, Yong ; Velez-Calle, Andres ; Yu, Jing ; Liu, Wei ; Yadav, Sandeep ; Huang, Dongdong ; Bahl, Mona ; Matsumoto, Yoichi ; Tumasjan, Andranik ; Yan, Jiaju ; Chen, Weihong ; Sivakumar, Sandeep ; Dikova, Desislava ; Zhang, Megan ; Kubek, Ale ; Kim, Hyun Gon ; Vincent, Racheal Louis ; Varshney, Mayank ; Gada, Viswa Prasad ; Tinits, Priit ; Tolstoy, Daniel ; Stallkamp, Maximilian ; Zhao, Yang ; Bathula, Hanoku ; Panicker, Vidya Sukumara ; Parboteeah, Praveen K ; Wagner, Chris ; Basu, Madhurima ; Ljubownikow, Grigorij ; Dau, Luis Alfonso ; Batsakis, Georgios ; Wu, Tao ; Soon, Pei-Shan ; Niu, Chao ; Wen, Liang ; Fan, Xiaomin ; Ahsan, Faisal M ; Bai, Tao ; Manocha, Parul ; Mumi, Atthaphon ; Shi, Lei ; Sethuram, Shyamala ; Sinani, Evis ; MacHek, Ondej ; Lien, Yung-Chih ; Shen, AO ; Uhlmann, Eric. In: Journal of International Business Studies. RePEc:pal:jintbs:v:56:y:2025:i:9:d:10.1057_s41267-025-00808-9.

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2026Risk contagion in global REITs markets based on volatility spillover networks. (2026). Yin, Hua-Tang ; Sun, Lei ; Chen, Chaoqiang ; Liu, Jian ; Chang, Chun-Ping. In: Risk Management. RePEc:pal:risman:v:28:y:2026:i:2:d:10.1057_s41283-026-00193-z.

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2025Risk formulation mechanism among top global energy companies under large shocks. (2025). Zhao, Tianyu ; Qi, Xin. In: PLOS ONE. RePEc:plo:pone00:0322462.

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2025A beta prime ARMA model for positive time series. (2025). Almohaimeed, Bader ; Dimitrakopoulos, Stefanos ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:123873.

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2025VAR Models With An Index Structure: A Survey With New Results. (2025). Cubadda, Gianluca. In: CEIS Research Paper. RePEc:rtv:ceisrp:611.

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2026Systemic Risk Spillover of Oil, Gold to China Financial Market: New Evidence From a Copula-CoVaR-MODWT Approach. (2026). Dai, Zhifeng ; Jiang, Qinnan ; Chen, Yaling. In: Evaluation Review. RePEc:sae:evarev:v:50:y:2026:i:3:p:384-422.

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2025Median-adaptive portfolios: a minimum criteria approach to asset allocation. (2025). Thomakos, Dimitrios ; Tarani, Sophia ; Kyriazi, Foteini. In: Annals of Operations Research. RePEc:spr:annopr:v:353:y:2025:i:1:d:10.1007_s10479-023-05465-5.

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2024Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data. (2024). Nagy, Odett ; Saef, Danial ; Hrdle, Wolfgang Karl ; Sizov, Sergej. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:4:d:10.1007_s42521-024-00116-1.

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2025Dynamics of extreme spillovers across European sustainability markets. (2025). Mensi, Walid ; Fasanya, Ismail O ; Vo, Xuan Vinh ; Kang, Sang Hoon. In: Eurasian Economic Review. RePEc:spr:eurase:v:15:y:2025:i:1:d:10.1007_s40822-024-00272-0.

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More than 100 citations found, this list is not complete...

Nikolaus Hautsch is editor of

Journal
FRU Working Papers

Nikolaus Hautsch has edited the books:

YearTitleTypeCited

Works by Nikolaus Hautsch:

