Nikolaus Hautsch : Citation Profile


Are you Nikolaus Hautsch?

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

17

H index

24

i10 index

779

Citations

RESEARCH PRODUCTION:

29

Articles

91

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 41
   Journals where Nikolaus Hautsch has often published
   Relations with other researchers
   Recent citing documents: 145.    Total self citations: 55 (6.59 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha10
   Updated: 2019-10-06    RAS profile: 2019-04-08    
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Relations with other researchers


Works with:

Schienle, Melanie (6)

Malec, Peter (4)

Schaumburg, Julia (3)

Peltonen, Tuomas (3)

Horst, Ulrich (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 (29)

Gallo, Giampiero (24)

Brownlees, Christian (19)

Barigozzi, Matteo (17)

Engle, Robert (16)

McAleer, Michael (16)

Caporin, Massimiliano (16)

Horst, Ulrich (14)

Schienle, Melanie (13)

Cipollini, Fabrizio (12)

Lucas, Andre (10)

Cites to:

Engle, Robert (76)

Diebold, Francis (34)

Härdle, Wolfgang (34)

Bollerslev, Tim (33)

Shephard, Neil (25)

Bauwens, Luc (22)

Gallo, Giampiero (22)

Veredas, David (21)

Cipollini, Fabrizio (18)

Hall, Anthony (17)

Rudebusch, Glenn (16)

Main data


Where Nikolaus Hautsch has published?


Journals with more than one article published# docs
Journal of Empirical Finance4
Journal of Financial Econometrics4
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)26
FRU Working Papers / University of Copenhagen. Department of Economics. Finance Research Unit7
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)4
Papers / arXiv.org3
Discussion Papers / University of Copenhagen. Department of Economics2

Recent works citing Nikolaus Hautsch (2019 and 2018)


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

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2018State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko ; Morariu-Patrichi, Maxime . In: CREATES Research Papers. RePEc:aah:create:2018-26.

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2018Realizing Correlations Across Asset Classes. (2018). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37.

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

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2018Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). 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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2018A String Model of Liquidity in Financial Markets. (2018). 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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2018Dynamic and granular loss reserving with copulae. (2018). MacIak, Mat'Uvs ; Pevsta, Michal ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:1801.01792.

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2019Market Impact: A systematic study of limit orders. (2018). Said, Emilio ; Paribas, Bnp ; Markets, Global ; Fr'ed'eric Abergel, ; Ayed, Hadj ; Bel, Ahmed ; Husson, Alexandre ; Hadj, Ahmed Bel. In: Papers. RePEc:arx:papers:1802.08502.

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2018Theoretical and empirical analysis of trading activity. (2018). Pohl, Mathias ; Tangpi, Ludovic ; Schachermayer, Walter ; Ristig, Alexander . In: Papers. RePEc:arx:papers:1803.04892.

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2019A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2018). Buccheri, Giuseppe ; Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:1803.04894.

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2018News-based trading strategies. (2018). Feuerriegel, Stefan ; Prendinger, Helmut . In: Papers. RePEc:arx:papers:1807.06824.

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2018Modeling Nelson-Siegel Yield Curve using Bayesian Approach. (2018). Das, Sourish. In: Papers. RePEc:arx:papers:1809.06077.

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

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2018General Compound Hawkes Processes in Limit Order Books. (2018). Swishchuk, Anatoliy ; Huffman, Aiden. In: Papers. RePEc:arx:papers:1812.02298.

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

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2017A network analysis of the volatility of high dimensional financial series. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:3:p:581-605.

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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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2018Non-Performing Loans, Cost of Capital, and Lending Supply: Lessons from the Eurozone Banking Crisi. (2018). Chiesa, G ; Mansilla-Fernandez, J M. In: Working Papers. RePEc:bol:bodewp:wp1124.

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2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

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2018Formation of Market Beliefs in the Oil Market. (2018). Anatolyev, Stanislav ; Selezneva, Veronika . In: CERGE-EI Working Papers. RePEc:cer:papers:wp619.

