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Nikolaus Hautsch : Citation Profile


Are you Nikolaus Hautsch?

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

16

H index

23

i10 index

630

Citations

RESEARCH PRODUCTION:

28

Articles

88

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   18 years (1999 - 2017). See details.
   Cites by year: 35
   Journals where Nikolaus Hautsch has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 54 (7.89 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha10
   Updated: 2018-02-17    RAS profile: 2017-12-16    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Malec, Peter (7)

Schienle, Melanie (7)

Schaumburg, Julia (4)

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 (25)

Gallo, Giampiero (22)

Brownlees, Christian (18)

Caporin, Massimiliano (16)

McAleer, Michael (16)

Barigozzi, Matteo (15)

Horst, Ulrich (14)

Engle, Robert (14)

Cipollini, Fabrizio (12)

Lucas, Andre (9)

Allen, David (9)

Cites to:

Engle, Robert (76)

Diebold, Francis (33)

Bollerslev, Tim (33)

Härdle, Wolfgang (32)

Bauwens, Luc (22)

Gallo, Giampiero (22)

Veredas, David (20)

Shephard, Neil (19)

Cipollini, Fabrizio (18)

Hall, Anthony (17)

Andersen, Torben (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 Banking & Finance2
Journal of Economic Dynamics and Control2
Review of 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)25
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
Papers / arXiv.org2

Recent works citing Nikolaus Hautsch (2018 and 2017)


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

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2017Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach. (2017). Barbaglia, Luca ; Wilms, Ines ; Croux, Christophe. In: Papers. RePEc:arx:papers:1708.02073.

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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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2017Computational Analysis of the structural properties of Economic and Financial Networks. (2017). Emmert-Streib, Frank ; Dehmer, Matthias ; Jodlbauer, Herbert ; Yli-Harja, Olli ; Tripathi, Shailesh ; Kanniainen, Juho ; Baltakys, Kestutis ; Musa, Aliyu. In: Papers. RePEc:arx:papers:1710.04455.

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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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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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2017An adaptive approach to forecasting three key macroeconomic variables for transitional China. (2017). Niu, Linlin ; Chen, Ying ; Xu, Xiu . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:201-213.

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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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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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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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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). Dungey, Mardi ; Yang, Xiye ; Matei, Marius ; Erdemlioglu, Deniz . In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc. 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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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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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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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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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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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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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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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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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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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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2017High-low Strategy of Portfolio Composition using Evolino RNN Ensembles. (2017). Stankeviciene, Jelena ; Maknickas, Algirdas ; Maknickiene, Nijole. In: Engineering Economics. RePEc:exl:25engi:v:28:y:2017:i:2:p:162-169.

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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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2017Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Cipollini, Fabrizio ; Gallo, Giampiero M ; Engle, Robert F. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:16-:d:95642.

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2017Building News Measures from Textual Data and an Application to Volatility Forecasting. (2017). Caporin, Massimiliano ; Poli, Francesco. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:35-:d:108901.

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2017Time-Varying Window Length for Correlation Forecasts. (2017). McCurdy, Tom ; Jeon, Yoontae . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:54-:d:122391.

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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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2017Dynamic Semiparametric Factor Model with a Common Break. (2017). Chen, Likai ; Wu, Wei Biao ; Wang, Weining. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-026.

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2017Job matching on connected regional and occupational labor markets. (2017). Fedorets, Alexandra ; Lottmann, Franziska ; Stops, Michael. In: IAB Discussion Paper. RePEc:iab:iabdpa:201735.

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

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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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2017Forecasting realized volatility: a review. (2017). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:83232.

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2017Regularities and irregularities in order flow data. (2017). Theissen, Martin ; Guhr, Thomas ; Krause, Sebastian M. In: The European Physical Journal B: Condensed Matter and Complex Systems. RePEc:spr:eurphb:v:90:y:2017:i:11:d:10.1140_epjb_e2017-80087-6.

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2017Relationship of corporate social responsibility disclosure on information asymmetry and the cost of capital. (2017). Michaels, Anne ; Gruning, Michael . In: Journal of Management Control: Zeitschrift für Planung und Unternehmenssteuerung. RePEc:spr:jmgtco:v:28:y:2017:i:3:d:10.1007_s00187-017-0251-z.