YearTitleTypeCited
2010Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence In: CREATES Research Papers.
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2013Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence.(2013) In: Journal of Business & Economic Statistics.
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2010Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence.(2010) In: CFS Working Paper Series.
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2010Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence.(2010) In: SFB 649 Discussion Papers.
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2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty In: Papers.
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2019Large-scale portfolio allocation under transaction costs and model uncertainty.(2019) In: Journal of Econometrics.
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2017Large-scale portfolio allocation under transaction costs and model uncertainty.(2017) In: CFS Working Paper Series.
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2021Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading In: Papers.
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2020Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading.(2020) In: Applied Mathematical Finance.
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2023Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets In: Papers.
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2024Building trust takes time: limits to arbitrage for blockchain-based assets.(2024) In: Review of Finance.
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2022HARNet: A Convolutional Neural Network for Realized Volatility Forecasting In: Papers.
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2022HARNet: A convolutional neural network for realized volatility forecasting.(2022) In: CFS Working Paper Series.
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2025Jump detection in high-frequency order prices In: Papers.
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2026Jump detection in high-frequency order prices.(2026) In: Journal of Econometrics.
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2024Consistent Estimation of the High-Dimensional Efficient Frontier In: Papers.
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2026Consistent estimation of the high-dimensional efficient frontier.(2026) In: The European Journal of Finance.
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2024Nonstandard Errors In: Journal of Finance.
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2024Nonstandard errors.(2024) In: LSE Research Online Documents on Economics.
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2024Nonstandard Errors.(2024) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2024Nonstandard Errors.(2024) In: Post-Print.
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2024Nonstandard Errors.(2024) In: Post-Print.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2007A Dynamic Semiparametric Proportional Hazard Model In: Studies in Nonlinear Dynamics & Econometrics.
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2006A Dynamic Semiparametric Proportional Hazard Model.(2006) In: FRU Working Papers.
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2014Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper23
2019Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence.(2019) In: Journal of Business & Economic Statistics.
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2014Estimating the spot covariation of asset prices: Statistical theory and empirical evidence.(2014) In: CFS Working Paper Series.
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2014Estimating the spot covariation of asset prices: Statistical theory and empirical evidence.(2014) In: SFB 649 Discussion Papers.
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2003Dynamic latent factor models for intensity processes In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper16
2006Modelling financial high frequency data using point processes In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper111
2009Modelling financial high frequency data using point processes.(2009) In: LIDAM Reprints CORE.
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2006Modelling Financial High Frequency Data Using Point Processes.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2009Modelling Financial High Frequency Data Using Point Processes.(2009) In: Springer Books.
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2007Modelling financial high frequency data using point processes.(2007) In: SFB 649 Discussion Papers.
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2006Stochastic conditional intensity processes In: LIDAM Reprints CORE.
[Citation analysis]		paper53
2006Stochastic Conditional Intensity Processes.(2006) In: Journal of Financial Econometrics.
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2007Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article33
2004Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery.(2004) In: Discussion Papers.
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2004Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery.(2004) In: FRU Working Papers.
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2004Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery.(2004) In: CFR Working Papers.
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2010The impact of macroeconomic news on quote adjustments, noise and informational volatility In: Working Papers ECARES.
[Full Text][Citation analysis]		paper41
2011The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: Journal of Banking & Finance.
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2011The impact of macroeconomic news on quote adjustments, noise and informational volatility.(2011) In: ULB Institutional Repository.
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2011The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: CFR Working Papers.
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2010The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2010) In: CFS Working Paper Series.
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2010The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2010) In: SFB 649 Discussion Papers.
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2000Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper3
2012Bayesian inference in a Stochastic Volatility Nelson–Siegel model In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article14
2010Bayesian inference in a stochastic volatility Nelson-Siegel Model.(2010) In: SFB 649 Discussion Papers.
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2008Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article26
2007Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model.(2007) In: CFS Working Paper Series.
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2007Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model.(2007) In: SFB 649 Discussion Papers.
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2012The market impact of a limit order In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article64
2009The market impact of a limit order.(2009) In: CFS Working Paper Series.
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2009The market impact of a limit order.(2009) In: SFB 649 Discussion Papers.
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2022Local mispricing and microstructural noise: A parametric perspective In: Journal of Econometrics.
[Full Text][Citation analysis]		article4
2011When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article111
2012Modelling and forecasting liquidity supply using semiparametric factor dynamics In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article24
2009Modelling and forecasting liquidity supply using semiparametric factor dynamics.(2009) In: CFS Working Paper Series.
