Nikolaus Hautsch : Citation Profile


Are you Nikolaus Hautsch?

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

18

H index

26

i10 index

835

Citations

RESEARCH PRODUCTION:

31

Articles

99

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   20 years (1999 - 2019). See details.
   Cites by year: 41
   Journals where Nikolaus Hautsch has often published
   Relations with other researchers
   Recent citing documents: 69.    Total self citations: 57 (6.39 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha10
   Updated: 2020-02-22    RAS profile: 2019-10-12    
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Relations with other researchers


Works with:

Schienle, Melanie (3)

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 (30)

Gallo, Giampiero (24)

Brownlees, Christian (19)

Barigozzi, Matteo (18)

McAleer, Michael (16)

Engle, Robert (16)

Caporin, Massimiliano (16)

Horst, Ulrich (14)

Schienle, Melanie (13)

Cipollini, Fabrizio (12)

Clements, Adam (11)

Cites to:

Engle, Robert (83)

Bollerslev, Tim (35)

Härdle, Wolfgang (34)

Diebold, Francis (33)

Bauwens, Luc (28)

Veredas, David (28)

Shephard, Neil (26)

Gallo, Giampiero (22)

Easley, David (18)

Cipollini, Fabrizio (18)

Hall, Anthony (17)

Main data


Where Nikolaus Hautsch has published?


Journals with more than one article published# docs
Journal of Financial Econometrics4
Journal of Empirical Finance4
Journal of Applied Econometrics3
Journal of Banking & Finance2
Journal of Economic Dynamics and Control2
Review of Finance2
Journal of Business & Economic Statistics2

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)27
CoFE Discussion Papers / University of Konstanz, Center of Finance and Econometrics (CoFE)7
FRU Working Papers / University of Copenhagen. Department of Economics. Finance Research Unit7
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 (2020 and 2019)


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

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2018Theoretical and empirical analysis of trading activity. (2018). Tangpi, Ludovic ; Schachermayer, Walter ; Ristig, Alexander ; Pohl, Mathias. 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. (2019). Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo ; Buccheri, Giuseppe . In: Papers. RePEc:arx:papers:1803.04894.

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2019A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics. (2019). Lillo, Fabrizio ; Bormetti, Giacomo ; Vassallo, Danilo. In: Papers. RePEc:arx:papers:1910.01407.

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2019A multilevel analysis to systemic exposure: insights from local and system-wide information. (2019). Gnabo, Jean-Yves ; Gandica, Y'Erali. In: Papers. RePEc:arx:papers:1910.08611.

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2020Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960.

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2019The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations. (2019). Chen, Richard Y. In: Papers. RePEc:arx:papers:1911.02205.

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2019On the Importance of Opponent Modeling in Auction Markets. (2019). Veloso, Manuela ; Assefa, Samuel ; Lockhart, Joshua ; Chtourou, Cyrine ; Filos, Angelos ; Mahfouz, Mahmoud ; Balch, Tucker ; Mandic, Danilo . In: Papers. RePEc:arx:papers:1911.12816.

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2020Disentangling shock diffusion on complex networks: Identification through graph planarity. (2020). Chakrabarti, Anindya S ; di Matteo, Tiziana ; Kumar, Sudarshan. In: Papers. RePEc:arx:papers:2001.01518.

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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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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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2019How does information disclosure affect liquidity? Evidence from an emerging market. (2019). Agudelo, Diego A ; Arango, Ignacio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306259.

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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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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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2019High-dimensional multivariate realized volatility estimation. (2019). Bollerslev, Tim ; Meddahi, Nour ; Nyawa, Serge. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:116-136.

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2019Bayesian nonparametric sparse VAR models. (2019). Rossini, Luca ; Billio, Monica ; Casarin, Roberto. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:97-115.

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2019Exponential smoothing of realized portfolio weights. (2019). Seifert, Miriam Isabel ; Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:222-237.

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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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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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2019The causality between liquidity and volatility in the Polish stock market. (2019). Kliber, Agata ; Bdowska-Sojka, Barbara. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:110-115.

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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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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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2019A SHARP model of bid–ask spread forecasts. (2019). Pirino, Davide ; Cattivelli, Luca. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1211-1225.

