21
H index
32
i10 index
1432
Citations
Universität Wien (90% share) | 21 H index 32 i10 index 1432 Citations RESEARCH PRODUCTION: 36 Articles 103 Papers 1 Books 1 Chapters EDITOR: Series edited RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Nikolaus Hautsch. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2022 | Amplitude-Based Time Series Data Clustering Method. (2022). Chakraborty, Basabi ; Shirota, Yukari. In: Gakushuin Economic Papers. RePEc:abc:gakuep:59-2-1. Full description at Econpapers || Download paper | |
2022 | Market 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. Full description at Econpapers || Download paper | |
2022 | Zero-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. Full description at Econpapers || Download paper | |
2022 | A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data. (2020). Scaillet, Olivier ; Moor, Alban ; la Vecchia, Davide. In: Papers. RePEc:arx:papers:2001.04867. Full description at Econpapers || Download paper | |
2022 | Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204. Full description at Econpapers || Download paper | |
2023 | Learning Financial Network with Focally Sparse Structure. (2021). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424. Full description at Econpapers || Download paper | |
2023 | On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges. (2021). Ranaldo, Angelo ; Barbon, Andrea. In: Papers. RePEc:arx:papers:2112.07386. Full description at Econpapers || Download paper | |
2022 | Extremal Dependence in Australian Electricity Markets. (2022). Han, Lin ; Trueck, Stefan ; Cribben, Ivor. In: Papers. RePEc:arx:papers:2202.09970. Full description at Econpapers || Download paper | |
2023 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2022 | Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939. Full description at Econpapers || Download paper | |
2022 | The Econometrics of Financial Duration Modeling. (2022). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Papers. RePEc:arx:papers:2208.02098. Full description at Econpapers || Download paper | |
2022 | Learning Financial Networks with High-frequency Trade Data. (2022). Easley, David ; Basu, Sumanta ; Karpman, Kara. In: Papers. RePEc:arx:papers:2208.03568. Full description at Econpapers || Download paper | |
2022 | Comparing Stochastic Volatility Specifications for Large Bayesian VARs. (2022). , Joshua. In: Papers. RePEc:arx:papers:2208.13255. Full description at Econpapers || Download paper | |
2023 | A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997. Full description at Econpapers || Download paper | |
2022 | Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2022). Streicher, Sina ; Polivka, Jeannine ; Halbleib, Roxana ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2212.11833. Full description at Econpapers || Download paper | |
2022 | Measuring price impact and information content of trades in a time-varying setting. (2022). Lillo, F ; Bormetti, G ; Campigli, F. In: Papers. RePEc:arx:papers:2212.12687. Full description at Econpapers || Download paper | |
2023 | Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808. Full description at Econpapers || Download paper | |
2023 | Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix. (2023). Yasuda, Yukie ; Mariotti, Tommaso ; Mancino, Maria Elvira ; Liu, Nien-Lin ; Akahori, Jiro. In: Papers. RePEc:arx:papers:2304.04372. Full description at Econpapers || Download paper | |
2023 | Towards systematic intraday news screening: a liquidity-focused approach. (2023). Rosenbaum, Mathieu ; Zhang, Jianfei. In: Papers. RePEc:arx:papers:2304.05115. Full description at Econpapers || Download paper | |
2023 | Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991. Full description at Econpapers || Download paper | |
2023 | Conditional Generators for Limit Order Book Environments: Explainability, Challenges, and Robustness. (2023). Vyetrenko, Svitlana ; Savani, Rahul ; Jerome, Joseph ; Coletta, Andrea. In: Papers. RePEc:arx:papers:2306.12806. Full description at Econpapers || Download paper | |
2023 | Tackling the Problem of State Dependent Execution Probability: Empirical Evidence and Order Placement. (2023). Ragel, Vincent ; Fabre, Timoth'Ee. In: Papers. RePEc:arx:papers:2307.04863. Full description at Econpapers || Download paper | |
2023 | Estimation of an Order Book Dependent Hawkes Process for Large Datasets. (2023). Sancetta, Alessio ; Mucciante, Luca. In: Papers. RePEc:arx:papers:2307.09077. Full description at Econpapers || Download paper | |
2022 | The effect of daily price limits on stock liquidity: Evidence from the Chinese stock market. (2022). Li, Zhisheng. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:5:p:4885-4917. Full description at Econpapers || Download paper | |
2022 | Tail price risk spillovers along the US beef and pork supply chains. (2022). Tzaferi, Dimitra ; Fousekis, Panos. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:66:y:2022:i:2:p:383-399. Full description at Econpapers || Download paper | |