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2009Modelling and forecasting liquidity supply using semiparametric factor dynamics.(2009) In: SFB 649 Discussion Papers.
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2016Dynamic conditional correlation multiplicative error processes In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article8
2002Volatility estimation on the basis of price intensities In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article14
1999Volatility Estimation on the Basis of Price Intensities.(1999) In: CoFE Discussion Papers.
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2007Modelling the buy and sell intensity in a limit order book market In: Journal of Financial Markets.
[Full Text][Citation analysis]		article39
2016Systemic risk spillovers in the European banking and sovereign network In: Journal of Financial Stability.
[Full Text][Citation analysis]		article103
2014Systemic risk spillovers in the European banking and sovereign network.(2014) In: CFS Working Paper Series.
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2016Systemic risk spillovers in the European banking and sovereign network.(2016) In: Working Paper Series in Economics.
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2014Forecasting systemic impact in financial networks In: International Journal of Forecasting.
[Full Text][Citation analysis]		article42
2013Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers.
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2012Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article14
2009Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields.(2009) In: CFS Working Paper Series.
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2003Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article17
2001Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions.(2001) In: CoFE Discussion Papers.
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2019How effective are trading pauses? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article24
2017How effective are trading pauses?.(2017) In: CFS Working Paper Series.
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2012Price adjustment to news with uncertain precision In: Journal of International Money and Finance.
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2008Price Adjustment to News with Uncertain Precision.(2008) In: FRU Working Papers.
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2008Price adjustment to news with uncertain precision.(2008) In: CFR Working Papers.
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2011Price adjustment to news with uncertain precision.(2011) In: CFR Working Papers.
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2008Price adjustment to news with uncertain precision.(2008) In: CFS Working Paper Series.
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2008Price adjustment to news with uncertain precision.(2008) In: SFB 649 Discussion Papers.
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This paper has nother version. Agregated cites: 5		paper
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper5
2007Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper2
2007Modelling Financial High Frequency Data Using Point Processes In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper3
2008Price Adjustment to News with Uncertain Precision In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2008Measuring and Modeling Risk Using High-Frequency Data In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper4
2008Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper8
2008Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper4
2008Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2008Testing Multiplicative Error Models Using Conditional Moment Tests In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2009Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper5
2009A blocking and regularization approach to high dimensional realized covariance estimation In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper10
2009The Market Impact of a Limit Order In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper40
2009Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2010Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper17
2010The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2010Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2010Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper2
2011Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper7
2011Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper19
2011The Merit of High-Frequency Data in Portfolio Allocation In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper18
2011Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper10
2012On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper10
2012Local Adaptive Multiplicative Error Models for High-Frequency Forecasts In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper7
2012Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2012Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper16
2012Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series In: SFB 649 Discussion Papers.
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2013Forecasting systemic impact in financial networks In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper11
2013Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? In: SFB 649 Discussion Papers.
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2013Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper30
2014Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2014Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence In: SFB 649 Discussion Papers.
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2004A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market In: Discussion Papers.
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2004A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market.(2004) In: FRU Working Papers.
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2005The latent factor VAR model: Testing for a common component in the intraday trading process In: FRU Working Papers.
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2004Order Aggressiveness and Order Book Dynamics In: FRU Working Papers.
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2006Order aggressiveness and order book dynamics.(2006) In: Empirical Economics.
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2008Order aggressiveness and order book dynamics.(2008) In: Studies in Empirical Economics.
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2006Testing the Conditional Mean Function of Autoregressive Conditional Duration Models In: FRU Working Papers.
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2002Semiparametric autoregressive conditional proportional hazard models In: Economics Papers.
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2013Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: Journal of Financial Econometrics.
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2014Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2014) In: Journal of Financial Econometrics.
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2010Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2010) In: CFS Working Paper Series.
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2011Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2011) In: CFS Working Paper Series.
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2010Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2010) In: SFB 649 Discussion Papers.
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2021A Descriptive Study of High-Frequency Trade and Quote Option Data* In: Journal of Financial Econometrics.
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2003Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities In: Journal of Financial Econometrics.
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2023Maximum-Likelihood Estimation Using the Zig-Zag Algorithm* In: Journal of Financial Econometrics.