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2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1332-1355.

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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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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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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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2019A microstructure study of circuit breakers in the Chinese stock markets. (2019). Xu, Kuan ; Zhang, Hao ; Wang, Steven Shuye. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x1930068x.

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2019Interconnectedness and systemic risk network of Chinese financial institutions: A LASSO-CoVaR approach. (2019). He, Yaoyao ; Jiang, Cuixia ; Li, Mengting ; Xu, Qifa. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119312609.

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2019A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio. (2019). Belkacem, Lotfi ; Boubaker, Heni ; Karmous, Aida. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119312695.

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2020Risk contagion caused by interactions between credit and guarantee networks. (2020). Chen, Xiaohui ; Li, Liang ; Sui, Xin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316292.

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2019Financial systemic risk measurement based on causal network connectedness analysis. (2019). Zhang, Wei ; Xiong, Xiong ; Liu, Xi-Hua ; Gong, Xiao-Li. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:290-307.

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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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2019Analyzing credit risk transmission to the non-financial sector in Europe: A network approach. (2019). Siklos, Pierre ; Gross, Christian. In: CAMA Working Papers. RePEc:een:camaaa:2019-43.

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2019Bail-In or Bail-Out? Correlation Networks to Measure the Systemic Implications of Bank Resolution. (2019). Giudici, Paolo ; Parisi, Laura. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:1:p:3-:d:195087.

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2019Monetary Policy, Industry Heterogeneity and Systemic Risk—Based on a High Dimensional Network Analysis. (2019). Drakeford, Benjamin M ; Huang, Zhehao ; Su, Yaya. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:22:p:6222-:d:284326.

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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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2019LASSO-Driven Inference in Time and Space. (2019). Härdle, Wolfgang ; Chernozhukov, Victor ; Wang, Weining ; Huang, Chen ; Hardle, Wolfgang. In: CeMMAP working papers. RePEc:ifs:cemmap:20/19.

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2019Stock Price Reactions to Wire News from the European Central Bank: Evidence from Changes in the Sentiment Tone and International Market Indexes. (2019). Apergis, Nicholas ; Pragidis, Ioannis. In: International Advances in Economic Research. RePEc:kap:iaecre:v:25:y:2019:i:1:d:10.1007_s11294-019-09721-y.

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2019Investor sentiment and aggregate stock returns: the role of investor attention. (2019). Park, Jung Chul ; Darrat, Ali F ; Mbanga, Cedric. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:53:y:2019:i:2:d:10.1007_s11156-018-0753-2.

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2020Macroeconomic Surprises and the Demand for Information about Monetary Policy. (2020). Tillmann, Peter ; PeterTillmann, . In: MAGKS Papers on Economics. RePEc:mar:magkse:202007.

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2019Dynamic discrete mixtures for high frequency prices. (2019). Santucci de Magistris, Paolo ; di Mari, Roberto ; Catania, Leopoldo. In: Discussion Papers. RePEc:not:notgts:19/05.

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2020Network VAR models to Measure Financial Contagion. (2020). Hashem, Shatha Qamhieh ; Giudici, Paolo ; Ahelegbey, Daniel Felix. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0178.

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2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: MPRA Paper. RePEc:pra:mprapa:93802.

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2019Did long-memory of liquidity signal the European sovereign debt crisis?. (2019). Li, Youwei ; Yang, Y C ; Hamill, P A ; Sun, Z ; Vigne, S A. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2850-y.

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2019Investor reaction to simultaneous news releases: unemployment vs. earnings. (2019). White, Reilly ; Strohush, Vitaliy ; Gupta, Neeraj J. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:43:y:2019:i:4:d:10.1007_s12197-018-9460-z.

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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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2019Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis. (2019). Schienle, Melanie ; Urban, Jorg ; Buse, Rebekka. In: ESRB Working Paper Series. RePEc:srk:srkwps:201990.

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2019Do information contagion and business model similarities explain bank credit risk commonalities?. (2019). Schaumburg, Julia ; Lelyveld, Iman ; van Lelyveld, Iman ; Wang, Dieter. In: ESRB Working Paper Series. RePEc:srk:srkwps:201994.

