Nikolaus Hautsch : Citation Profile


Are you Nikolaus Hautsch?

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

20

H index

27

i10 index

1066

Citations

RESEARCH PRODUCTION:

34

Articles

99

Papers

1

Books

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   22 years (1999 - 2021). See details.
   Cites by year: 48
   Journals where Nikolaus Hautsch has often published
   Relations with other researchers
   Recent citing documents: 168.    Total self citations: 56 (4.99 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha10
   Updated: 2021-10-16    RAS profile: 2021-06-08    
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Relations with other researchers


Works with:

Peltonen, Tuomas (2)

Schienle, Melanie (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)

Brownlees, Christian (26)

Gallo, Giampiero (25)

Caporin, Massimiliano (20)

Engle, Robert (20)

Schienle, Melanie (18)

Barigozzi, Matteo (18)

McAleer, Michael (16)

Clements, Adam (15)

Horst, Ulrich (13)

Wang, Weining (13)

Cites to:

Engle, Robert (83)

Bollerslev, Tim (35)

Diebold, Francis (33)

Veredas, David (28)

Bauwens, Luc (28)

Shephard, Neil (28)

Härdle, Wolfgang (27)

Gallo, Giampiero (21)

Easley, David (18)

Grammig, Joachim (17)

Cipollini, Fabrizio (17)

Main data


Where Nikolaus Hautsch has published?


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

Working Papers Series with more than one paper published# docs
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany30
CFS Working Paper Series / Center for Financial Studies (CFS)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 (2021 and 2020)


YearTitle of citing document
2020Dynamic portfolio selection with sector-specific regularization. (2020). Hafner, Christian ; Wang, Linqi. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020032.

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2021Time-Consistent Evaluation of Credit Risk with Contagion. (2021). Hainaut, Donatien ; Ketelbuters, John John. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021004.

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2021State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime . In: Papers. RePEc:arx:papers:1809.08060.

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2020Zero-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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2020A 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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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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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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2021Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062.

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2020Empirical Study of Market Impact Conditional on Order-Flow Imbalance. (2020). Bugaenko, Anastasia. In: Papers. RePEc:arx:papers:2004.08290.

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2021The What, When and Where of Limit Order Books. (2020). Dimpfl, Thomas ; Bleher, Michael. In: Papers. RePEc:arx:papers:2004.11953.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2020Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency. (2020). Song, Xinyu ; Kim, Donggyu ; Wang, Yazhen. In: Papers. RePEc:arx:papers:2006.12039.

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2020Analysis of the Global Banking Network by Random Matrix Theory. (2020). Jafari, Reza G ; Haven, Emmanuel ; Hosseiny, Ali ; Hedayatifar, Leila ; Raei, Reza ; Ardalankia, Jamshid ; Namaki, Ali. In: Papers. RePEc:arx:papers:2007.14447.

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2021Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545.

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2020Multivariate General Compound Point Processes in Limit Order Books. (2020). Swishchuk, Anatoliy ; Remillard, Bruno ; Guo, QI. In: Papers. RePEc:arx:papers:2008.00124.

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2020Distillation of News Flow into Analysis of Stock Reactions. (2020). Bommes, Elisabeth ; Chen, Cathy Y ; Hardle, Wolfgang Karl ; Zhang, Junni L. In: Papers. RePEc:arx:papers:2009.10392.

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2020lCARE -- localizing Conditional AutoRegressive Expectiles. (2020). Hardle, Wolfgang Karl ; Mihoci, Andrija ; Xu, Xiu. In: Papers. RePEc:arx:papers:2009.13215.

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2020An AI approach to measuring financial risk. (2020). Benschop, Thijs ; Borke, Lukas ; Hardle, Wolfgang Karl ; Yu, Lining . In: Papers. RePEc:arx:papers:2009.13222.

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2020Heteroscedasticity test of high-frequency data with jumps and microstructure noise. (2020). Liu, Zhi ; Zhang, Chuanhai. In: Papers. RePEc:arx:papers:2010.07659.

