Nikolaus Hautsch : Citation Profile


Are you Nikolaus Hautsch?

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

15

H index

23

i10 index

590

Citations

RESEARCH PRODUCTION:

27

Articles

82

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   18 years (1999 - 2017). See details.
   Cites by year: 32
   Journals where Nikolaus Hautsch has often published
   Relations with other researchers
   Recent citing documents: 103.    Total self citations: 49 (7.67 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha10
   Updated: 2017-09-23    RAS profile: 2017-08-16    
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Relations with other researchers


Works with:

Schienle, Melanie (8)

Malec, Peter (7)

Schaumburg, Julia (5)

Härdle, Wolfgang (3)

Mihoci, Andrija (3)

Horst, Ulrich (2)

Peltonen, Tuomas (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 (22)

Gallo, Giampiero (22)

Brownlees, Christian (17)

McAleer, Michael (16)

Horst, Ulrich (14)

Engle, Robert (14)

Caporin, Massimiliano (13)

Barigozzi, Matteo (13)

Cipollini, Fabrizio (12)

Schienle, Melanie (9)

Allen, David (9)

Cites to:

Engle, Robert (75)

Härdle, Wolfgang (32)

Diebold, Francis (32)

Bollerslev, Tim (29)

Gallo, Giampiero (22)

Bauwens, Luc (22)

Cipollini, Fabrizio (18)

Hall, Anthony (17)

Veredas, David (17)

Rudebusch, Glenn (16)

Andersen, Torben (14)

Main data


Where Nikolaus Hautsch has published?


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

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)22
FRU Working Papers / University of Copenhagen. Department of Economics. Finance Research Unit7
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 (2017 and 2016)


YearTitle of citing document
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: CREATES Research Papers. RePEc:aah:create:2016-10.

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2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2017-30.

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2016Adaptive local parametric estimation of crop yields: implication for crop insurance ratemaking. (2016). Shen, Zhiwei . In: 156th Seminar, October 4, 2016, Wagenigen, The Netherlands. RePEc:ags:eaa156:249984.

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2016EU ETS Facets in the Net: How Account Types Influence the Structure of the System. (2016). Borghesi, Simone ; Flori, Andrea . In: MITP: Mitigation, Innovation,and Transformation Pathways. RePEc:ags:feemmi:232214.

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2016Hydrodynamic limit of order book dynamics. (2016). Dieker, A. B. ; Gao, Xuefeng ; Deng, S. J. ; Dai, J. G.. In: Papers. RePEc:arx:papers:1411.7502.

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2016A weak law of large numbers for a limit order book model with fully state dependent order dynamics. (2016). Horst, Ulrich ; Kreher, Dorte . In: Papers. RePEc:arx:papers:1502.04359.

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2016Principal Components Analysis for Semimartingales and Stochastic PDE. (2016). Ohashi, Alberto ; Simas, Alexandre B. In: Papers. RePEc:arx:papers:1503.05909.

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2017Law on the Market? Abnormal Stock Returns and Supreme Court Decision-Making. (2017). Katz, Daniel Martin ; Chen, James Ming ; Soellinger, Tyler ; Bommarito, Michael J. In: Papers. RePEc:arx:papers:1508.05751.

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2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118.

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2017Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2017). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

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2017Limit-order book resiliency after effective market orders: Spread, depth and intensity. (2017). Xu, Hai-Chuan ; Zhou, Wei-Xing ; Zhang, Wei ; Xiong, Xiong ; Chen, Wei . In: Papers. RePEc:arx:papers:1602.00731.

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2016Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:1604.01338.

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2016Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall. (2016). Palestini, Arsen ; Cerqueti, Roy ; Mauro, Bernardi . In: Papers. RePEc:arx:papers:1608.02365.

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2016A String Model of Liquidity in Financial Markets. (2016). Schellhorn, Henry ; Zhao, Ran . In: Papers. RePEc:arx:papers:1608.05900.

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2017Estimation for the Prediction of Point Processes with Many Covariates. (2017). Sancetta, Alessio . In: Papers. RePEc:arx:papers:1702.05315.

