Nikolaus Hautsch : Citation Profile

Are you Nikolaus Hautsch?

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

21

H index

32

i10 index

1356

Citations

RESEARCH PRODUCTION:

36

Articles

103

Papers

1

Books

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   23 years (1999 - 2022). See details.
   Cites by year: 58
   Journals where Nikolaus Hautsch has often published
   Relations with other researchers
   Recent citing documents: 193.    Total self citations: 64 (4.51 %)

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   Permalink: http://citec.repec.org/pha10
   Updated: 2023-03-02    RAS profile: 2022-10-20    
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Relations with other researchers

Works with:

Johannesson, Magnus (2)

Talavera, Oleksandr (2)

Lof, Matthijs (2)

FERROUHI, EL MEHDI (2)

Chernov, Mikhail (2)

Chow, Nikolai Sheung-Chi (2)

Deku, Solomon (2)

Colliard, Jean-Edouard (2)

Palan, Stefan (2)

Wilhelmsson, Anders (2)

Frijns, Bart (2)

Sarno, Lucio (2)

Hjalmarsson, Erik (2)

Putnins, Talis (2)

Patel, Vinay (2)

Wong, Wing-Keung (2)

Brownlees, Christian (2)

Archakov, Ilya (2)

Schenk-Hoppé, Klaus (2)

Lopez-Lira, Alejandro (2)

Gehrig, Thomas (2)

Rakowski, David (2)

Wolff, Christian (2)

Bouri, Elie (2)

Rinne, Kalle (2)

Mihet, Roxana (2)

Kassner, Bernhard (2)

Pasquariello, Paolo (2)

Vilkov, Grigory (2)

Regis, Luca (2)

Caporin, Massimiliano (2)

Patton, Andrew (2)

Schwarz, Marco (2)

Gerritsen, Dirk (2)

Deev, Oleg (2)

Gorbenko, Arseny (2)

Smales, Lee (2)

Ferrara, Gerardo (2)

Hurlin, Christophe (2)

Sojli, Elvira (2)

Tonks, Ian (2)

Abudy, Menachem (2)

Walther, Thomas (2)

Roy, Saurabh (2)

Dumitrescu, Ariadna (2)

Scaillet, Olivier (2)

Pelizzon, Loriana (2)

PASCUAL, ROBERTO (2)

Alexeev, Vitali (2)

Zhou, Chen (2)

Horenstein, Alex (2)

Jones, Charles (2)

Liew, Chee (2)

Ranaldo, Angelo (2)

Dimpfl, Thomas (2)

van Kervel, Vincent (2)

Adrian, Tobias (2)

Jurkatis, Simon (2)

Kearney, Fearghal (2)

Jalkh, Naji (2)

Vogel, Sebastian (2)

Bohorquez Correa, Santiago (2)

Theissen, Erik (2)

Lajaunie, Quentin (2)

Moinas, Sophie (2)

Reitz, Stefan (2)

He, Xuezhong (Tony) (2)

Prokopczuk, Marcel (2)

Xiu, Dacheng (2)

Nielsson, Ulf (2)

Pastor, Lubos (2)

Stefanova, Denitsa (2)

Ait-Sahalia, Yacine (2)

Holzmeister, Felix (2)

Xia, Shuo (2)

Bos, Charles (2)

Harris, Jeffrey (2)

Foucault, Thierry (2)

LINTON, OLIVER (2)

Menkveld, Albert (2)

Dreber, Anna (2)

CAPELLE-BLANCARD, Gunther (2)

Verousis, Thanos (2)

Taylor, Nick (2)

Park, Andreas (2)

Davies, Ryan (2)

Heath, Davidson (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 (36)

Gallo, Giampiero (30)

Brownlees, Christian (28)

Engle, Robert (22)

Schienle, Melanie (21)

Clements, Adam (21)

Caporin, Massimiliano (20)

Barigozzi, Matteo (18)

Horst, Ulrich (13)

Wang, Weining (13)

Cipollini, Fabrizio (12)

Cites to:

Engle, Robert (97)

Bauwens, Luc (71)

Bollerslev, Tim (47)

Diebold, Francis (44)

Shephard, Neil (44)

Veredas, David (38)

Härdle, Wolfgang (30)

Giot, Pierre (30)

Lunde, Asger (28)

Andersen, Torben (27)

Hansen, Peter (24)

Main data

Where Nikolaus Hautsch has published?