2023 | The role of tail network topological characteristic in portfolio selection: A TNA?PMC model. (2023). Zhao, Qinna ; Jiang, Cuixia ; Xu, Qifa ; Li, Mengting. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:37-57. Full description at Econpapers || Download paper | |
2023 | Where does the risk lie? Systemic risk and tail risk networks in the Chinese financial market. (2023). Gao, Chenyin ; Deng, Yang. In: Pacific Economic Review. RePEc:bla:pacecr:v:28:y:2023:i:2:p:167-190. Full description at Econpapers || Download paper | |
2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper | |
2022 | The rise in the cross-sectoral dispersion of earnings expectations during COVID-19. (2022). Kapp, Daniel ; Greif, William ; Bats, Joost. In: Working Paper Series. RePEc:ecb:ecbwps:20222664. Full description at Econpapers || Download paper | |
2022 | Bayesian portfolio selection using VaR and CVaR. (2022). Thorsen, Erik ; Niklasson, Vilhelm ; Lindholm, Mathias ; Bodnar, Taras. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:427:y:2022:i:c:s0096300322002041. Full description at Econpapers || Download paper | |
2022 | Machine learning and speed in high-frequency trading. (2022). He, Xuezhong (Tony) ; Jianwei, LI ; Arifovic, Jasmina. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001439. Full description at Econpapers || Download paper | |
2022 | Conditional tail price risk spillovers in coffee markets across quality, physical space, and time: Empirical analysis with penalized quantile regressions. (2022). Grigoriadis, Vasilis ; Fousekis, Panos. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002807. Full description at Econpapers || Download paper | |
2022 | Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881. Full description at Econpapers || Download paper | |
2022 | The existence of flight-to-quality under extreme conditions: Evidence from a nonlinear perspective in Chinese stocks and bonds sectors. (2022). Peng, Cheng ; Wang, Gangjin ; Su, Xiaojian ; Deng, Chao. In: Economic Modelling. RePEc:eee:ecmode:v:113:y:2022:i:c:s0264999322001419. Full description at Econpapers || Download paper | |
2023 | A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194. Full description at Econpapers || Download paper | |
2023 | Interconnectedness and extreme risk: Evidence from dual banking systems. (2023). bouoiyour, jamal ; Addi, Abdelhamid. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s026499932200387x. Full description at Econpapers || Download paper | |
2023 | Economic policy uncertainty and information intermediary: The case of short seller. (2023). Wang, Xiaoming. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003984. Full description at Econpapers || Download paper | |
2023 | Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669. Full description at Econpapers || Download paper | |
2022 | Contagion effect of systemic risk among industry sectors in China’s stock market. (2022). Zhao, Tianyu ; Yan, Haoyang ; Xu, Qiuhua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001819. Full description at Econpapers || Download paper | |
2022 | Order Choices: An Intraday Analysis of the Taiwan Stock Exchange. (2022). Lo, Hsiang-Yu ; Hung, Pi-Hsia ; Lien, Donald. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000912. Full description at Econpapers || Download paper | |
2022 | Multiscale features of extreme risk spillover networks among global stock markets. (2022). Zhu, Huiming ; You, Wanhai ; Zhao, Wanru ; Ren, Yinghua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001012. Full description at Econpapers || Download paper | |
2023 | Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data. (2023). Yang, Guang-Yi ; Tang, Chun ; Liu, Xiao-Xing ; Zhou, Dong-Hai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002054. Full description at Econpapers || Download paper | |
2023 | Is a co-jump in prices a sparse jump?. (2023). Li, Handong ; Song, Shijia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000463. Full description at Econpapers || Download paper | |
2022 | Occupation density estimation for noisy high-frequency data. (2022). Bollerslev, Tim ; Li, Jia ; Zhang, Congshan. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:189-211. Full description at Econpapers || Download paper | |
2022 | Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:285-304. Full description at Econpapers || Download paper | |
2022 | Affine arbitrage-free yield net models with application to the euro debt crisis. (2022). Niu, Linlin ; Zhang, Chen ; Hong, Zhiwu. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:201-220. Full description at Econpapers || Download paper | |
2023 | Bias reduction in spot volatility estimation from options. (2023). Zhang, Yang ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:53-81. Full description at Econpapers || Download paper | |