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2017How does information disclosure affect liquidity? Evidence from an Emerging Market. (2017). Agudelo, Diego A ; Arango, Ignacio. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016944.

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2017How does information disclosure affect liquidity?Evidence from an Emerging Market. (2017). Agudelo, Diego ; Arango, Ignacio. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016990.

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2018LASSO-Driven Inference in Time and Space. (2018). Härdle, Wolfgang ; Chernozhukov, Victor ; Wang, W ; Huang, C ; Hardle, W K. In: Working Papers. RePEc:cty:dpaper:18/04.

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2018Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions. (2018). Geraci, Marco Valerio ; Gnabo, Jean-Yves. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:53:y:2018:i:03:p:1371-1390_00.

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2019A Microstructure Study of Circuit Breakers in the Chinese Stock Markets. (2019). Xu, Kuan ; Zhang, Hao ; Wang, Steven Shuye . In: Working Papers. RePEc:dal:wpaper:daleconwp2019-02.

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2018Do information contagion and business model similarities explain bank credit risk commonalities?. (2018). Lelyveld, Iman ; Schaumburg, Julia ; van Lelyveld, Iman ; Wang, Dieter . In: DNB Working Papers. RePEc:dnb:dnbwpp:619.

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2019Modeling financial durations using penalized estimating functions. (2019). Zhang, Yaohua ; Thavaneswaran, Aerambamoorthy ; Ravishanker, Nalini ; Zou, Jian. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:131:y:2019:i:c:p:145-158.

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2019Measuring network systemic risk contributions: A leave-one-out approach. (2019). Tokpavi, Sessi ; Lucotte, Yannick ; Hue, Sullivan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:86-114.

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2018Optimal order execution using hidden orders. (2018). Chen, Yuanyuan ; Li, Duan ; Gao, Xuefeng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:89-116.

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2018A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets. (2018). Gong, Yuting ; Liang, Jufang ; Chen, Qiang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:586-598.

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2018Does investor attention matter? The attention-return relationships in FX markets. (2018). Yin, Libo ; Xu, Yang ; Han, Liyan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:644-660.

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2018High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

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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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2018Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach. (2018). Clements, Adam ; Herrera, Rodrigo ; Gonzalez, Sergio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:70-88.

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2017What drives the sensitivity of limit order books to company announcement arrivals?. (2017). Siikanen, Milla ; Luoma, Arto ; Kanniainen, Juho. In: Economics Letters. RePEc:eee:ecolet:v:159:y:2017:i:c:p:65-68.

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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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2017On high frequency estimation of the frictionless price: The use of observed liquidity variables. (2017). Chaker, Selma . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:127-143.

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2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:71-91.

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2019Tail event driven networks of SIFIs. (2019). Chen, Cathy Yi-Hsuan ; Okhrin, Yarema ; Hardle, Wolfgang Karl. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:282-298.

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2019Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data. (2019). Dai, Chaoxing ; Xiu, Dacheng ; Lu, Kun. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:43-79.

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2019Estimating the integrated volatility with tick observations. (2019). Jacod, Jean ; Zheng, Xinghua ; Li, Yingying. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:80-100.

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2019Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

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2019Structured volatility matrix estimation for non-synchronized high-frequency financial data. (2019). Kim, Donggyu ; Fan, Jianqing. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:61-78.

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2019Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2019). Winkelmann, Lars ; Neely, Christopher ; Bibinger, Markus. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:158-184.

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:289-337.

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2019Modeling systemic risk with Markov Switching Graphical SUR models. (2019). Guidolin, Massimo ; Billio, Monica ; Bianchi, Daniele ; Casarin, Roberto. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:58-74.

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

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2018Copula based multivariate semi-Markov models with applications in high-frequency finance. (2018). Damico, Guglielmo ; Petroni, Filippo. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:2:p:765-777.