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2021Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077.

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2021A Basket Half Full: Sparse Portfolios. (2020). Seregina, Ekaterina. In: Papers. RePEc:arx:papers:2011.04278.

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2020TailCoR. (2020). Ley, Christophe ; Babi, Sladjana ; Veredas, David ; Ricci, Lorenzo. In: Papers. RePEc:arx:papers:2011.14817.

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2020Bayesian Quantile-Based Portfolio Selection. (2020). Lindholm, Mathias ; Bodnar, Taras ; Thors, Erik ; Niklasson, Vilhelm. In: Papers. RePEc:arx:papers:2012.01819.

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2020A Sentiment Analysis Approach to the Prediction of Market Volatility. (2020). Geman, Helyette ; Deveikyte, Justina ; Provetti, Alessandro ; Piccari, Carlo. In: Papers. RePEc:arx:papers:2012.05906.

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2021High-dimensional estimation of quadratic variation based on penalized realized variance. (2021). Podolskij, Mark ; Nielsen, Mikkel Slot ; Christensen, Kim. In: Papers. RePEc:arx:papers:2103.03237.

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

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2021Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio. (2021). Thorsen, Erik ; Parolya, Nestor ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2106.02131.

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2021The Role of Binance in Bitcoin Volatility Transmission. (2021). Kaeck, Andreas ; Heck, Daniel ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.00298.

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2021Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923.

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2021Fragmentation, Price Formation, and Cross-Impact in Bitcoin Markets. (2021). Shestopaloff, Alexander Y ; Howison, Sam ; Cucuringu, Mihai ; Albers, Jakob. In: Papers. RePEc:arx:papers:2108.09750.

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2020Short-Term Predictability of Stock Market Indexes following Large Drawdowns and Drawups. (2020). Brandi, Vinicius Ratton. In: Working Papers Series. RePEc:bcb:wpaper:529.

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2020News media analytics in finance: a survey. (2020). Hahn, Tobias ; Vanstone, Bruce ; Marty, Tom. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1385-1434.

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2020The pricing of accruals quality in credit default swap spreads. (2020). Lin, Hai ; Alam, Pervaiz ; Pu, Xiaoling ; Hettler, Barry. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:1943-1977.

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2021Looking under the surface: An analysis of iceberg orders in the U.S. agricultural futures markets. (2021). Mallory, Mindy ; Garcia, Philip ; Serra, Teresa ; Shang, Quanbiao. In: Agricultural Economics. RePEc:bla:agecon:v:52:y:2021:i:4:p:679-699.

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2020Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network. (2020). Hu, Jie ; Chen, YU ; Zhang, Weiping. In: China & World Economy. RePEc:bla:chinae:v:28:y:2020:i:6:p:78-100.

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2020Social media bots and stock markets. (2020). Talavera, Oleksandr ; Tran, VU ; Fan, Rui. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:753-777.

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2020Text-Based Linkages and Local Risk Spillovers in the Equity Market. (2020). Ge, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20115.

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2020Equilibrium Bitcoin Pricing. (2020). Menkveld, Albert J ; Casamatta, Catherine ; Bouvard, Matthieu ; Bisiere, Christophe ; Biais, Bruno. In: EconPol Working Paper. RePEc:ces:econwp:_48.

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2020COVID-19: Media coverage and financial markets behavior—A sectoral inquiry. (2020). Rizvi, Syed Aun R. ; Aun, Syed ; Haroon, Omair. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635020301386.

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2020Business connectedness or market risk? Evidence from financial institutions in China. (2020). Li, Zheng ; Lu, Yanchen ; Liang, QI. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x20301000.

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2020Macroeconomic news and acquirer returns in M&As: The impact of investor alertness. (2020). Saunders, Anthony ; Adra, Samer ; Barbopoulos, Leonidas G. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920300274.

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2021Evaluating multiplicative error models: A residual-based approach. (2021). Lu, Wanbo ; Ke, Rui ; Jia, Jing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301778.

