Nikolaus Hautsch : Citation Profile

Are you Nikolaus Hautsch?

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

21

H index

34

i10 index

1478

Citations

RESEARCH PRODUCTION:

36

Articles

103

Papers

1

Books

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   24 years (1999 - 2023). See details.
   Cites by year: 61
   Journals where Nikolaus Hautsch has often published
   Relations with other researchers
   Recent citing documents: 102.    Total self citations: 66 (4.27 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha10
   Updated: 2024-04-18    RAS profile: 2022-10-20    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Voigt, Stefan (3)

Palan, Stefan (2)

Xiu, Dacheng (2)

Jalkh, Naji (2)

LINTON, OLIVER (2)

Prokopczuk, Marcel (2)

Jurkatis, Simon (2)

Vilkov, Grigory (2)

Chernov, Mikhail (2)

Schenk-Hoppé, Klaus (2)

Vogel, Sebastian (2)

Wilhelmsson, Anders (2)

Hjalmarsson, Erik (2)

Hurlin, Christophe (2)

Park, Andreas (2)

PASCUAL, ROBERTO (2)

Pastor, Lubos (2)

Patel, Vinay (2)

Söderlind, Paul (2)

Menkveld, Albert (2)

Lajaunie, Quentin (2)

Putnins, Talis (2)

Füllbrunn, Sascha (2)

Talavera, Oleksandr (2)

Pasquariello, Paolo (2)

Lopez-Lira, Alejandro (2)

Alexeev, Vitali (2)

Ait-Sahalia, Yacine (2)

Harris, Jeffrey (2)

Verousis, Thanos (2)

Frömmel, Michael (2)

Schuerhoff, Norman (2)

Nielsson, Ulf (2)

Dimpfl, Thomas (2)

Adrian, Tobias (2)

Theissen, Erik (2)

Wolff, Christian (2)

Korajczyk, Robert (2)

Reitz, Stefan (2)

Gehrig, Thomas (2)

Zhou, Chen (2)

Gerritsen, Dirk (2)

Johannesson, Magnus (2)

CAPELLE-BLANCARD, Gunther (2)

Rinne, Kalle (2)

Ødegaard, Bernt (2)

Bjønnes, Geir (2)

Lof, Matthijs (2)

Bohorquez Correa, Santiago (2)

Archakov, Ilya (2)

Taylor, Nick (2)

Abudy, Menachem (2)

Liew, Chee (2)

Scaillet, Olivier (2)

Deku, Solomon (2)

Heath, Davidson (2)

Gorbenko, Arseny (2)

Deev, Oleg (2)

Andersen, Torben (2)

Chow, Nikolai Sheung-Chi (2)

Pelizzon, Loriana (2)

Wong, Wing-Keung (2)

Brownlees, Christian (2)

Bouri, Elie (2)

Sarno, Lucio (2)

Horenstein, Alex (2)

Frijns, Bart (2)

Ferrara, Gerardo (2)

Dreber, Anna (2)

Xia, Shuo (2)

Kearney, Fearghal (2)

Walther, Thomas (2)

Caporin, Massimiliano (2)

Patton, Andrew (2)

Foucault, Thierry (2)

Holzmeister, Felix (2)

Zhang, S. Sarah (2)

Tonks, Ian (2)

Degryse, Hans (2)

Roy, Saurabh (2)

Regis, Luca (2)

Colliard, Jean-Edouard (2)

Davies, Ryan (2)

Kassner, Bernhard (2)

Bos, Charles (2)

Huang, Wenqian (2)

Mihet, Roxana (2)

He, Xuezhong (Tony) (2)

Smales, Lee (2)

Shachar, Or (2)

Renault, Thomas (2)

Schwarz, Marco (2)

Ranaldo, Angelo (2)

Sojli, Elvira (2)

Stefanova, Denitsa (2)

van Kervel, Vincent (2)

Moinas, Sophie (2)

Roy, Saurabh (2)

Dumitrescu, Ariadna (2)

Rakowski, David (2)

FERROUHI, EL MEHDI (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)

Brownlees, Christian (30)

Gallo, Giampiero (30)

Clements, Adam (22)

Engle, Robert (22)

Caporin, Massimiliano (22)

Schienle, Melanie (21)

Barigozzi, Matteo (18)

Horst, Ulrich (13)

Wang, Weining (13)

Herrera, Rodrigo (12)

Cites to:

Engle, Robert (97)

Bauwens, Luc (71)

Bollerslev, Tim (47)

Shephard, Neil (45)

Diebold, Francis (44)

Veredas, David (38)

Härdle, Wolfgang (30)

Giot, Pierre (30)

Lunde, Asger (29)

Andersen, Torben (27)

Hansen, Peter (24)

Main data

Where Nikolaus Hautsch has published?