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2018Interconnectedness and systemic risk of Chinas financial institutions. (2018). Wang, Gang-Jin ; Stanley, Eugene H ; Xie, Chi ; Lin, Min ; Jiang, Zhi-Qiang. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:1-18.

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2018Systemic risk network of Chinese financial institutions. (2018). Fang, Libing ; Yu, Honghai ; Li, Huijing ; Sun, Boyang. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:190-206.

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2018lCARE - localizing conditional autoregressive expectiles. (2018). Xu, Xiu ; Hardle, Wolfgang Karl ; Mihoci, Andrija . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:198-220.

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2018Forecasting the term structure of option implied volatility: The power of an adaptive method. (2018). Niu, Linlin ; Han, Qian ; Chen, Ying. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:157-177.

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2018Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

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2018EU ETS facets in the net: Structure and evolution of the EU ETS network. (2018). Borghesi, Simone ; Flori, Andrea. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:602-635.

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2019Does OPEC news sentiment influence stock returns of energy firms in the United States?. (2019). Banerjee, Rajabrata ; Gupta, Kartick. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:34-45.

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2019Identifying the peak point of systemic risk in international crude oil importing trade. (2019). Dong, Gaogao ; Du, Ruijin ; Stanley, Eugene H ; Zhang, Xin ; Zhao, Longfeng ; Wang, Yougui ; Tian, Lixin. In: Energy. RePEc:eee:energy:v:176:y:2019:i:c:p:281-291.

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2017Money market funds, shadow banking and systemic risk in United Kingdom. (2017). BELLAVITE PELLEGRINI, CARLO ; 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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2018Network topology and systemic risk: Evidence from the Euro Stoxx market. (2018). Li, Wenwei ; Paterlini, Sandra ; Hommel, Ulrich. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:105-112.

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2019Risk spillovers between large banks and the financial sector: Asymmetric evidence from Europe. (2019). Arreola-Hernandez, Jose ; van Hoang, Thi Hong ; Hussain, Syed Jawad. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:153-159.

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2018The microstructure of a U.S. Treasury ECN: The BrokerTec platform. (2018). Fleming, Michael ; Nguyen, Giang ; Mizrach, Bruce. In: Journal of Financial Markets. RePEc:eee:finmar:v:40:y:2018:i:c:p:2-22.

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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). Brownlees, Christian ; Abbassi, Puriya ; Podlich, Natalia ; Hans, Christina . In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:1-12.

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2018Syndication, interconnectedness, and systemic risk. (2018). Cai, Jian ; Steffen, Sascha ; Saunders, Anthony ; Eidam, Frederik. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:105-120.

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2018Network linkages to predict bank distress. (2018). Constantin, Andreea ; Sarlin, Peter ; Peltonen, Tuomas A. In: Journal of Financial Stability. RePEc:eee:finsta:v:35:y:2018:i:c:p:226-241.

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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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2018Something in the air: Information density, news surprises, and price jumps. (2018). Füss, Roland ; Stein, Michael ; Mager, Ferdinand ; Grabellus, Markus ; Fuss, Roland ; ROLAND FSS, . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:50-75.

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2018Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?. (2018). Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhao, Longfeng ; Xie, Chi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:57:y:2018:i:c:p:205-230.

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2019Liquidity withdrawal in the FX spot market: A cross-country study using high-frequency data. (2019). Stenfors, Alexis ; Susai, Masayuki. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:59:y:2019:i:c:p:36-57.

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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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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:958-969.

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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:25-44.

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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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2018Distilling liquidity costs from limit order books. (2018). Amaya, Diego ; Roch, Alexandre F ; Okou, Cedric ; Filbien, Jean-Yves . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:16-34.

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2017Informed trading and price discovery before corporate events. (2017). Baruch, Shmuel ; Venkataraman, Kumar ; Panayides, Marios. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:561-588.

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2017Systemic co-jumps. (2017). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Aleksey. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:563-591.