2023 | Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms. (2023). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:s:p:70-90. Full description at Econpapers || Download paper | |
2023 | Bootstrap inference for Hawkes and general point processes. (2023). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:133-165. Full description at Econpapers || Download paper | |
2023 | Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64. Full description at Econpapers || Download paper | |
2023 | A higher-order correct fast moving-average bootstrap for dependent data. (2023). Scaillet, Olivier ; Moor, Alban ; la Vecchia, Davide. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:65-81. Full description at Econpapers || Download paper | |
2022 | Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility. (2022). Oglend, Atle ; Moura, Guilherme Valle ; Liesenfeld, Roman ; Kleppe, Tore Selland. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:105-127. Full description at Econpapers || Download paper | |
2022 | New evidence on market response to public announcements in the presence of microstructure noise. (2022). Irwin, Scott ; Garcia, Philip ; Serra, Teresa ; Bian, Siyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:785-800. Full description at Econpapers || Download paper | |
2023 | Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347. Full description at Econpapers || Download paper | |
2023 | Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network. (2023). Rehman, Mohd Ziaur ; Hammoudeh, Shawkat ; Khalfaoui, Rabeh. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014123000079. Full description at Econpapers || Download paper | |
2023 | Tail-event driven NETwork dependence in emerging markets. (2023). Yousaf, Imran ; Ali, Shoaib ; Yarovaya, Larisa ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000887. Full description at Econpapers || Download paper | |
2023 | Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries. (2023). Xie, Chi ; Zhu, You ; Wang, Gang-Jin ; Feng, Yusen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000250. Full description at Econpapers || Download paper | |
2022 | Bitcoin unchained: Determinants of cryptocurrency exchange liquidity. (2022). Theissen, Erik ; Riordan, Ryan ; Mestel, Roland ; Brauneis, Alexander. In: Journal of Empirical Finance. RePEc:eee:empfin:v:69:y:2022:i:c:p:106-122. Full description at Econpapers || Download paper | |
2022 | High-dimensional CoVaR network connectedness for measuring conditional financial contagion and risk spillovers from oil markets to the G20 stock system. (2022). Hussain, Nazim ; Ji, Qiang ; Fan, Ying ; Liu, Bing-Yue. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005946. Full description at Econpapers || Download paper | |
2022 | The banking instability and climate change: Evidence from China. (2022). Lu, Li Ping ; Zhang, Shuai. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s0140988321006253. Full description at Econpapers || Download paper | |
2022 | Extreme spillovers among fossil energy, clean energy, and metals markets: Evidence from a quantile-based analysis. (2022). Liu, Zhen Hua ; Ding, Qian ; Liang, Zhipeng ; Chen, Jinyu. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000627. Full description at Econpapers || Download paper | |
2022 | Energy security: Does systemic risk spillover matter? Evidence from China. (2022). Hu, Xin ; Lin, Renda ; Deng, Yuanyue ; Zhu, BO ; Chen, Pingshe. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322003930. Full description at Econpapers || Download paper | |
2023 | Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Evidence from a quantile-based analysis. (2023). Yin, Zhujia ; Zhang, Xiaotong ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988323000099. Full description at Econpapers || Download paper | |
2023 | Effect of weather and environmental attentions on financial system risks: Evidence from Chinese high- and low-carbon assets. (2023). Yoon, Seong-Min ; Dong, Xiyong. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001780. Full description at Econpapers || Download paper | |
2022 | High-frequency trading and market quality: The case of a “slightly exposed” market. (2022). Ekinci, Cumhur ; Ersan, Ouz. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003185. Full description at Econpapers || Download paper | |
2022 | Regulatory technology (Reg-Tech) in financial stability supervision: Taxonomy, key methods, applications and future directions. (2022). Ergu, Daji ; Qian, Qian ; Li, Tie ; Chen, Jia ; Ran, Qin ; Chao, Xiangrui. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000035. Full description at Econpapers || Download paper | |
2022 | Systemic risk in the Chinese financial system: A panel Granger causality analysis. (2022). Urga, Giovanni ; Cincinelli, Peter ; Pellini, Elisabetta. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001405. Full description at Econpapers || Download paper | |