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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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2017Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; He, Kaijian ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433.

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2017Estimation and model-based combination of causality networks. (2017). Caporin, Massimiliano ; Bonaccolto, Giovanni ; Panzica, Roberto Calogero . In: SAFE Working Paper Series. RePEc:zbw:safewp:165.

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2017The impact of network connectivity on factor exposures, asset pricing and portfolio diversification. (2017). Pelizzon, Loriana ; Caporin, Massimiliano ; Billio, Monica ; Panzica, Roberto Calogero . In: SAFE Working Paper Series. RePEc:zbw:safewp:166.

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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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2013Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence.(2013) In: Journal of Business & Economic Statistics.
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2010Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence.(2010) In: CFS Working Paper Series.
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2010Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence.(2010) In: SFB 649 Discussion Papers.
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2017Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty In: Papers.
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2017Large-scale portfolio allocation under transaction costs and model uncertainty.(2017) In: CFS Working Paper Series.
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2017Counterparty credit limits: An effective tool for mitigating counterparty risk? In: Papers.
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2017Counterparty credit limits: An effective tool for mitigating counterparty risk?.(2017) In: CFS Working Paper Series.
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2007A Dynamic Semiparametric Proportional Hazard Model In: Studies in Nonlinear Dynamics & Econometrics.
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2006A Dynamic Semiparametric Proportional Hazard Model.(2006) In: FRU Working Papers.
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2014Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence In: Cambridge Working Papers in Economics.
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2014Estimating the spot covariation of asset prices: Statistical theory and empirical evidence.(2014) In: CFS Working Paper Series.
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2003Dynamic latent factor models for intensity processes In: CORE Discussion Papers.
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2006Modelling financial high frequency data using point processes In: CORE Discussion Papers.
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2009Modelling financial high frequency data using point processes.(2009) In: CORE Discussion Papers RP.
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2006Modelling Financial High Frequency Data Using Point Processes.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2007Modelling Financial High Frequency Data Using Point Processes.(2007) In: SFB 649 Discussion Papers.
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2006Stochastic conditional intensity processes In: CORE Discussion Papers RP.
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2006Stochastic Conditional Intensity Processes.(2006) In: Journal of Financial Econometrics.
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2007Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery In: Journal of Financial and Quantitative Analysis.
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2004Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery.(2004) In: Discussion Papers.
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2004Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery.(2004) In: FRU Working Papers.
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2004Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery.(2004) In: CFR Working Papers.
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2010The impact of macroeconomic news on quote adjustments, noise and informational volatility In: Working Papers ECARES.
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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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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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2000Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models In: Econometric Society World Congress 2000 Contributed Papers.
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2012Bayesian inference in a Stochastic Volatility Nelson–Siegel model In: Computational Statistics & Data Analysis.
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2010Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model.(2010) In: SFB 649 Discussion Papers.
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2008Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model In: Journal of Economic Dynamics and Control.
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2007Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model.(2007) In: SFB 649 Discussion Papers.
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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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2012The market impact of a limit order In: Journal of Economic Dynamics and Control.
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2009The Market Impact of a Limit Order.(2009) In: SFB 649 Discussion Papers.
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2009The market impact of a limit order.(2009) In: CFS Working Paper Series.
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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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2012Modelling and forecasting liquidity supply using semiparametric factor dynamics In: Journal of Empirical Finance.
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2009Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics.(2009) In: SFB 649 Discussion Papers.
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2009Modelling and forecasting liquidity supply using semiparametric factor dynamics.(2009) In: CFS Working Paper Series.
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2016Dynamic conditional correlation multiplicative error processes In: Journal of Empirical Finance.
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2002Volatility estimation on the basis of price intensities In: Journal of Empirical Finance.
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2007Modelling the buy and sell intensity in a limit order book market In: Journal of Financial Markets.
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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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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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2009A blocking and regularization approach to high dimensional realized covariance estimation.(2009) In: CFS Working Paper Series.
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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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