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2020Large-scale minimum variance portfolio allocation using double regularization. (2020). Liao, Yin ; Bian, Zhicun ; Zhang, Xueyong ; Shi, Jing ; Oneill, Michael. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s016518892030107x.

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2020The effects of trade size and market depth on immediate price impact in a limit order book market. (2020). Anderson, Heather ; Pham, Manh Cuong ; Lajbcygier, Paul ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301603.

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2020Financialization of agricultural commodities: Evidence from China. (2020). Ouyang, Ruolan ; Zhang, Xuan. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:381-389.

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2020Firm-specific information and systemic risk. (2020). Clements, Adam ; Liao, Y. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:480-493.

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2020Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S.. (2020). , Jingyu ; Zhu, Yanjian ; Jiang, Yuexiang ; Wang, Jiazhen ; Yu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:428-444.

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2021A model-based index for systemic risk contribution measurement in financial networks. (2021). Zhu, LI ; Zhang, Ziqing ; Deng, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:35-48.

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2020Spatial spillover effects and risk contagion around G20 stock markets based on volatility network. (2020). Lu, Yang ; Zhuang, Xintian ; Zhang, Weiping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302815.

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2020Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304085.

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2020Spillovers and diversification potential of bank equity returns from developed and emerging America. (2020). Yoon, Seong-Min ; Hussain, Syed Jawad ; Kang, Sang Hoon ; Hernandez, Jose Arreola. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301169.

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2020Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network. (2020). Lu, Yang ; Wang, Jian ; Zhuang, Xintian ; Zhang, Weiping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301455.

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2021Network VAR models to measure financial contagion. (2021). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Hashem, Shatha Qamhieh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302059.

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2021Analysis of the cross-region risk contagion effect in stock market based on volatility spillover networks: Evidence from China. (2021). Wang, Jian ; Zhuang, Xintian ; Li, Yanshuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302400.

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2020Modeling time series when some observations are zero. (2020). Harvey, Andrew ; Ito, Ryoko. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:33-45.

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2020Nonparametric filtering of conditional state-price densities. (2020). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:295-325.

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2020Dependent microstructure noise and integrated volatility estimation from high-frequency data. (2020). Laeven, Roger ; Vellekoop, Michel H ; Li, Merrick Z. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:536-558.

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2020Liquidity and volatility in the U.S. Treasury market. (2020). Fleming, Michael ; Engle, Robert ; Ghysels, Eric ; Nguyen, Giang. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:207-229.

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2021Detecting granular time series in large panels. (2021). Mesters, Geert ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:544-561.

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2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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2020Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62.

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2021The speed of stock price adjustment to corporate announcements: Insights from Turkey. (2021). Hasan, Afan ; Simsek, Koray D ; Simsir, Serif Aziz ; Ersan, Oguz. In: Emerging Markets Review. RePEc:eee:ememar:v:47:y:2021:i:c:s1566014120305872.

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2020Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach. (2020). Yao, Kai ; Chevapatrakul, Thanaset ; Nguyen, Linh Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:333-355.

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2020Volatility spillovers in commodity markets: A large t-vector autoregressive approach. (2020). Wilms, Ines ; Barbaglia, Luca ; Croux, Christophe. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303500.

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2021Extreme return connectedness and its determinants between clean/green and dirty energy investments. (2021). Alsulami, Hamed ; Bouri, Elie ; Saeed, Tareq. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988320303571.

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2020News sentiment in the cryptocurrency market: An empirical comparison with Forex. (2020). Zhang, S. Sarah ; Hyde, Stuart ; Rognone, Lavinia. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s105752192030106x.

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2020Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework. (2020). Zhuang, Xintian ; Zhang, Weiping ; Wang, Jian ; Lu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521919305381.

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2020Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis. (2020). Vo, Xuan Vinh ; Bouri, Elie ; Saeed, Tareq ; Lucey, Brian. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302489.

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2021Skewness-based market integration: A systemic risk measure across international equity markets. (2021). Li, Xupei ; Jian, Zhihong. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000077.