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

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
CoFE Discussion Papers / University of Konstanz, Center of Finance and Econometrics (CoFE)7
FRU Working Papers / University of Copenhagen. Department of Economics. Finance Research Unit7
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 (2024 and 2023)

YearTitle of citing document
2023Learning Financial Network with Focally Sparse Structure. (2021). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424.

Full description at Econpapers || Download paper

2023On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges. (2021). Ranaldo, Angelo ; Barbon, Andrea. In: Papers. RePEc:arx:papers:2112.07386.

Full description at Econpapers || Download paper

2024Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Efficient 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.

Full description at Econpapers || Download paper

2023Measuring 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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix. (2023). Yasuda, Yukie ; Mariotti, Tommaso ; Mancino, Maria Elvira ; Liu, Nien-Lin ; Akahori, Jiro. In: Papers. RePEc:arx:papers:2304.04372.

Full description at Econpapers || Download paper

2023Towards systematic intraday news screening: a liquidity-focused approach. (2023). Rosenbaum, Mathieu ; Zhang, Jianfei. In: Papers. RePEc:arx:papers:2304.05115.

Full description at Econpapers || Download paper

2023Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991.

Full description at Econpapers || Download paper

2023Conditional Generators for Limit Order Book Environments: Explainability, Challenges, and Robustness. (2023). Vyetrenko, Svitlana ; Savani, Rahul ; Jerome, Joseph ; Coletta, Andrea. In: Papers. RePEc:arx:papers:2306.12806.

Full description at Econpapers || Download paper

2023Tackling the Problem of State Dependent Execution Probability: Empirical Evidence and Order Placement. (2023). Ragel, Vincent ; Fabre, Timoth'Ee. In: Papers. RePEc:arx:papers:2307.04863.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438.

Full description at Econpapers || Download paper

2023The role of tail network topological characteristic in portfolio selection: A TNA?PMC model. (2023). Zhao, Qinna ; Jiang, Cuixia ; Xu, Qifa ; Li, Mengting. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:37-57.

Full description at Econpapers || Download paper

2023Where does the risk lie? Systemic risk and tail risk networks in the Chinese financial market. (2023). Gao, Chenyin ; Deng, Yang. In: Pacific Economic Review. RePEc:bla:pacecr:v:28:y:2023:i:2:p:167-190.

Full description at Econpapers || Download paper

2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

Full description at Econpapers || Download paper

2023Do market-based networks reflect true exposures between banks?. (2023). Karamysheva, Madina ; Craig, Ben ; Salakhova, Dilyara. In: Working Paper Series. RePEc:ecb:ecbwps:20232867.

Full description at Econpapers || Download paper

2023Lost in translation. When sentiment metrics for one market are derived from two different languages. (2023). Smales, Lee ; Khuu, Joyce ; Durand, Robert B. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000394.

Full description at Econpapers || Download paper

2023Quantile spillovers and connectedness analysis between oil and African stock markets. (2023). Kang, Sang Hoon ; Vo, Xuan Vinh ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:60-83.

Full description at Econpapers || Download paper

2023A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194.

Full description at Econpapers || Download paper

2023Interconnectedness and extreme risk: Evidence from dual banking systems. (2023). bouoiyour, jamal ; Addi, Abdelhamid. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s026499932200387x.

Full description at Econpapers || Download paper

2023Economic policy uncertainty and information intermediary: The case of short seller. (2023). Wang, Xiaoming. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003984.

Full description at Econpapers || Download paper

2023The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants. (2023). Pan, Beier. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001074.

Full description at Econpapers || Download paper

2023Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669.

Full description at Econpapers || Download paper

2023Algorithmic trading: Intraday profitability and trading behavior. (2023). Arumugam, Devika. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003334.

Full description at Econpapers || Download paper

2023Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data. (2023). Yang, Guang-Yi ; Tang, Chun ; Liu, Xiao-Xing ; Zhou, Dong-Hai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002054.

Full description at Econpapers || Download paper

2023Is a co-jump in prices a sparse jump?. (2023). Li, Handong ; Song, Shijia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000463.