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2018Why do some banks contribute more to global systemic risk?. (2018). Bostandzic, Denefa . In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:35:y:2018:i:pa:p:17-40.

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2018Systemic risk and bank size. (2018). Varotto, Simone ; Zhao, Lei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:82:y:2018:i:c:p:45-70.

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2018Sovereign bond holdings and monetary policy operations in the euro area. (2018). , Ivo ; Soederhuizen, Beau. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:40:y:2018:i:6:p:1243-1254.

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2019The exact solution of spatial logit response games. (2019). Ioannides, Yannis ; Konno, Tomohiko. In: Mathematical Social Sciences. RePEc:eee:matsoc:v:97:y:2019:i:c:p:1-10.

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2017News sentiment and jumps in energy spot and futures markets. (2017). Dokumentov, Alexander ; Rotaru, Kristian ; Maslyuk-Escobedo, Svetlana. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:186-210.

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2018Forecasting the CNY-CNH pricing differential: The role of investor attention. (2018). Yin, Libo ; Han, Liyan ; Xu, Yang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:49:y:2018:i:c:p:232-247.

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2019Speed and trading behavior in an order-driven market. (2019). Park, Seongkyu (Gilbert) ; Ryu, Doojin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:145-164.

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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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2018Early warning model based on correlated networks in global crude oil markets. (2018). Xie, Wen-Jie ; Yu, Jia-Wei ; Jiang, Zhi-Qiang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1335-1343.

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2018A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility. (2018). Ko, Bonggyun ; Song, Jae Wook. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:398-412.

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2018A return spillover network perspective analysis of Chinese financial institutions’ systemic importance. (2018). Huang, Wei-qiang ; Wang, Dan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:405-421.

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2018Internet attention and information asymmetry: Evidence from Qihoo 360 search data on the Chinese stock market. (2018). Gao, Yang ; Liu, Chao ; Wang, Chao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:802-811.

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2018Systemic risk, interconnectedness, and non-core activities in Taiwan insurance industry. (2018). Chang, Carolyn W ; Yu, Min-Teh ; Li, Xiaodan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:273-284.

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2017Edgeworth expansion for the pre-averaging estimator. (2017). Veliyev, Bezirgen ; Yoshida, Nakahiro ; Podolskij, Mark. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3558-3595.

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2017A network analysis of the volatility of high-dimensionalfinancial series. (2017). Hallin, Marc ; Barigozzi, Matteo. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:67456.

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2018Nets: network estimation for time series. (2018). Brownlees, Christian T ; Barigozzi, Matteo. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:90493.

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2017Macroeconomic fundamentals and latent factor of the EU yield curve. (2017). Acatrinei, Marius . In: EIOPA Financial Stability Report - Thematic Articles. RePEc:eio:thafsr:11.

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2017Trader Positions and Marketwide Liquidity Demand. (2017). Onur, Esen ; Tuzun, Tugkan ; Roberts, John S. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-103.