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2020Financial network linkages to predict economic output. (2020). Wang, Dan ; Huang, Wei-qiang . In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319301746.

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2021Measuring the risk of Chinese Fintech industry: evidence from the stock index. (2021). Sun, Xiaolei ; Li, Jian Ping ; Yao, Yinhong. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319311055.

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2021Time domain and frequency domain Granger causality networks: Application to China’s financial institutions. (2021). Chevallier, Julien ; Xie, Chi ; Chen, Yang-Yang ; Si, Hui-Bin ; Wang, Gang-Jin. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319311419.

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2021CSR, Media and Stock Illiquidity: Evidence from Chinese Listed Financial Firms. (2021). Zhang, Zhaoyong. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316238.

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2021The intrafirm complexity of systemically important financial institutions. (2021). Leibon, G ; Foti, N J ; Rockmore, D N ; Lumsdaine, R L ; Farmer, J D. In: Journal of Financial Stability. RePEc:eee:finsta:v:52:y:2021:i:c:s1572308920301030.

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2021Measuring the systemic importance of banks. (2021). Sakellaris, Plutarchos ; Moratis, Georgios. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000383.

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2021Quantile connectedness in the cryptocurrency market. (2021). Vo, Xuan Vinh ; Roubaud, David ; Saeed, Tareq ; Bouri, Elie. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000214.

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2021International tail risk connectedness: Network and determinants. (2021). Lambe, Brendan John ; Nguyen, Linh Hoang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000512.

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2020Bias corrections for exponentially transformed forecasts: Are they worth the effort?. (2020). Demetrescu, Matei ; Titova, Anna ; Golosnoy, Vasyl. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:761-780.

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2020Realized volatility forecast with the Bayesian random compressed multivariate HAR model. (2020). Chen, Langnan ; Luo, Jiawen. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:781-799.

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2020International effects of a compression of euro area yield curves. (2020). Huber, Florian ; Feldkircher, Martin ; Gruber, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s037842661930072x.

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2020Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection. (2020). Ruiz, Esther ; Moura, Guilherme V. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301485.

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2021A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000042.

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2021The evolution of price discovery in an electronic market. (2021). Hjalmarsson, Erik ; Zikes, Filip ; Chaboud, Alain . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:130:y:2021:i:c:s0378426621001308.

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2021Complexity, interconnectedness and stability: New perspectives applied to the European banking system. (2021). Bertrand, Jean-Louis ; Chabot, Miia. In: Journal of Business Research. RePEc:eee:jbrese:v:129:y:2021:i:c:p:784-800.

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2021Two shades of opacity: Hidden orders and dark trading. (2021). Degryse, Hans ; Wuyts, Gunther ; Tombeur, Geoffrey ; Karagiannis, Nikolaos. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:47:y:2021:i:c:s1042957321000206.

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2021Familiarity and Surprises in International Financial Markets: Bad news travels like wildfire; good news travels slow. (2021). Wang, Xin ; Mondria, Jordi ; Wu, Thomas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:115:y:2021:i:c:s0261560621000395.

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2020The diabolical sovereigns/banks risk loop: A VAR quantile design. (2020). Angelini, Eliana ; Foglia, Matteo. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494920300050.

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2021Volatility forecasting of crude oil futures based on a genetic algorithm regularization online extreme learning machine with a forgetting factor: The role of news during the COVID-19 pandemic. (2021). Yang, Cai ; Zhang, Hongwei ; Weng, Futian. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001628.

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2021Bank credit risk networks: Evidence from the Eurozone. (2021). Brownlees, Christian ; Nualart, Eulalia ; Hans, Christina . In: Journal of Monetary Economics. RePEc:eee:moneco:v:117:y:2021:i:c:p:585-599.

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2020Volatility connectedness in global foreign exchange markets. (2020). Wang, Gang-Jin ; Wen, Tiange. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:54:y:2020:i:c:s1042444x20300062.

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2021Dynamic identification of systemically important financial markets in the spread of contagion: A ripple network based collective spillover effect approach. (2021). Xu, Fuwei ; Su, Zhi. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:60:y:2021:i:c:s1042444x21000050.