Full description at Econpapers || Download paper

2023Bias reduction in spot volatility estimation from options. (2023). Zhang, Yang ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:53-81.

Full description at Econpapers || Download paper

2023Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms. (2023). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:s:p:70-90.

Full description at Econpapers || Download paper

2023Bootstrap inference for Hawkes and general point processes. (2023). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:133-165.

Full description at Econpapers || Download paper

2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

Full description at Econpapers || Download paper

2023A higher-order correct fast moving-average bootstrap for dependent data. (2023). Scaillet, Olivier ; Moor, Alban ; la Vecchia, Davide. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:65-81.

Full description at Econpapers || Download paper

2023Comparing stochastic volatility specifications for large Bayesian VARs. (2023). Chan, Joshua. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1419-1446.

Full description at Econpapers || Download paper

2023Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347.

Full description at Econpapers || Download paper

2023Bayesian learning in performance. Is there any?. (2023). Tsionas, Mike G. In: European Journal of Operational Research. RePEc:eee:ejores:v:311:y:2023:i:1:p:263-282.

Full description at Econpapers || Download paper

2023Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network. (2023). Rehman, Mohd Ziaur ; Hammoudeh, Shawkat ; Khalfaoui, Rabeh. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014123000079.

Full description at Econpapers || Download paper

2023Tail-event driven NETwork dependence in emerging markets. (2023). Yousaf, Imran ; Ali, Shoaib ; Yarovaya, Larisa ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000887.

Full description at Econpapers || Download paper

2023Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries. (2023). Xie, Chi ; Zhu, You ; Wang, Gang-Jin ; Feng, Yusen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000250.

Full description at Econpapers || Download paper

2023When “time varying” volatility meets “transaction cost” in portfolio selection. (2023). Li, E ; Wen, T ; Liao, Y ; Gibberd, A ; Bu, D ; Qiao, W. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:220-237.

Full description at Econpapers || Download paper

2023Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Evidence from a quantile-based analysis. (2023). Yin, Zhujia ; Zhang, Xiaotong ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988323000099.

Full description at Econpapers || Download paper

2023Effect of weather and environmental attentions on financial system risks: Evidence from Chinese high- and low-carbon assets. (2023). Yoon, Seong-Min ; Dong, Xiyong. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001780.

Full description at Econpapers || Download paper

2023Risk network of global energy markets. (2023). Uddin, Gazi ; Okhrin, Yarema ; Rahman, Md Lutfur ; Jayasekera, Ranadeva ; Yahya, Muhammad ; Luo, Tianqi. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003808.

Full description at Econpapers || Download paper

2023Does the Achilles heel of guarantee networks drive financial distress?. (2023). Zhen, Weihao ; Wu, Wuqing ; Wang, Yirui ; Shan, Yuan George. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001515.

Full description at Econpapers || Download paper

2023Price limit change and magnet effect: The role of investor attention. (2023). Li, Peigong ; Hao, Jing ; Zhang, Xiaotao. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s154461232200753x.

Full description at Econpapers || Download paper

2023Interconnectedness of financial institutions based on pledged shares in China. (2023). Liu, Zhidong ; Yan, Guan. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005238.

Full description at Econpapers || Download paper

2023Economic evaluation of dynamic hedging strategies using high-frequency data. (2023). Lai, Yu-Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323006025.

Full description at Econpapers || Download paper

2023Stock illiquidity and option returns. (2023). Uhrig-Homburg, Marliese ; Korn, Olaf ; Kanne, Stefan. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000556.

Full description at Econpapers || Download paper

2023Forecasting extreme financial risk: A score-driven approach. (2023). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735.

Full description at Econpapers || Download paper

2023Projected Dynamic Conditional Correlations. (2023). Brownlees, Christian ; Llorens-Terrazas, Jordi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1761-1776.

Full description at Econpapers || Download paper

2023A machine learning attack on illegal trading. (2023). Prokhorov, Artem ; Leung, Henry ; James, Robert. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003156.

Full description at Econpapers || Download paper

2023Arbitrageurs in the Bitcoin ecosystem: Evidence from user-level trading patterns in the Mt. Gox exchange platform. (2023). Saggese, Pietro ; Bohme, Rainer ; Facchini, Angelo ; Dimitri, Nicola ; Belmonte, Alessandro. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:213:y:2023:i:c:p:251-270.

Full description at Econpapers || Download paper

2023The extreme risk connectedness of the global financial system: G7 and BRICS evidence. (2023). Lu, Shuai ; Li, Shaofang ; Chen, Ning. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:69:y:2023:i:c:s1042444x23000312.