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2017Order Flows and Limit Order Book Resiliency on the Meso-Scale. (2017). Bechler, Kyle ; Ludkovski, Michael . In: Papers. RePEc:arx:papers:1708.02715.

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2016Information in the Term Structure of Yield Curve Volatility. (2016). Cieslak, Anna ; Povala, Pavol . In: Journal of Finance. RePEc:bla:jfinan:v:71:y:2016:i:3:p:1393-1436.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist . In: Bank of England working papers. RePEc:boe:boeewp:0660.

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2016Spline-DCS for Forecasting Trade Volume in High-Frequency Finance. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1606.

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2016A Semiparametric Intraday GARCH Model. (2016). Malec, Peter. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1633.

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2016Macroeconomic Policies Interaction & the Symmetry of Financial Markets’ Responses. (2016). Yago, Milton ; Soliman, Alaa ; Nasir, Muhammad ; Wu, Junjie . In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:5:y:2016:i:1:p:53-69.

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2016Spatial Labour Market Matching. (2016). Pater, Robert ; Gałecka-Burdziak, Ewa ; Antczak, Elzbieta ; Galecka-Burdziak, Ewa . In: CERGE-EI Working Papers. RePEc:cer:papers:wp578.

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2016Bootstrapping pre-averaged realized volatility under market microstructure noise. (2016). Goncalves, Silvia ; Meddahi, Nour ; Gonalves, Silvia ; Hounyo, Ulrich . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-25.

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2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan ; Nucera, Federico . In: Working Paper Series. RePEc:ecb:ecbwps:20161875.

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2016Bank networks from text: interrelations, centrality and determinants. (2016). Ronnqvist, Samuel ; Sarlin, Peter . In: Working Paper Series. RePEc:ecb:ecbwps:20161876.

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2016Is the intrinsic value of macroeconomic news announcements related to their asset price impact?. (2016). Strasser, Georg ; Scotti, Chiara ; Vega, Clara . In: Working Paper Series. RePEc:ecb:ecbwps:20161882.

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2016Price drift before U.S. macroeconomic news: private information about public announcements?. (2016). Strasser, Georg ; Kurov, Alexander ; Wolfe, Marketa ; Sancetta, Alessio . In: Working Paper Series. RePEc:ecb:ecbwps:20161901.

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2016Media-expressed negative tone and firm-level stock returns. (2016). Kearney, Colm ; Hutson, Elaine ; Liu, Sha ; Han, Jingguang ; Ahmad, Khurshid . In: Journal of Corporate Finance. RePEc:eee:corfin:v:37:y:2016:i:c:p:152-172.

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2016Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

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2016Diagnostic checking of the vector multiplicative error model. (2016). Ng, F C ; Li, W K. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:94:y:2016:i:c:p:86-97.

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2017Informativeness of the market news sentiment in the Taiwan stock market. (2017). Hsu, Yen-Ju ; Chen, Jen-Nan ; Wei, Yu-Chen ; Lu, Yang-Cheng . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:158-181.

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2016Basic capability effect: Collective management of pastoral resources in southwestern Kenya. (2016). Kihiu, Evelyne Nyathira . In: Ecological Economics. RePEc:eee:ecolec:v:123:y:2016:i:c:p:23-34.

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2016Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers. (2016). Escribano, Alvaro ; Blazsek, Szabolcs. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:145-163.

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2016Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error. (2016). LINTON, OLIVER ; Park, Sujin ; Hong, Seok Young . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:2:p:325-347.

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2016Bayesian semiparametric modeling of realized covariance matrices. (2016). Maheu, John ; Jin, Xin . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:19-39.

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2016TENET: Tail-Event driven NETwork risk. (2016). Härdle, Wolfgang ; Yu, Lining ; Wang, Weining ; Hardle, Wolfgang Karl . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:499-513.

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2016Kernel estimation of hazard functions when observations have dependent and common covariates. (2016). Wolter, James Lewis . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:1-16.

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2016A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous. (2016). Ikeda, Shin. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:203-214.