Journals with more than one article published# docs
The Journal of Financial Econometrics5
Journal of Applied Econometrics4
Journal of Empirical Finance4
Review of Finance2
Journal of Banking & Finance2
Journal of Business & Economic Statistics2
Journal of Economic Dynamics and Control2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany30
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.org4
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)4
Discussion Papers / University of Copenhagen. Department of Economics2

Recent works citing Nikolaus Hautsch (2022 and 2021)

YearTitle of citing document
2022Amplitude-Based Time Series Data Clustering Method. (2022). Chakraborty, Basabi ; Shirota, Yukari. In: Gakushuin Economic Papers. RePEc:abc:gakuep:59-2-1.

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2021Time-varying volatility spillover of foreign exchange rate in three Asian markets: Based on DCC-GARCH approach. (2021). Sahoo, Malayaranjan ; Mishra, Amritkant ; Srivastava, Purwa ; Gupta, Mohini. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(629):y:2021:i:4(629):p:105-120.

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2021Time-Consistent Evaluation of Credit Risk with Contagion. (2021). Hainaut, Donatien ; Ketelbuters, John John. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021004.

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2022Market Impact: A Systematic Study of Limit Orders. (2019). Paribas, Bnp ; Markets, Global ; Fr'ed'eric Abergel, ; Ayed, Hadj ; Bel, Ahmed ; Husson, Alexandre ; Hadj, Ahmed Bel ; Said, Emilio . In: Papers. RePEc:arx:papers:1802.08502.

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2021State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime . In: Papers. RePEc:arx:papers:1809.08060.

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2022Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2022A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data. (2020). Scaillet, Olivier ; Moor, Alban ; la Vecchia, Davide. In: Papers. RePEc:arx:papers:2001.04867.

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2021Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062.

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2021The What, When and Where of Limit Order Books. (2020). Dimpfl, Thomas ; Bleher, Michael. In: Papers. RePEc:arx:papers:2004.11953.

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2022Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2021Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545.

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2021Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077.

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2021A Basket Half Full: Sparse Portfolios. (2020). Seregina, Ekaterina. In: Papers. RePEc:arx:papers:2011.04278.

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

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2021Bootstrap Inference for Hawkes and General Point Processes. (2021). Cavaliere, Giuseppe ; Staerk-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Papers. RePEc:arx:papers:2104.03122.

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2022Learning Financial Network with Focally Sparse Structure. (2021). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424.

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2021Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio. (2021). Thorsen, Erik ; Parolya, Nestor ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2106.02131.

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2021The Role of Binance in Bitcoin Volatility Transmission. (2021). Kaeck, Andreas ; Heck, Daniel ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.00298.

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2021Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923.

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2021Fragmentation, Price Formation, and Cross-Impact in Bitcoin Markets. (2021). Shestopaloff, Alexander Y ; Howison, Sam ; Cucuringu, Mihai ; Albers, Jakob. In: Papers. RePEc:arx:papers:2108.09750.

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2021When Two Worlds Collide: Using Particle Physics Tools to Visualize the Limit Order Book. (2021). Trujillo-Barrera, Andres A ; van Leeuwen, Paul ; Naumann, Axel ; Gardebroek, Cornelis ; Hageboeck, Stephan ; Debie, Philippe ; Verhulst, Marjolein E ; Moneta, Lorenzo. In: Papers. RePEc:arx:papers:2109.04812.

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2021Learning to Classify and Imitate Trading Agents in Continuous Double Auction Markets. (2021). Mahfouz, Mahmoud ; Balch, Tucker ; Veloso, Manuela ; Mandic, Danilo. In: Papers. RePEc:arx:papers:2110.01325.