Full description at Econpapers || Download paper

2023News tone, investor sentiment, and liquidity premium. (2023). Zhou, Ming ; Wu, Kai ; Liu, Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:167-181.

Full description at Econpapers || Download paper

2023The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Panzica, Roberto ; Billio, Monica. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:196-223.

Full description at Econpapers || Download paper

2023What impacts foreign capital flows to Chinas stock markets? Evidence from financial risk spillover networks. (2023). Li, Songsong ; Xu, Hao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:559-577.

Full description at Econpapers || Download paper

2023The tail wagging the dog: How do meme stocks affect market efficiency?. (2023). Ouzan, Samuel ; Choi, Hyung-Eun ; Aloosh, Arash. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:68-78.

Full description at Econpapers || Download paper

2023Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions. (2023). Zhou, Xuewei ; Ouyang, Zisheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000703.

Full description at Econpapers || Download paper

2023Financial networks and systemic risk vulnerabilities: A tale of Indian banks. (2023). Bekiros, Stelios ; Khan, Mohammad Azeem ; Wadhwani, Akshay ; Tiwari, Shiv Ratan ; Ahmad, Wasim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000880.

Full description at Econpapers || Download paper

2023How Deep was the September 2001 Stock Market Crisis? Putting Recent Events on the American and French Markets into Perspective with an Index of Market Shocks. (2002). Maillet, Bertrand ; Michel, Thierry . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp417.

Full description at Econpapers || Download paper

2023Market Manipulation in Stock and Power Markets: A Study of Indicator-Based Monitoring and Regulatory Challenges. (2023). Baldi, Simone ; Delgado, Benjamin Manrique ; Vand, Behrang ; Hao, Yuna. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:4:p:1894-:d:1068349.

Full description at Econpapers || Download paper

2023Modelling Systemic Risk in Morocco’s Banking System. (2023). Madkour, Jaouad ; el Msiyah, Cherif ; Kyoud, Ayoub. In: IJFS. RePEc:gam:jijfss:v:11:y:2023:i:2:p:70-:d:1151988.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Evolution, Forecasting, and Driving Mechanisms of the Digital Financial Network: Evidence from China. (2023). Hong, Yuxuan ; Xiao, Wenqian ; Wang, Kexing ; Liang, Juan ; Chen, Shihui ; Du, Linyu ; Zhu, Yuqi ; Shen, Siwei ; Ding, Rui. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:22:p:16072-:d:1282623.

Full description at Econpapers || Download paper

2023Algorithmic Trading, Price Efficiency and Welfare: An Experimental Approach. (2023). Siemroth, Christoph ; Corgnet, Brice ; Desantis, Mark. In: Working Papers. RePEc:gat:wpaper:2313.

Full description at Econpapers || Download paper

2023Macroeconomic Surprises and the Demand for Information about Monetary Policy. (2023). Tillmann, Peter. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2023:q:2:a:7.

Full description at Econpapers || Download paper

2023The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model. (2023). Erer, Deniz. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2023:i:38:p:105-126.

Full description at Econpapers || Download paper

2023Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2023). Tomanova, Petra ; Hol, Vladimir. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-021-10210-w.

Full description at Econpapers || Download paper

2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Reproducibility, Management Science ; Katok, Elena ; Fiar, Milo. In: OSF Preprints. RePEc:osf:osfxxx:mydzv.

Full description at Econpapers || Download paper

2023Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72..

Full description at Econpapers || Download paper

2023Alternative risk premium: specification noise. (2023). Fabozzi, Frank J ; Gorman, Stephen A. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00327-y.

Full description at Econpapers || Download paper

2023The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure. (2023). Umar, Zaghum ; Escribano, Ana ; Jareo, Francisco. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-022-01500-1.

Full description at Econpapers || Download paper

2023Modeling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India. (2023). Ledwani, Sanket ; Iyer, Vishwanathan ; Chakraborty, Suman. In: MPRA Paper. RePEc:pra:mprapa:117067.

Full description at Econpapers || Download paper

2023Managing Overreaction During a Run. (2023). Machado, Caio. In: MPRA Paper. RePEc:pra:mprapa:117896.

Full description at Econpapers || Download paper

2023Exploring Systemic Risk Measurement Issues in Shadow Banks: A Case of an Emerging Economy. (2023). Pati, Ambika Prasad ; Bhattacharjee, Nandita. In: South Asian Journal of Macroeconomics and Public Finance. RePEc:sae:smppub:v:12:y:2023:i:2:p:186-217.