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2019Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2019). Blasques, Francisco ; Tomanova, Petra ; Holy, Vladimir. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190004.

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2019Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings. (0000). van Dijk, Dick ; Lucas, Andre ; Barra, Istvan ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190013.

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2019Price discovery in a continuous-time setting. (2019). Fernandes, Marcelo ; Scherrer, Cristina Mabel ; Dias, Gustavo Fruet. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2019_02.

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2019Multivariate realized volatility forecasts of agricultural commodity futures. (2019). Chen, Langnan ; Luo, Jiawen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:12:p:1565-1586.

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2019The quantile dependence of commodity futures markets on news sentiment. (2019). Todorova, Neda ; Omura, Akihiro. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:7:p:818-837.

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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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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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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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2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty In: Papers.
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2019Large-scale portfolio allocation under transaction costs and model uncertainty.(2019) In: Journal of Econometrics.
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2017Large-scale portfolio allocation under transaction costs and model uncertainty.(2017) In: CFS Working Paper Series.
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2020Counterparty 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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2018Limits to Arbitrage in Markets with Stochastic Settlement Latency In: Papers.
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2018Limits to arbitrage in markets with stochastic settlement latency.(2018) 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: 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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2011The impact of macroeconomic news on quote adjustments, noise and informational volatility.(2011) In: ULB Institutional Repository.
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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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article28
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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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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2002Volatility estimation on the basis of price intensities In: Journal of Empirical Finance.
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1999Volatility Estimation on the Basis of Price Intensities.(1999) In: CoFE Discussion Papers.
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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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2014Forecasting systemic impact in financial networks In: International Journal of Forecasting.
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2013Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers.
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2012Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields In: Journal of Banking & Finance.
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2009Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields.(2009) In: CFS Working Paper Series.
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2003Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions In: Journal of Economic Behavior & Organization.
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2001Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions.(2001) In: CoFE Discussion Papers.
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2012Price adjustment to news with uncertain precision In: Journal of International Money and Finance.
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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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2008Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models In: SFB 649 Discussion Papers.
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2008Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference In: SFB 649 Discussion Papers.
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2008Testing Multiplicative Error Models Using Conditional Moment Tests In: SFB 649 Discussion Papers.
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2009A blocking and regularization approach to high dimensional realized covariance estimation In: SFB 649 Discussion Papers.
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2012A blocking and regularization approach to high‐dimensional realized covariance estimation.(2012) In: Journal of Applied Econometrics.
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2009A blocking and regularization approach to high dimensional realized covariance estimation.(2009) In: CFS Working Paper Series.
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2009Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements In: SFB 649 Discussion Papers.
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2009Quantifying high-frequency market reactions to real-time news sentiment announcements.(2009) In: CFS Working Paper Series.
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2010Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: SFB 649 Discussion Papers.
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2011Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2011) In: CFS Working Paper Series.
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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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2014Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2014) In: Journal of Financial Econometrics.
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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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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.(2011) In: CFS Working Paper Series.
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2011Financial Network Systemic Risk Contributions 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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2012Financial Network Systemic Risk Contributions.(2012) In: SFB 649 Discussion Papers.
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2012On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements In: SFB 649 Discussion Papers.
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2012On the dark side of the market: Identifying and analyzing hidden order placements.(2012) In: CFS Working Paper Series.
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2012Local Adaptive Multiplicative Error Models for High-Frequency Forecasts In: SFB 649 Discussion Papers.
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2015Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts.(2015) In: Journal of Applied Econometrics.
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2012Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes In: SFB 649 Discussion Papers.
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2013Copula-based dynamic conditional correlation multiplicative error processes.(2013) In: CFS Working Paper Series.
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2012Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series In: SFB 649 Discussion Papers.
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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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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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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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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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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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1999Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions.(1999) In: CoFE Discussion Papers.
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2017The ambivalent role of high-frequency trading in turbulent market periods In: CFS Working Paper Series.
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2000Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model In: CoFE Discussion Papers.
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2001Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities In: CoFE Discussion Papers.
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2002Modelling Intraday Trading Activity Using Box-Cox-ACD Models In: CoFE Discussion Papers.
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2001Shirking or mismatch? Coach-team separation in German professional soccer In: Discussion Papers, Series I.
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