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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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This paper has another version. Agregated cites: 33
paper
2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty In: Papers.
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paper0
2017Large-scale portfolio allocation under transaction costs and model uncertainty.(2017) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 0
paper
2017Counterparty credit limits: An effective tool for mitigating counterparty risk? In: Papers.
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paper0
2017Counterparty credit limits: An effective tool for mitigating counterparty risk?.(2017) In: CFS Working Paper Series.
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paper
2018Limits to Arbitrage in Markets with Stochastic Settlement Latency In: Papers.
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paper0
2018Limits to arbitrage in markets with stochastic settlement latency.(2018) 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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This paper has another version. Agregated cites: 1
paper
2014Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence In: Cambridge Working Papers in Economics.
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paper4
2014Estimating the spot covariation of asset prices: Statistical theory and empirical evidence.(2014) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 4
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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paper22
2009Modelling financial high frequency data using point processes.(2009) 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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This paper has another version. Agregated cites: 22
paper
2006Stochastic conditional intensity processes In: CORE Discussion Papers RP.
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paper39
2006Stochastic Conditional Intensity Processes.(2006) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 39
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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article21
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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paper26
2011The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: Journal of Banking & Finance.
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article
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.
[Citation analysis]
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paper
2011The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: CFR Working Papers.
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paper
2010The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2010) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 26
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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article28
2010Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model.(2010) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 28
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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article17
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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This paper has another version. Agregated cites: 17
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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This paper has another version. Agregated cites: 17
paper
2012The market impact of a limit order In: Journal of Economic Dynamics and Control.
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article32
2009The Market Impact of a Limit Order.(2009) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 32
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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article57
2012Modelling and forecasting liquidity supply using semiparametric factor dynamics In: Journal of Empirical Finance.
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article17
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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This paper has another version. Agregated cites: 17
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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article9
2007Modelling the buy and sell intensity in a limit order book market In: Journal of Financial Markets.
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article33
2016Systemic risk spillovers in the European banking and sovereign network In: Journal of Financial Stability.
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article16
2014Systemic risk spillovers in the European banking and sovereign network.(2014) In: CFS Working Paper Series.
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paper
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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article29
2013Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 29
paper
2012Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields In: Journal of Banking & Finance.
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article6
2009Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields.(2009) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 6
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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article15
2019How effective are trading pauses? In: Journal of Financial Economics.
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article1
2017How effective are trading pauses?.(2017) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 1
paper
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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paper
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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paper
2011Price adjustment to news with uncertain precision.(2011) In: CFR Working Papers.
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paper
2008Price adjustment to news with uncertain precision.(2008) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 2
paper
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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paper4
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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paper42
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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This paper has another version. Agregated cites: 42
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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article
2014Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2014) In: Journal of Financial Econometrics.
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article
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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paper8
2013Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models.(2013) In: Journal of Forecasting.
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article
2011Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data In: SFB 649 Discussion Papers.
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paper16
2011The Merit of High-Frequency Data in Portfolio Allocation In: SFB 649 Discussion Papers.
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paper20
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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paper97
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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This paper has another version. Agregated cites: 97
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2013Financial network systemic risk contributions.(2013) In: CFS Working Paper Series.
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paper
2012On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements In: SFB 649 Discussion Papers.
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paper7
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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This paper has another version. Agregated cites: 15
article
2012Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes In: SFB 649 Discussion Papers.
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paper0
2013Copula-based dynamic conditional correlation multiplicative error processes.(2013) In: CFS Working Paper Series.
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paper
2012Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series In: SFB 649 Discussion Papers.
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paper0
2013Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? In: SFB 649 Discussion Papers.
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paper13
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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paper27
2014Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models In: SFB 649 Discussion Papers.
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paper1
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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paper3
2004A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market In: Discussion Papers.
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paper7
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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paper0
2004Order Aggressiveness and Order Book Dynamics In: FRU Working Papers.
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paper38
2006Order aggressiveness and order book dynamics.(2006) In: Empirical Economics.
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article
2006Testing the Conditional Mean Function of Autoregressive Conditional Duration Models In: FRU Working Papers.
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paper3
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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article6
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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article3
2017Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? In: Rationality and Competition Discussion Paper Series.
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paper0
2014Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?.(2014) In: CFS Working Paper Series.
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2014Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth In: University of East Anglia Applied and Financial Economics Working Paper Series.
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paper0
1999Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions In: Finance.
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paper3
2015Multivariate dynamic intensity peaks-over-threshold models In: CFS Working Paper Series.
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paper1
2017Volatility, information feedback and market microstructure noise: A tale of two regimes In: CFS Working Paper Series.
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paper1
2017The ambivalent role of high-frequency trading in turbulent market periods In: CFS Working Paper Series.
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paper1
2001Shirking or mismatch? Coach-team separation in German professional soccer In: Discussion Papers, Series I.
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2017Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking.
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paper0
2001A mean variance king? Creation and resolution of uncertainty under the employment reports reign In: ZEW Discussion Papers.
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