Full description at Econpapers || Download paper

2023Impact of public news sentiment on stock market index return and volatility. (2023). Corazza, Marco ; Costola, Michele ; Anese, Gianluca ; Pelizzon, Loriana. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00454-2.

Full description at Econpapers || Download paper

2023Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1.

Full description at Econpapers || Download paper

2023Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework. (2023). Zhou, Wei-Xing ; Jawadi, Fredj ; Xu, Hai-Chuan. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02338-x.

Full description at Econpapers || Download paper

2023Stock profiling using time–frequency-varying systematic risk measure. (2023). Mestre, Roman. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00457-7.

Full description at Econpapers || Download paper

2023A class of Minimum Distance Estimators in Markovian Multiplicative Error Models. (2023). Balakrishna, Narayana ; Perera, Indeewara ; Koul, Hira L. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-021-00274-x.

Full description at Econpapers || Download paper

2023Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7.

Full description at Econpapers || Download paper

2023High-dimensional estimation of quadratic variation based on penalized realized variance. (2023). Podolskij, Mark ; Nielsen, Mikkel Slot ; Christensen, Kim. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:2:d:10.1007_s11203-022-09282-8.

Full description at Econpapers || Download paper

2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Reproducibility, Management Science ; Katok, Elena ; Greiner, Ben ; Fiar, Milo. In: Department for Strategy and Innovation Working Paper Series. RePEc:wiw:wus055:57814527.

Full description at Econpapers || Download paper

2023Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions. (2023). Huang, Chuangxia ; Yang, Xiaoguang ; Liu, Hong ; Chen, Shan. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1201-1213.