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2016High-dimensional copula-based distributions with mixed frequency data. (2016). Patton, Andrew ; Oh, Donghwan . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:349-366.

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2016A nonparametric test of a strong leverage hypothesis. (2016). LINTON, OLIVER ; Yen, Yu-Min ; Whang, Yoon-Jae . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:153-186.

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2016Increased correlation among asset classes: Are volatility or jumps to blame, or both?. (2016). Ait-Sahalia, Yacine ; Xiu, Dacheng . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:205-219.

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2016Copula structured M4 processes with application to high-frequency financial data. (2016). Zhang, Zhengjun ; Zhu, Bin . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:231-241.

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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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2017Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:130-152.

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2017Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:245-272.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2017From bond yield to macroeconomic instability: A parsimonious affine model. (2017). Recchioni, Maria Cristina ; Tedeschi, Gabriele . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1116-1135.

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2016A network approach to portfolio selection. (2016). Zareei, Abalfazl ; Peralta, Gustavo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:157-180.

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2016News sentiment and bank credit risk. (2016). Smales, Lee. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:37-61.

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2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan ; Nucera, Federico . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:461-475.

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2016Regional drivers of on-farm energy production in Bavaria. (2016). Schaffer, Axel ; Duvelmeyer, Claudia . In: Energy Policy. RePEc:eee:enepol:v:95:y:2016:i:c:p:361-369.

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2017Money market funds, shadow banking and systemic risk in United Kingdom. (2017). Pellegrini, Carlo Bellavite ; Urga, Giovanni ; Meoli, Michele . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:163-171.

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2017Limit order books and liquidity around scheduled and non-scheduled announcements: Empirical evidence from NASDAQ Nordic. (2017). Siikanen, Milla ; Valli, Jaakko ; Kanniainen, Juho . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:264-271.

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2016Banks and sovereign risk: A granular view. (2016). Koetter, Michael ; Buch, Claudia ; Ohls, Jana . In: Journal of Financial Stability. RePEc:eee:finsta:v:25:y:2016:i:c:p:1-15.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert . In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2017Credit risk interconnectedness: What does the market really know?. (2017). Abbassi, Puriya ; Podlich, Natalia ; Hans, Christina ; Brownlees, Christian . In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:1-12.

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2017Launching reverse-innovated product from emerging markets to MNC’s home market: A theoretical framework for MNC’s decisions. (2017). Zhu, Fengxia ; Xu, Hui ; Zou, Shaoming . In: International Business Review. RePEc:eee:iburev:v:26:y:2017:i:1:p:156-163.

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2016Systemic risk among European banks: A copula approach. (2016). Kleinow, Jacob ; Moreira, Fernando . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:42:y:2016:i:c:p:27-42.

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2017Does realized volatility help bond yield density prediction?. (2017). Shin, Minchul ; Zhong, Molin . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:373-389.

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2016Why do traders choose dark markets?. (2016). Garvey, Ryan ; Huang, Tao ; Wu, Fei . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:12-28.

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2017Network, market, and book-based systemic risk rankings. (2017). van de Leur, Michiel ; Lucas, Andre ; Seeger, Norman J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:84-90.

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2016Yardstick competition and partial coordination: Exploring the empirical distribution of local business tax rates. (2016). Büttner, Thiess ; von Schwerin, Axel ; Buettner, Thiess . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:124:y:2016:i:c:p:178-201.

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2016Common trends in global volatility. (2016). Hurn, Stan ; Clements, Adam ; Volkov, V V. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:67:y:2016:i:c:p:194-214.

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2016A semiparametric factor model for CDO surfaces dynamics. (2016). Härdle, Wolfgang ; Choro-Tomczyk, Barbara ; Okhrin, Ostap ; Hardle, Wolfgang Karl . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:146:y:2016:i:c:p:151-163.

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2016Sparse PCA-based on high-dimensional Itô processes with measurement errors. (2016). Wang, Yazhen ; Kim, Donggyu . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:152:y:2016:i:c:p:172-189.

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2016Order aggressiveness of different broker-types in response to monetary policy news. (2016). Smales, Lee. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:40:y:2016:i:pb:p:367-383.