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2020Limit order submission risks, order choice, and tick size. (2020). Yamamoto, Ryuichi. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:59:y:2020:i:c:s0927538x19302732.

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2020News coverage and portfolio returns: Evidence from China. (2020). Zhou, Wei-Xing ; Xu, Hai-Chuan ; Li, Cong-Cong . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:60:y:2020:i:c:s0927538x18304104.

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2020Misinformation corrections of corporate news: Corporate clarification announcements. (2020). Yang, Ann Shawing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x19302884.

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2020The magnet effect of circuit breakers and its interactions with price limits. (2020). Wong, Kin Ming ; Li, Min ; Kong, Xiao Wei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x19305128.

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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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2020Fractional Hawkes processes. (2020). Hainaut, Donatien. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:549:y:2020:i:c:s0378437120301096.

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2020For evil news rides fast, while good news baits later?—A network based analysis in Chinese stock market. (2020). An, Biao ; Sun, Yafei ; Gao, Ting ; Borjigin, Sumuya. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:551:y:2020:i:c:s0378437120302843.

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2021Centrality-based measures of financial institutions’ systemic importance: A tail dependence network view. (2021). Huang, Wei-Qiang ; Wang, Dan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:562:y:2021:i:c:s0378437120307081.

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2021Interconnectedness, systemic risk, and the influencing factors: Some evidence from China’s financial institutions. (2021). Zhang, Tianyi ; Yang, Zhongyi ; Tong, MU ; Wu, Shan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:569:y:2021:i:c:s0378437121000376.