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2015Financial Network Systemic Risk Contributions In: Review of Finance.
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2013Financial network systemic risk contributions.(2013) In: CFS Working Paper Series.
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2011Financial network systemic risk contributions.(2011) In: SFB 649 Discussion Papers.
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2012Financial network systemic risk contributions.(2012) In: SFB 649 Discussion Papers.
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2002The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report In: Review of Finance.
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2002The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report.(2002) In: CoFE Discussion Papers.
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2012Econometrics of Financial High-Frequency Data In: Springer Books.
[Citation analysis]		book52
2009Stochastic Volatility Estimation Using Markov Chain Simulation In: Springer Books.
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2009Measuring and Modeling Risk Using High-Frequency Data In: Springer Books.
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2008Measuring and modeling risk using high-frequency data.(2008) In: SFB 649 Discussion Papers.
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2009High-Frequency Volatility and Liquidity In: Springer Books.
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2014Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth In: University of East Anglia Applied and Financial Economics Working Paper Series.
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2012A blocking and regularization approach to high‐dimensional realized covariance estimation In: Journal of Applied Econometrics.
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2009A blocking and regularization approach to high dimensional realized covariance estimation.(2009) In: CFS Working Paper Series.
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2009A blocking and regularization approach to high dimensional realized covariance estimation.(2009) In: SFB 649 Discussion Papers.
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2015Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations? In: Journal of Applied Econometrics.
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2013Do high-frequency data improve high-dimensional portfolio allocations?.(2013) In: SFB 649 Discussion Papers.
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2015Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts In: Journal of Applied Econometrics.
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2012Local adaptive multiplicative error models for high-frequency forecasts.(2012) In: SFB 649 Discussion Papers.
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2015Multivariate dynamic intensity peaks-over-threshold models.(2015) In: CFS Working Paper Series.
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2013Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models In: Journal of Forecasting.
[Full Text][Citation analysis]		article6
2011Predicting bid-ask spreads using long memory autoregressive conditional poisson models.(2011) In: SFB 649 Discussion Papers.
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1999Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions In: Finance.
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1999Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions.(1999) In: CoFE Discussion Papers.
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2009Quantifying high-frequency market reactions to real-time news sentiment announcements In: CFS Working Paper Series.
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2009Quantifying high-frequency market reactions to real-time news sentiment announcements.(2009) In: SFB 649 Discussion Papers.
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2011The merit of high-frequency data in portfolio allocation In: CFS Working Paper Series.
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2011The merit of high-frequency data in portfolio allocation.(2011) In: SFB 649 Discussion Papers.
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2012On the dark side of the market: Identifying and analyzing hidden order placements In: CFS Working Paper Series.
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2013Copula-based dynamic conditional correlation multiplicative error processes In: CFS Working Paper Series.
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2012Copula-based dynamic conditional correlation multiplicative error processes.(2012) In: SFB 649 Discussion Papers.
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2014Efficient iterative maximum likelihood estimation of high-parameterized time series models In: CFS Working Paper Series.
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2014Efficient iterative maximum likelihood estimation of high-parameterized time series models.(2014) In: SFB 649 Discussion Papers.
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2017Volatility, information feedback and market microstructure noise: A tale of two regimes In: CFS Working Paper Series.
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2017The ambivalent role of high-frequency trading in turbulent market periods In: CFS Working Paper Series.
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2017Counterparty credit limits: An effective tool for mitigating counterparty risk? In: CFS Working Paper Series.
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2018Limits to arbitrage in markets with stochastic settlement latency In: CFS Working Paper Series.
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2019Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect? In: CFS Working Paper Series.
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2000Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model In: CoFE Discussion Papers.
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2001Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities In: CoFE Discussion Papers.
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2002Modelling Intraday Trading Activity Using Box-Cox-ACD Models In: CoFE Discussion Papers.
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2001Shirking or mismatch? Coach-team separation in German professional soccer In: Discussion Papers, Series I.
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2008Modelling high-frequency volatility and liquidity using multiplicative error models In: SFB 649 Discussion Papers.
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2008Yield curve factors, term structure volatility, and bond risk premia In: SFB 649 Discussion Papers.
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2008Discrete-time stochastic volatility models and MCMC-based statistical inference In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2008Testing multiplicative error models using conditional moment tests In: SFB 649 Discussion Papers.
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2011Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data In: SFB 649 Discussion Papers.
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2012Modeling time-varying dependencies between positive-valued high-frequency time series In: SFB 649 Discussion Papers.
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2013Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency In: SFB 649 Discussion Papers.
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2017Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information In: VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking.
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2001A mean variance king? Creation and resolution of uncertainty under the employment reports reign In: ZEW Discussion Papers.
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