2022 | When does attention matter? The effect of investor attention on stock market volatility around news releases. (2022). Audrino, Francesco ; Ballinari, Daniele ; Sigrist, Fabio. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001466. Full description at Econpapers || Download paper | |
2022 | Analysis of risk correlations among stock markets during the COVID-19 pandemic. (2022). Chen, Yun ; Zhang, Chao ; Wu, Junfeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922001818. Full description at Econpapers || Download paper | |
2022 | Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market. (2022). Chen, Pengzhan ; Wu, Bin ; Xia, Wenjing ; Ye, Wuyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002320. Full description at Econpapers || Download paper | |
2022 | Quantile connectedness between sentiment and financial markets: Evidence from the S&P 500 twitter sentiment index. (2022). Goodell, John W ; Youssef, Manel ; Yousaf, Imran. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002745. Full description at Econpapers || Download paper | |
2022 | How does news sentiment affect the states of Japanese stock return volatility?. (2022). Shi, Yanlin ; Fu, Tong ; Feng, Lingbing. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922002241. Full description at Econpapers || Download paper | |
2022 | Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network. (2022). Zhang, Wei ; Xiong, Xiong ; Liu, Jian-Min ; Gong, Xiao-Li. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s105752192200309x. Full description at Econpapers || Download paper | |
2022 | Measuring systemic risk contribution of global stock markets: A dynamic tail risk network approach. (2022). Di, Zengru ; Tang, Renwu ; Chen, Zhihua ; Sun, Qingru ; Huang, Shupei ; Gao, Xiangyun ; Wang, ZE. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003118. Full description at Econpapers || Download paper | |
2023 | Does the Achilles heel of guarantee networks drive financial distress?. (2023). Zhen, Weihao ; Wu, Wuqing ; Wang, Yirui ; Shan, Yuan George. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001515. Full description at Econpapers || Download paper | |
2022 | COVID–19 media coverage and ESG leader indices. (2022). Umar, Zaghum ; Boubaker, Sabri ; Akhtaruzzaman, MD. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002440. Full description at Econpapers || Download paper | |
2022 | Profitability and liquidity provision of HFTs during large price shocks: Does relative tick size matter?. (2022). Yamada, Masahiro. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003391. Full description at Econpapers || Download paper | |
2022 | The network structure of overnight index swap rates. (2022). Uddin, Ajim ; Taylor, Stephen ; Fang, Ming. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004141. Full description at Econpapers || Download paper | |
2023 | Price limit change and magnet effect: The role of investor attention. (2023). Li, Peigong ; Hao, Jing ; Zhang, Xiaotao. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s154461232200753x. Full description at Econpapers || Download paper | |
2022 | Realizing correlations across asset classes. (2022). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: Journal of Financial Markets. RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418122000222. Full description at Econpapers || Download paper | |
2023 | Stock illiquidity and option returns. (2023). Uhrig-Homburg, Marliese ; Korn, Olaf ; Kanne, Stefan. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000556. Full description at Econpapers || Download paper | |
2022 | The contribution of (shadow) banks and real estate to systemic risk in China. (2022). Urga, Giovanni ; Meoli, Michele ; Cincinelli, Peter ; Pellegrini, Carlo Bellavite. In: Journal of Financial Stability. RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000420. Full description at Econpapers || Download paper | |
2022 | Systemic risk measures and regulatory challenges. (2022). Brzeszczyski, Janusz ; Sharma, Satish ; Ellis, Scott. In: Journal of Financial Stability. RePEc:eee:finsta:v:61:y:2022:i:c:s1572308921001194. Full description at Econpapers || Download paper | |
2022 | The Eurozone banking sector in the time of COVID-19: Measuring volatility connectedness. (2022). Angelini, Eliana ; Addi, Abdelhamid ; Foglia, Matteo. In: Global Finance Journal. RePEc:eee:glofin:v:51:y:2022:i:c:s1044028321000752. Full description at Econpapers || Download paper | |
2022 | Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?. (2022). Urban, Jorg ; Schienle, Melanie ; Buse, Rebekka. In: Journal of International Economics. RePEc:eee:inecon:v:139:y:2022:i:c:s0022199622001052. Full description at Econpapers || Download paper | |
2022 | Bearish Vs Bullish risk network: A Eurozone financial system analysis. (2022). Angelini, Eliana ; Wang, Gang-Jin ; Addi, Abdelhamid ; Foglia, Matteo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443122000142. Full description at Econpapers || Download paper | |