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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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paper
2013Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence.(2013) In: Journal of Business & Economic Statistics.
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article
2010Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence.(2010) In: CFS Working Paper Series.
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paper
2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty In: Papers.
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paper5
2019Large-scale portfolio allocation under transaction costs and model uncertainty.(2019) In: Journal of Econometrics.
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article
2017Large-scale portfolio allocation under transaction costs and model uncertainty.(2017) In: CFS Working Paper Series.
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paper
2021Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading In: Papers.
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paper0
2020Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading.(2020) In: Applied Mathematical Finance.
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This paper has another version. Agregated cites: 0
article
2021Building Trust Takes Time: Limits to Arbitrage in Blockchain-Based Markets In: Papers.
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paper1
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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paper12
2019Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence.(2019) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 12
article
2014Estimating the spot covariation of asset prices: Statistical theory and empirical evidence.(2014) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2003Dynamic latent factor models for intensity processes In: LIDAM Discussion Papers CORE.
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paper11
2006Modelling financial high frequency data using point processes In: LIDAM Discussion Papers CORE.
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paper33
2009Modelling financial high frequency data using point processes.(2009) In: LIDAM Reprints CORE.
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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: 33
paper
2006Stochastic conditional intensity processes In: LIDAM Reprints CORE.
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paper42
2006Stochastic Conditional Intensity Processes.(2006) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 42
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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article25
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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paper35
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.
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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: 35
paper
2000Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
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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article20
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: 20
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: 20
paper
2012The market impact of a limit order In: Journal of Economic Dynamics and Control.
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article49
2009The Market Impact of a Limit Order.(2009) In: SFB 649 Discussion Papers.
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paper
2009The market impact of a limit order.(2009) In: CFS Working Paper Series.
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paper
2011When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions In: Journal of Empirical Finance.
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article79
2012Modelling and forecasting liquidity supply using semiparametric factor dynamics In: Journal of Empirical Finance.
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article20
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: 20
paper
2016Dynamic conditional correlation multiplicative error processes In: Journal of Empirical Finance.
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article6
2002Volatility estimation on the basis of price intensities In: Journal of Empirical Finance.
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article11
1999Volatility Estimation on the Basis of Price Intensities.(1999) In: CoFE Discussion Papers.
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This paper has another version. Agregated cites: 11
paper
2007Modelling the buy and sell intensity in a limit order book market In: Journal of Financial Markets.
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article36
2016Systemic risk spillovers in the European banking and sovereign network In: Journal of Financial Stability.
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article41
2014Systemic risk spillovers in the European banking and sovereign network.(2014) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 41
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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article41
2013Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 41
paper
2012Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields In: Journal of Banking & Finance.
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article8
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: 8
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
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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This paper has another version. Agregated cites: 15
paper
2019How effective are trading pauses? In: Journal of Financial Economics.
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article5
2017How effective are trading pauses?.(2017) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 5
paper
2012Price adjustment to news with uncertain precision In: Journal of International Money and Finance.
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article3
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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This paper has another version. Agregated cites: 3
paper
2008Price adjustment to news with uncertain precision.(2008) In: CFR Working Papers.
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This paper has another version. Agregated cites: 3
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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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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paper5
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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paper57
2012A blocking and regularization approach to high‐dimensional realized covariance estimation.(2012) In: Journal of Applied Econometrics.
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article
2009A blocking and regularization approach to high dimensional realized covariance estimation.(2009) In: CFS Working Paper Series.
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paper
2009Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements In: SFB 649 Discussion Papers.
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paper1
2009Quantifying high-frequency market reactions to real-time news sentiment announcements.(2009) In: CFS Working Paper Series.
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paper
2010Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: SFB 649 Discussion Papers.
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2013Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2013) In: Journal of Financial Econometrics.
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2014Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2014) In: Journal of Financial Econometrics.
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2010Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2010) In: CFS Working Paper Series.
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2011Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2011) In: CFS Working Paper Series.
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paper
2011Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models In: SFB 649 Discussion Papers.
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paper9
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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paper19
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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paper153
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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article
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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paper9
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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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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paper27
2015Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?.(2015) In: Journal of Applied Econometrics.
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article
2013Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency In: SFB 649 Discussion Papers.
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paper28
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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paper5
2004A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market In: Discussion Papers.
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paper8
2004A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market.(2004) In: FRU Working Papers.
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paper
2004A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market.(2004) In: Research Paper Series.
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paper
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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paper43
2006Order aggressiveness and order book dynamics.(2006) In: Empirical Economics.
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article
2008Order aggressiveness and order book dynamics.(2008) In: Studies in Empirical Economics.
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chapter
2006Testing the Conditional Mean Function of Autoregressive Conditional Duration Models In: FRU Working Papers.
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paper2
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.
[Citation analysis]
article8
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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article17
2002The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report.(2002) In: CoFE Discussion Papers.
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paper
2003Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations In: Journal of Asset Management.
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article0
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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paper
2012Econometrics of Financial High-Frequency Data In: Springer Books.
[Citation analysis]
book6
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
2020Multivariate dynamic intensity peaks‐over‐threshold models In: Journal of Applied Econometrics.
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article1
2015Multivariate dynamic intensity peaks-over-threshold models.(2015) In: CFS Working Paper Series.
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paper
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
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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2017Volatility, information feedback and market microstructure noise: A tale of two regimes In: CFS Working Paper Series.
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paper2
2017The ambivalent role of high-frequency trading in turbulent market periods In: CFS Working Paper Series.
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paper2
2017Counterparty credit limits: An effective tool for mitigating counterparty risk? In: CFS Working Paper Series.
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paper1
2018Limits to arbitrage in markets with stochastic settlement latency In: CFS Working Paper Series.
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paper0
2019Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect? In: CFS Working Paper Series.
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paper0
2000Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model In: CoFE Discussion Papers.
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paper2
2001Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities In: CoFE Discussion Papers.
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paper0
2002Modelling Intraday Trading Activity Using Box-Cox-ACD Models In: CoFE Discussion Papers.
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paper0
2001Shirking or mismatch? Coach-team separation in German professional soccer In: Discussion Papers, Series I.
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paper2
2017Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information In: VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking.
[Full Text][Citation analysis]
paper0
2001A mean variance king? Creation and resolution of uncertainty under the employment reports reign In: ZEW Discussion Papers.
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paper2

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