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2016Melancholia and Japanese stock returns – 2003 to 2012. (2016). Smales, Lee ; Khuu, Joyce ; Durand, Robert B. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:40:y:2016:i:pb:p:424-437.

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2016A financial network perspective of financial institutions’ systemic risk contributions. (2016). Yao, Shuang ; Uryasev, Stan ; Zhuang, Xin-Tian . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:456:y:2016:i:c:p:183-196.

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2017Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach. (2017). Liu, Zhixue ; Gu, Huaying ; Weng, Yingliang . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:460-472.

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2017Anchoring effect on first passage process in Taiwan financial market. (2017). Liu, Hsing ; Lih, Jiann-Shing ; Ko, Jing-Yuan ; Liao, Chi-Yo . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:477:y:2017:i:c:p:114-127.

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2016A macro-finance term structure model with multivariate stochastic volatility. (2016). Laurini, Márcio ; Caldeira, Joo F. In: International Review of Economics & Finance. RePEc:eee:reveco:v:44:y:2016:i:c:p:68-90.

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2016An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series. (2016). McAleer, Michael ; Allen, David ; Singh, AK. In: Econometric Institute Research Papers. RePEc:ems:eureir:80108.

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2016EU ETS Facets in the Net: How Account Types Influence the Structure of the System. (2016). Borghesi, Simone ; Flori, Andrea . In: Working Papers. RePEc:fem:femwpa:2016.08.

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2016Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2016_04.

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2017Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_02.

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2016Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect. (2016). Sebastião, Helder ; Godinho, Pedro ; Sebastio, Helder ; Brito, Rui Pedro . In: GEMF Working Papers. RePEc:gmf:wpaper:2016-13..

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2016Time Varying Quantile Lasso. (2016). Härdle, Wolfgang ; Zbonakova, Lenka ; Wang, Weining ; Hardle, Wolfgang Karl . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-047.

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2017FRM: a Financial Risk Meter based on penalizing tail events occurrence. (2017). Härdle, Wolfgang ; Benschop, Thijs ; Borke, Lukas ; Hardle, Wolfgang Karl ; Yu, Lining . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-003.

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2017Tail event driven networks of SIFIs. (2017). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan ; Okhrin, Yarema . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-004.

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2017Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise. (2017). Goncalves, Silvia ; Meddahi, Nour ; Hounyo, Ulrich . In: IDEI Working Papers. RePEc:ide:wpaper:31734.

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2016Spatial Dependence and Data-Driven Networks of International Banks. (2016). Saldias, Martin ; Saldas, Martn ; Craig, Ben . In: IMF Working Papers. RePEc:imf:imfwpa:16/184.

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2016From bond yield to macroeconomic instability: The effect of negative interest rates. (2016). Tedeschi, Gabriele ; Recchioni, Maria Cristina . In: Working Papers. RePEc:jau:wpaper:2016/06.

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2016Intraday volatility, trading volume and trading intensity in the interbank market e-MID. (2016). Engler, Markus ; Jeleskovic, Vahidin . In: MAGKS Papers on Economics. RePEc:mar:magkse:201648.

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2017Modeling time series with zero observations. (2017). Harvey, Andrew ; Ito, Ryoko . In: Economics Papers. RePEc:nuf:econwp:1701.

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2016Forecasting Covariance Matrices: A Mixed Approach. (2016). Halbleib, Roxana ; Voev, Valeri . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:2:p:383-417..

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2016CoRisk: measuring systemic risk through default probability contagion. (2016). Parisi, Laura ; Giudici, Paolo. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0116.

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2016The multivariate nature of systemic risk: direct and common exposures. (2016). Giudici, Paolo ; Spelta, Alessandro ; Sarlin, Peter . In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0118.

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2016Bail in or Bail out? The Atlante example from a systemic risk perspective. (2016). Parisi, Laura ; Giudici, Paolo. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0124.

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2017Algorithmic Trading Behaviour and High-Frequency Liquidity Withdrawal in the FX Spot Market. (2017). Stenfors, Alexis ; Susai, Masayuki . In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2017-04.