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2021Understanding jumps in high frequency digital asset markets. (2021). Sizov, Sergej ; Nagy, Odett ; Saef, Danial ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2110.09429.

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2021Portfolio optimization with idiosyncratic and systemic risks for financial networks. (2021). Han, Jihui ; Wang, Chao ; Chen, Lin ; Zhao, Longfeng ; Yang, Yajie. In: Papers. RePEc:arx:papers:2111.11286.

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2022On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges. (2021). Ranaldo, Angelo ; Barbon, Andrea. In: Papers. RePEc:arx:papers:2112.07386.

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2022Extremal Dependence in Australian Electricity Markets. (2022). Han, Lin ; Trueck, Stefan ; Cribben, Ivor. In: Papers. RePEc:arx:papers:2202.09970.

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2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2022Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2022The Econometrics of Financial Duration Modeling. (2022). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Papers. RePEc:arx:papers:2208.02098.

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2022Learning Financial Networks with High-frequency Trade Data. (2022). Easley, David ; Basu, Sumanta ; Karpman, Kara. In: Papers. RePEc:arx:papers:2208.03568.

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2022Comparing Stochastic Volatility Specifications for Large Bayesian VARs. (2022). , Joshua. In: Papers. RePEc:arx:papers:2208.13255.

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2023A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2022Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2022). Streicher, Sina ; Polivka, Jeannine ; Halbleib, Roxana ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2212.11833.

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2022Measuring price impact and information content of trades in a time-varying setting. (2022). Lillo, F ; Bormetti, G ; Campigli, F. In: Papers. RePEc:arx:papers:2212.12687.

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2023Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808.

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2021Looking under the surface: An analysis of iceberg orders in the U.S. agricultural futures markets. (2021). Mallory, Mindy ; Garcia, Philip ; Serra, Teresa ; Shang, Quanbiao. In: Agricultural Economics. RePEc:bla:agecon:v:52:y:2021:i:4:p:679-699.

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2022Tail price risk spillovers along the US beef and pork supply chains. (2022). Tzaferi, Dimitra ; Fousekis, Panos. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:66:y:2022:i:2:p:383-399.

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2021GDP?network CoVaR: A tool for assessing growth?at?risk. (2021). Tizzanini, Giacomo ; De Meo, Emanuele . In: Economic Notes. RePEc:bla:ecnote:v:50:y:2021:i:2:n:e12181.

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2021Do volatility extensions improve the quality of closing call auctions?. (2021). Hagstromer, Bjorn ; Felezvias, Ester. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:3:p:385-406.

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2021Robust Estimation of Integrated Volatility. (2021). Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2115.

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2021The rise in the cross-sectoral dispersion of earnings expectations during COVID-19. (2021). Kapp, Daniel ; Greif, William ; Bats, Joost. In: Working Papers. RePEc:dnb:dnbwpp:724.

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2022The rise in the cross-sectoral dispersion of earnings expectations during COVID-19. (2022). Kapp, Daniel ; Greif, William ; Bats, Joost. In: Working Paper Series. RePEc:ecb:ecbwps:20222664.

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2022Bayesian portfolio selection using VaR and CVaR. (2022). Thorsen, Erik ; Niklasson, Vilhelm ; Lindholm, Mathias ; Bodnar, Taras. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:427:y:2022:i:c:s0096300322002041.

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2021Evaluating multiplicative error models: A residual-based approach. (2021). Lu, Wanbo ; Ke, Rui ; Jia, Jing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301778.

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2021Identification of information networks in stock markets. (2021). Baltakys, Kstutis ; Kanniainen, Juho ; Baltakien, Margarita. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001524.

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2022Machine learning and speed in high-frequency trading. (2022). He, Xuezhong (Tony) ; Jianwei, LI ; Arifovic, Jasmina. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001439.