Full description at Econpapers || Download paper

2023Forecasting realized volatility of Bitcoin: The informative role of price duration. (2023). Tabche, Ibrahim ; Slim, Skander ; Karathanasopoulos, Andreas ; Osman, Mohamed ; Koubaa, Yosra. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1909-1929.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]		paper56
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 56		paper
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 56		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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 56		paper
2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty In: Papers.
[Full Text][Citation analysis]		paper13
2019Large-scale portfolio allocation under transaction costs and model uncertainty.(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2017Large-scale portfolio allocation under transaction costs and model uncertainty.(2017) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2021Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading In: Papers.
[Full Text][Citation analysis]		paper0
2020Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading.(2020) In: Applied Mathematical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2023Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets In: Papers.
[Full Text][Citation analysis]		paper4
2022HARNet: A Convolutional Neural Network for Realized Volatility Forecasting In: Papers.
[Full Text][Citation analysis]		paper2
2022HARNet: A convolutional neural network for realized volatility forecasting.(2022) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2014Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper18
2019Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence.(2019) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		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 nother version. Agregated cites: 18		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]		paper100
2009Modelling financial high frequency data using point processes.(2009) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 100		paper
2006Modelling Financial High Frequency Data Using Point Processes.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 100		paper
2007Modelling Financial High Frequency Data Using Point Processes.(2007) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 100		paper
2006Stochastic conditional intensity processes In: LIDAM Reprints CORE.
[Full Text][Citation analysis]		paper47
2006Stochastic Conditional Intensity Processes.(2006) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 47		article
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]		article32
2004Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery.(2004) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
2004Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery.(2004) In: FRU Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
2004Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery.(2004) In: CFR Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
2010The impact of macroeconomic news on quote adjustments, noise and informational volatility In: Working Papers ECARES.
[Full Text][Citation analysis]		paper38
2011The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		article
2010The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility.(2010) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2011The impact of macroeconomic news on quote adjustments, noise and informational volatility.(2011) In: ULB Institutional Repository.
[Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2011The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: CFR Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2010The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2010) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		paper
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]		article30
2010Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model.(2010) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		paper
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]		article24
2007Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model.(2007) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		paper
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]
This paper has nother version. Agregated cites: 24		paper
2012The market impact of a limit order In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article60
2009The Market Impact of a Limit Order.(2009) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 60		paper
2009The market impact of a limit order.(2009) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 60		paper
2022Local mispricing and microstructural noise: A parametric perspective In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
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]		article100
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		paper
2009Modelling and forecasting liquidity supply using semiparametric factor dynamics.(2009) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		paper
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]		article15
1999Volatility Estimation on the Basis of Price Intensities.(1999) In: CoFE Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2007Modelling the buy and sell intensity in a limit order book market In: Journal of Financial Markets.
[Full Text][Citation analysis]		article38
2016Systemic risk spillovers in the European banking and sovereign network In: Journal of Financial Stability.
[Full Text][Citation analysis]		article73
2014Systemic risk spillovers in the European banking and sovereign network.(2014) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 73		paper
2016Systemic risk spillovers in the European banking and sovereign network.(2016) In: Working Paper Series in Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 73		paper
2014Forecasting systemic impact in financial networks In: International Journal of Forecasting.
[Full Text][Citation analysis]		article48
2013Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 48		paper
2012Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article12
2009Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields.(2009) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2019How effective are trading pauses? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article20
2017How effective are trading pauses?.(2017) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2008Price Adjustment to News with Uncertain Precision.(2008) In: FRU Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2008Price adjustment to news with uncertain precision.(2008) In: CFR Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2011Price adjustment to news with uncertain precision.(2011) In: CFR Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2008Price adjustment to news with uncertain precision.(2008) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper10
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
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
2009A blocking and regularization approach to high dimensional realized covariance estimation In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper65
2012A blocking and regularization approach to high?dimensional realized covariance estimation.(2012) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		article
2009A blocking and regularization approach to high dimensional realized covariance estimation.(2009) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		paper
2009Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2009Quantifying high-frequency market reactions to real-time news sentiment announcements.(2009) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2010Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper40
2013Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2013) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		article
2014Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2014) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		article
2010Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2010) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2011Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2011) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2011Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper13
2013Predicting Bid–Ask Spreads Using Long?Memory Autoregressive Conditional Poisson Models.(2013) In: Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
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]		paper22
2011The merit of high-frequency data in portfolio allocation.(2011) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2011Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper217
2012Financial Network Systemic Risk Contributions.(2012) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 217		paper
2015Financial Network Systemic Risk Contributions.(2015) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 217		article
2013Financial network systemic risk contributions.(2013) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 217		paper
2012On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper10
2012On the dark side of the market: Identifying and analyzing hidden order placements.(2012) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2012Local Adaptive Multiplicative Error Models for High-Frequency Forecasts In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper23
2015Local Adaptive Multiplicative Error Models for High?Frequency Forecasts.(2015) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		article
2012Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2013Copula-based dynamic conditional correlation multiplicative error processes.(2013) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
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]		paper36
2015Do High?Frequency Data Improve High?Dimensional Portfolio Allocations?.(2015) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		article
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
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.
[Full Text][Citation analysis]		paper8
2004A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market.(2004) In: FRU Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2004A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market.(2004) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 44		article
2008Order aggressiveness and order book dynamics.(2008) In: Studies in Empirical Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 44		chapter
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: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1
2003Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities In: 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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
2003Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations In: Journal of Asset Management.
[Full Text][Citation analysis]		article1
2017Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? In: Rationality and Competition Discussion Paper Series.
[Full Text][Citation analysis]		paper0
2014Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?.(2014) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2012Econometrics of Financial High-Frequency Data In: Springer Books.
[Citation analysis]		book45
2014Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth In: University of East Anglia Applied and Financial Economics Working Paper Series.
[Full Text][Citation analysis]		paper0
2020Multivariate dynamic intensity peaks?over?threshold models In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article5
2015Multivariate dynamic intensity peaks-over-threshold models.(2015) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
1999Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions In: Finance.
[Full Text][Citation analysis]		paper3
1999Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions.(1999) In: CoFE Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2017Volatility, information feedback and market microstructure noise: A tale of two regimes In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper2
2017The ambivalent role of high-frequency trading in turbulent market periods In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper6
2017Counterparty credit limits: An effective tool for mitigating counterparty risk? In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper2
2018Limits to arbitrage in markets with stochastic settlement latency In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper3
2019Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect? In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper0
2000Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model In: CoFE Discussion Papers.
[Full Text][Citation analysis]		paper3
2001Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities In: CoFE Discussion Papers.
[Full Text][Citation analysis]		paper0
2002Modelling Intraday Trading Activity Using Box-Cox-ACD Models In: CoFE Discussion Papers.
[Full Text][Citation analysis]		paper6
2001Shirking or mismatch? Coach-team separation in German professional soccer In: Discussion Papers, Series I.
[Full Text][Citation analysis]		paper3
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.
[Full Text][Citation analysis]		paper0
2001A mean variance king? Creation and resolution of uncertainty under the employment reports reign In: ZEW Discussion Papers.
[Full Text][Citation analysis]		paper2

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2024. Contact: CitEc Team