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2017Liquidity Withdrawal in the FX Spot Market: A Cross-Country Study Using High-Frequency Data. (2017). Stenfors, Alexis ; Susai, Masayuki . In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2017-06.

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2016Models of Financial Return With Time-Varying Zero Probability. (2016). Sucarrat, Genaro ; Gronneberg, Steffen . In: MPRA Paper. RePEc:pra:mprapa:68931.

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2016Profitability and Market Quality of High Frequency Market-makers: An Empirical Investigation. (2016). Yergeau, Gabriel. In: Working Papers. RePEc:ris:crcrmw:2016_003.

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2017Portfolio choice with high frequency data: CRRA preferences and the liquidity effect. (2017). Sebastião, Helder ; Godinho, Pedro ; Sebastio, H ; Brito, R P. In: Portuguese Economic Journal. RePEc:spr:portec:v:16:y:2017:i:2:d:10.1007_s10258-017-0131-3.

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2017Time endogeneity and an optimal weight function in pre-averaging covariance estimation. (2017). Koike, Yuta . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:20:y:2017:i:1:d:10.1007_s11203-016-9135-3.

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2017SRISK: a conditional capital shortfall measure of systemic risk. (2017). Engle, Robert ; Brownlees, Christian. In: ESRB Working Paper Series. RePEc:srk:srkwps:201737.

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2016An Entropy Based Analysis of the Relationship between the DOW JONES Index and the TRNA Sentiment Series. (2016). McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160026.

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2016An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series. (2016). McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1701.

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2016ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates. (2016). Bibinger, Markus ; Linzert, Tobias . In: Journal of Applied Econometrics. RePEc:wly:japmet:v:31:y:2016:i:4:p:613-629.

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2016Systemic co-jumps. (2016). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Alexey . In: SAFE Working Paper Series. RePEc:zbw:safewp:149.