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2022Conditional tail price risk spillovers in coffee markets across quality, physical space, and time: Empirical analysis with penalized quantile regressions. (2022). Grigoriadis, Vasilis ; Fousekis, Panos. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002807.

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2022Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881.

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2022The existence of flight-to-quality under extreme conditions: Evidence from a nonlinear perspective in Chinese stocks and bonds sectors. (2022). Peng, Cheng ; Wang, Gangjin ; Su, Xiaojian ; Deng, Chao. In: Economic Modelling. RePEc:eee:ecmode:v:113:y:2022:i:c:s0264999322001419.

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2021A model-based index for systemic risk contribution measurement in financial networks. (2021). Zhu, LI ; Zhang, Ziqing ; Deng, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:35-48.

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2021Network VAR models to measure financial contagion. (2021). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Hashem, Shatha Qamhieh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302059.

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2021Analysis of the cross-region risk contagion effect in stock market based on volatility spillover networks: Evidence from China. (2021). Wang, Jian ; Zhuang, Xintian ; Li, Yanshuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302400.

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2022Contagion effect of systemic risk among industry sectors in China’s stock market. (2022). Zhao, Tianyu ; Yan, Haoyang ; Xu, Qiuhua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001819.

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2022Order Choices: An Intraday Analysis of the Taiwan Stock Exchange. (2022). Lo, Hsiang-Yu ; Hung, Pi-Hsia ; Lien, Donald. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000912.

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2022Multiscale features of extreme risk spillover networks among global stock markets. (2022). Zhu, Huiming ; You, Wanhai ; Zhao, Wanru ; Ren, Yinghua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001012.

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2021Detecting granular time series in large panels. (2021). Mesters, Geert ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:544-561.

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2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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2022Occupation density estimation for noisy high-frequency data. (2022). Bollerslev, Tim ; Li, Jia ; Zhang, Congshan. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:189-211.

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2022Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:285-304.

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2022Affine arbitrage-free yield net models with application to the euro debt crisis. (2022). Niu, Linlin ; Zhang, Chen ; Hong, Zhiwu. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:201-220.

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2022Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility. (2022). Oglend, Atle ; Moura, Guilherme Valle ; Liesenfeld, Roman ; Kleppe, Tore Selland. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:105-127.

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2022New evidence on market response to public announcements in the presence of microstructure noise. (2022). Irwin, Scott ; Garcia, Philip ; Serra, Teresa ; Bian, Siyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:785-800.

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2021The speed of stock price adjustment to corporate announcements: Insights from Turkey. (2021). Hasan, Afan ; Simsek, Koray D ; Simsir, Serif Aziz ; Ersan, Oguz. In: Emerging Markets Review. RePEc:eee:ememar:v:47:y:2021:i:c:s1566014120305872.

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2021Cross-border systemic risk spillovers in the global oil system: Does the oil trade pattern matter?. (2021). Chevallier, Julien ; Lin, Renda ; Liu, Jiahao ; Zhu, BO. In: Energy Economics. RePEc:eee:eneeco:v:101:y:2021:i:c:s0140988321002942.

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2022High-dimensional CoVaR network connectedness for measuring conditional financial contagion and risk spillovers from oil markets to the G20 stock system. (2022). Hussain, Nazim ; Ji, Qiang ; Fan, Ying ; Liu, Bing-Yue. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005946.

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2022The banking instability and climate change: Evidence from China. (2022). Lu, Li Ping ; Zhang, Shuai. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s0140988321006253.

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2022Extreme spillovers among fossil energy, clean energy, and metals markets: Evidence from a quantile-based analysis. (2022). Liu, Zhen Hua ; Ding, Qian ; Liang, Zhipeng ; Chen, Jinyu. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000627.

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2021Extreme return connectedness and its determinants between clean/green and dirty energy investments. (2021). Alsulami, Hamed ; Bouri, Elie ; Saeed, Tareq. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988320303571.

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2021Skewness-based market integration: A systemic risk measure across international equity markets. (2021). Li, Xupei ; Jian, Zhihong. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000077.

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2022High-frequency trading and market quality: The case of a “slightly exposed” market. (2022). Ekinci, Cumhur ; Ersan, Ouz. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003185.

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2022Regulatory technology (Reg-Tech) in financial stability supervision: Taxonomy, key methods, applications and future directions. (2022). Ergu, Daji ; Qian, Qian ; Li, Tie ; Chen, Jia ; Ran, Qin ; Chao, Xiangrui. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000035.

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2022Systemic risk in the Chinese financial system: A panel Granger causality analysis. (2022). Urga, Giovanni ; Cincinelli, Peter ; Pellini, Elisabetta. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001405.

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2022When does attention matter? The effect of investor attention on stock market volatility around news releases. (2022). Audrino, Francesco ; Ballinari, Daniele ; Sigrist, Fabio. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001466.

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2022Analysis of risk correlations among stock markets during the COVID-19 pandemic. (2022). Chen, Yun ; Zhang, Chao ; Wu, Junfeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922001818.

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2022Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market. (2022). Chen, Pengzhan ; Wu, Bin ; Xia, Wenjing ; Ye, Wuyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002320.

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2022Quantile connectedness between sentiment and financial markets: Evidence from the S&P 500 twitter sentiment index. (2022). Goodell, John W ; Youssef, Manel ; Yousaf, Imran. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002745.

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2021Measuring the risk of Chinese Fintech industry: evidence from the stock index. (2021). Sun, Xiaolei ; Li, Jian Ping ; Yao, Yinhong. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319311055.

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2021Time domain and frequency domain Granger causality networks: Application to China’s financial institutions. (2021). Chevallier, Julien ; Xie, Chi ; Chen, Yang-Yang ; Si, Hui-Bin ; Wang, Gang-Jin. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319311419.

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2021CSR, Media and Stock Illiquidity: Evidence from Chinese Listed Financial Firms. (2021). Zhang, Zhaoyong. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316238.

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2022COVID–19 media coverage and ESG leader indices. (2022). Umar, Zaghum ; Boubaker, Sabri ; Akhtaruzzaman, MD. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002440.

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2022A study of interconnections and contagion among Chinese financial institutions using a ?CoV aR network. (2022). Xu, Zezhou ; Mo, Dongxu ; Chen, Yan. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321003950.

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2022Profitability and liquidity provision of HFTs during large price shocks: Does relative tick size matter?. (2022). Yamada, Masahiro. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003391.

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2022The network structure of overnight index swap rates. (2022). Uddin, Ajim ; Taylor, Stephen ; Fang, Ming. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004141.

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2022Realizing correlations across asset classes. (2022). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: Journal of Financial Markets. RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418122000222.

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2021The intrafirm complexity of systemically important financial institutions. (2021). Leibon, G ; Foti, N J ; Rockmore, D N ; Lumsdaine, R L ; Farmer, J D. In: Journal of Financial Stability. RePEc:eee:finsta:v:52:y:2021:i:c:s1572308920301030.

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2021Measuring the systemic importance of banks. (2021). Sakellaris, Plutarchos ; Moratis, Georgios. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000383.

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2022The contribution of (shadow) banks and real estate to systemic risk in China. (2022). Urga, Giovanni ; Meoli, Michele ; Cincinelli, Peter ; Pellegrini, Carlo Bellavite. In: Journal of Financial Stability. RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000420.

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2022Systemic risk measures and regulatory challenges. (2022). Brzeszczyski, Janusz ; Sharma, Satish ; Ellis, Scott. In: Journal of Financial Stability. RePEc:eee:finsta:v:61:y:2022:i:c:s1572308921001194.

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2022The Eurozone banking sector in the time of COVID-19: Measuring volatility connectedness. (2022). Angelini, Eliana ; Addi, Abdelhamid ; Foglia, Matteo. In: Global Finance Journal. RePEc:eee:glofin:v:51:y:2022:i:c:s1044028321000752.