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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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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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paper
2007A Dynamic Semiparametric Proportional Hazard Model In: Studies in Nonlinear Dynamics & Econometrics.
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article1
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.
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paper1
2014Estimating the spot covariation of asset prices: Statistical theory and empirical evidence.(2014) In: CFS Working Paper Series.
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paper
2003Dynamic latent factor models for intensity processes In: CORE Discussion Papers.
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paper11
2006Modelling financial high frequency data using point processes In: CORE Discussion Papers.
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paper10
Modelling financial high frequency data using point processes.() In: CORE Discussion Papers RP.
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paper
2006Modelling Financial High Frequency Data Using Point Processes.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2007Modelling Financial High Frequency Data Using Point Processes.(2007) In: SFB 649 Discussion Papers.
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paper
1937Stochastic conditional intensity processes In: CORE Discussion Papers RP.
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paper37
2006Stochastic Conditional Intensity Processes.(2006) In: Journal of Financial Econometrics.
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article
2007Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery In: Journal of Financial and Quantitative Analysis.
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article19
2004Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery.(2004) In: Discussion Papers.
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paper
2004Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery.(2004) In: FRU Working Papers.
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paper
2004Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery.(2004) In: CFR Working Papers.
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paper
2010The impact of macroeconomic news on quote adjustments, noise and informational volatility In: Working Papers ECARES.
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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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paper
2011The impact of macroeconomic news on quote adjustments, noise and informational volatility.(2011) In: ULB Institutional Repository.
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2011The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: CFR Working Papers.
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2010The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2010) In: CFS Working Paper Series.
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paper
2000Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models In: Econometric Society World Congress 2000 Contributed Papers.
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paper1
2012Bayesian inference in a Stochastic Volatility Nelson–Siegel model In: Computational Statistics & Data Analysis.
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article25
2010Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model.(2010) In: SFB 649 Discussion Papers.
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paper
2008Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model In: Journal of Economic Dynamics and Control.
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article13
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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paper
2007Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model.(2007) In: CFS Working Paper Series.
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paper
2012The market impact of a limit order In: Journal of Economic Dynamics and Control.
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article21
2009The Market Impact of a Limit Order.(2009) In: SFB 649 Discussion Papers.
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paper
2009The market impact of a limit order.(2009) In: CFS Working Paper Series.
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paper
2011When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions In: Journal of Empirical Finance.
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article44
2012Modelling and forecasting liquidity supply using semiparametric factor dynamics In: Journal of Empirical Finance.
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article14
2009Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics.(2009) In: SFB 649 Discussion Papers.
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paper
2009Modelling and forecasting liquidity supply using semiparametric factor dynamics.(2009) In: CFS Working Paper Series.
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paper
2016Dynamic conditional correlation multiplicative error processes In: Journal of Empirical Finance.
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article4
2002Volatility estimation on the basis of price intensities In: Journal of Empirical Finance.
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article8
2007Modelling the buy and sell intensity in a limit order book market In: Journal of Financial Markets.
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article31
2016Systemic risk spillovers in the European banking and sovereign network In: Journal of Financial Stability.
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2014Systemic risk spillovers in the European banking and sovereign network.(2014) In: CFS Working Paper Series.
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2016Systemic risk spillovers in the European banking and sovereign network.(2016) In: Working Paper Series in Economics.
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paper
2014Forecasting systemic impact in financial networks In: International Journal of Forecasting.
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article16
2013Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers.
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paper
2012Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields In: Journal of Banking & Finance.
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article4
2009Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields.(2009) In: CFS Working Paper Series.
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paper
2003Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions In: Journal of Economic Behavior & Organization.
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article11
2012Price adjustment to news with uncertain precision In: Journal of International Money and Finance.
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article2
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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2008Measuring and Modeling Risk Using High-Frequency Data In: SFB 649 Discussion Papers.
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paper4
2008Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models In: SFB 649 Discussion Papers.
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paper3
2008Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia In: SFB 649 Discussion Papers.
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paper2
2008Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference In: SFB 649 Discussion Papers.
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paper0
2008Testing Multiplicative Error Models Using Conditional Moment Tests In: SFB 649 Discussion Papers.
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paper0
2009A blocking and regularization approach to high dimensional realized covariance estimation In: SFB 649 Discussion Papers.
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paper37
2012A blocking and regularization approach to high‐dimensional realized covariance estimation.(2012) In: Journal of Applied Econometrics.
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article
2009A blocking and regularization approach to high dimensional realized covariance estimation.(2009) In: CFS Working Paper Series.
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paper
2009Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements In: SFB 649 Discussion Papers.
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paper1
2009Quantifying high-frequency market reactions to real-time news sentiment announcements.(2009) In: CFS Working Paper Series.
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paper
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: 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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paper
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.
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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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paper
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.
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2013Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? In: SFB 649 Discussion Papers.
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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.
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paper19
2014Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models In: SFB 649 Discussion Papers.
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2014Efficient iterative maximum likelihood estimation of high-parameterized time series models.(2014) In: CFS Working Paper Series.
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paper
2014Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence In: SFB 649 Discussion Papers.
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paper1
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.
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2004Order Aggressiveness and Order Book Dynamics In: FRU Working Papers.
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2006Order aggressiveness and order book dynamics.(2006) In: Empirical Economics.
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2006Testing the Conditional Mean Function of Autoregressive Conditional Duration Models In: FRU Working Papers.
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2002Semiparametric autoregressive conditional proportional hazard models In: Economics Papers.
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paper1
2003Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities In: Journal of Financial Econometrics.
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article3
2002The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report In: Review of Finance.
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2017Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? In: Rationality and Competition Discussion Paper Series.
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2014Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?.(2014) In: CFS Working Paper Series.
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1999Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions In: Finance.
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2015Multivariate dynamic intensity peaks-over-threshold models In: CFS Working Paper Series.
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2017Volatility, information feedback and market microstructure noise: A tale of two regimes In: CFS Working Paper Series.
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2017How effective are trading pauses? In: CFS Working Paper Series.
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2001Shirking or mismatch? Coach-team separation in German professional soccer In: Discussion Papers, Series I.
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2001A mean variance king? Creation and resolution of uncertainty under the employment reports reign In: ZEW Discussion Papers.
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