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2021Quantile connectedness in the cryptocurrency market. (2021). Vo, Xuan Vinh ; Roubaud, David ; Saeed, Tareq ; Bouri, Elie. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000214.

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2021International tail risk connectedness: Network and determinants. (2021). Lambe, Brendan John ; Nguyen, Linh Hoang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000512.

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2022Bearish Vs Bullish risk network: A Eurozone financial system analysis. (2022). Angelini, Eliana ; Wang, Gang-Jin ; Addi, Abdelhamid ; Foglia, Matteo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443122000142.

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2022Sovereign bond market spillovers from crisis-time developments in Greece. (2022). Zigraiova, Diana ; Clancy, Daragh ; Gabriele, Carmine. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000464.

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2022Banking networks, systemic risk, and the credit cycle in emerging markets. (2022). Das, Sanjiv R ; Kalimipalli, Madhu ; Nayak, Subhankar. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s104244312200107x.

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2021Identification of volatility proxies as expectations of squared financial returns. (2021). Sucarrat, Genaro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1677-1690.

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2021A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000042.

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2021The evolution of price discovery in an electronic market. (2021). Hjalmarsson, Erik ; Zikes, Filip ; Chaboud, Alain . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:130:y:2021:i:c:s0378426621001308.

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2021Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market. (2021). Lo, Ingrid ; Lin, Hai ; Qiao, Rui. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002119.

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2022Predicting the stressed expected loss of large U.S. banks. (2022). Jondeau, Eric ; Khalilzadeh, Amir. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002727.

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2022Weighted Least Squares Realized Covariation Estimation. (2022). Xu, QI ; Voev, Valeri ; Vasios, Michalis ; Nolte, Ingmar ; Li, Yifan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:137:y:2022:i:c:s0378426622000206.

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2022Modeling and forecasting realized portfolio weights. (2022). Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000048.

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

Nikolaus Hautsch is editor of

Journal
FRU Working Papers

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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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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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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This paper has another version. Agregated cites: 53		article
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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This paper has another version. Agregated cites: 53		paper
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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This paper has another version. Agregated cites: 8		paper
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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2021Building Trust Takes Time: Limits to Arbitrage in Blockchain-Based Markets In: Papers.
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2022HARNet: A Convolutional Neural Network for Realized Volatility Forecasting In: Papers.
[Full Text][Citation analysis]		paper0
2022HARNet: A convolutional neural network for realized volatility forecasting.(2022) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 0		paper
2007A Dynamic Semiparametric Proportional Hazard Model In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article2
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]		paper15
2019Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence.(2019) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 15		article
2014Estimating the spot covariation of asset prices: Statistical theory and empirical evidence.(2014) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		paper
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]		paper97
2009Modelling financial high frequency data using point processes.(2009) In: LIDAM Reprints CORE.
[Citation analysis]
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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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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.
[Full Text][Citation analysis]		paper45
2006Stochastic Conditional Intensity Processes.(2006) In: The 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]		article29
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]		paper37
2011The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: Journal of Banking & Finance.
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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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2011The impact of macroeconomic news on quote adjustments, noise and informational volatility.(2011) In: ULB Institutional Repository.
[Citation analysis]
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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.
[Full Text][Citation analysis]
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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]		article29
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]		article23
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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2007Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model.(2007) In: CFS Working Paper Series.
[Full Text][Citation analysis]
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2012The market impact of a limit order In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article57
2009The Market Impact of a Limit Order.(2009) In: SFB 649 Discussion Papers.
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2009The market impact of a limit order.(2009) In: CFS Working Paper Series.
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2022Local mispricing and microstructural noise: A parametric perspective In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
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]		article90
2012Modelling and forecasting liquidity supply using semiparametric factor dynamics In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article21
2009Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics.(2009) In: SFB 649 Discussion Papers.
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2009Modelling and forecasting liquidity supply using semiparametric factor dynamics.(2009) In: CFS Working Paper Series.
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2016Dynamic conditional correlation multiplicative error processes In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article7
2002Volatility estimation on the basis of price intensities In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article13
1999Volatility Estimation on the Basis of Price Intensities.(1999) In: CoFE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2007Modelling the buy and sell intensity in a limit order book market In: Journal of Financial Markets.
[Full Text][Citation analysis]		article37
2016Systemic risk spillovers in the European banking and sovereign network In: Journal of Financial Stability.
[Full Text][Citation analysis]		article62
2014Systemic risk spillovers in the European banking and sovereign network.(2014) In: CFS Working Paper Series.
[Full Text][Citation analysis]
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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]		article47
2013Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47		paper
2012Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article11
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]		article15
2017How effective are trading pauses?.(2017) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 15		paper
2012Price adjustment to news with uncertain precision In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article3
2008Price Adjustment to News with Uncertain Precision.(2008) In: SFB 649 Discussion Papers.
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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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2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2008Measuring and Modeling Risk Using High-Frequency Data In: SFB 649 Discussion Papers.
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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.
[Full Text][Citation analysis]		paper4
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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2009A blocking and regularization approach to high dimensional realized covariance estimation In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper59
2012A blocking and regularization approach to high?dimensional realized covariance estimation.(2012) 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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2009Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements In: SFB 649 Discussion Papers.
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2009Quantifying high-frequency market reactions to real-time news sentiment announcements.(2009) In: CFS Working Paper Series.
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2010Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: SFB 649 Discussion Papers.
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2013Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2013) In: The Journal of Financial Econometrics.
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2014Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2014) In: The 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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2011Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models In: SFB 649 Discussion Papers.
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2013Predicting Bid–Ask Spreads Using Long?Memory Autoregressive Conditional Poisson Models.(2013) In: Journal of Forecasting.
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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.
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2011The merit of high-frequency data in portfolio allocation.(2011) In: CFS Working Paper Series.
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2011Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers.
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2012Financial Network Systemic Risk Contributions.(2012) In: SFB 649 Discussion Papers.
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2015Financial Network Systemic Risk Contributions.(2015) In: Review of Finance.
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2013Financial network systemic risk contributions.(2013) In: CFS Working Paper Series.
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2012On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements In: SFB 649 Discussion Papers.
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2012On the dark side of the market: Identifying and analyzing hidden order placements.(2012) In: CFS Working Paper Series.
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2012Local Adaptive Multiplicative Error Models for High-Frequency Forecasts In: SFB 649 Discussion Papers.
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2015Local Adaptive Multiplicative Error Models for High?Frequency Forecasts.(2015) In: Journal of Applied Econometrics.
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2012Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes In: SFB 649 Discussion Papers.
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2013Copula-based dynamic conditional correlation multiplicative error processes.(2013) In: CFS Working Paper Series.
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2012Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2013Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper32
2015Do High?Frequency Data Improve High?Dimensional Portfolio Allocations?.(2015) In: Journal of Applied Econometrics.
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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]		paper28
2014Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2014Efficient iterative maximum likelihood estimation of high-parameterized time series models.(2014) In: CFS Working Paper Series.
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2014Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper5
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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2004A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market.(2004) In: Research Paper Series.
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2005The latent factor VAR model: Testing for a common component in the intraday trading process In: FRU Working Papers.
[Full Text][Citation analysis]		paper0
2004Order Aggressiveness and Order Book Dynamics In: FRU Working Papers.
[Full Text][Citation analysis]		paper44
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.
[Citation analysis]
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2006Testing the Conditional Mean Function of Autoregressive Conditional Duration Models In: FRU Working Papers.
[Full Text][Citation analysis]		paper7
2002Semiparametric autoregressive conditional proportional hazard models In: Economics Papers.
[Full Text][Citation analysis]		paper1
2021A Descriptive Study of High-Frequency Trade and Quote Option Data* In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2003Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities In: The Journal of Financial Econometrics.
[Citation analysis]		article9
2002The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report In: Review of Finance.
[Full Text][Citation analysis]		article19
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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