2022 | Sovereign bond market spillovers from crisis-time developments in Greece. (2022). Zigraiova, Diana ; Clancy, Daragh ; Gabriele, Carmine. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000464. Full description at Econpapers || Download paper | |
2022 | Banking networks, systemic risk, and the credit cycle in emerging markets. (2022). Das, Sanjiv R ; Kalimipalli, Madhu ; Nayak, Subhankar. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s104244312200107x. Full description at Econpapers || Download paper | |
2023 | Forecasting extreme financial risk: A score-driven approach. (2023). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735. Full description at Econpapers || Download paper | |
2022 | Predicting the stressed expected loss of large U.S. banks. (2022). Jondeau, Eric ; Khalilzadeh, Amir. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002727. Full description at Econpapers || Download paper | |
2022 | Weighted Least Squares Realized Covariation Estimation. (2022). Xu, QI ; Voev, Valeri ; Vasios, Michalis ; Nolte, Ingmar ; Li, Yifan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:137:y:2022:i:c:s0378426622000206. Full description at Econpapers || Download paper | |
2022 | Modeling and forecasting realized portfolio weights. (2022). Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000048. Full description at Econpapers || Download paper | |
2022 | Contagion and tail risk in complex financial networks. (2022). Abduraimova, Kumushoy. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:143:y:2022:i:c:s037842662200156x. Full description at Econpapers || Download paper | |
2023 | A machine learning attack on illegal trading. (2023). Prokhorov, Artem ; Leung, Henry ; James, Robert. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003156. Full description at Econpapers || Download paper | |
2022 | Cryptocurrency price discrepancies under uncertainty: Evidence from COVID-19 and lockdown nexus. (2022). Zhang, Xiaoyu ; Qin, Cong ; Chen, Meichen. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:124:y:2022:i:c:s0261560622000365. Full description at Econpapers || Download paper | |
2022 | Spillovers among energy commodities and the Russian stock market. (2022). Lorusso, Marco ; Costola, Michele. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:28:y:2022:i:c:s2405851322000071. Full description at Econpapers || Download paper | |
2022 | Price risk connectedness in the principal olive oil markets of the EU. (2022). Fousekis, Panos. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:26:y:2022:i:c:s1703494922000196. Full description at Econpapers || Download paper | |
2022 | Order submission, information asymmetry, and tick size. (2022). Yamamoto, Ryuichi ; Zhu, Hongyu. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:74:y:2022:i:c:s0927538x22000968. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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FRU Working Papers |
Year | Title | Type | Cited |
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2010 | Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 56 |
2010 | Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence.(2010) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 56 | paper | |
2013 | Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence.(2013) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 56 | article | |
2010 | Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence.(2010) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 56 | paper | |
2018 | Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty In: Papers. [Full Text][Citation analysis] | paper | 9 |
2019 | Large-scale portfolio allocation under transaction costs and model uncertainty.(2019) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
2017 | Large-scale portfolio allocation under transaction costs and model uncertainty.(2017) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2021 | Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading.(2020) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2023 | Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets In: Papers. [Full Text][Citation analysis] | paper | 3 |
2022 | HARNet: A Convolutional Neural Network for Realized Volatility Forecasting In: Papers. [Full Text][Citation analysis] | paper | 1 |
2022 | HARNet: A convolutional neural network for realized volatility forecasting.(2022) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2007 | A Dynamic Semiparametric Proportional Hazard Model In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 2 |
2006 | A Dynamic Semiparametric Proportional Hazard Model.(2006) In: FRU Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2014 | Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 17 |
2019 | Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence.(2019) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | article | |
2014 | Estimating 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: 17 | paper | |
2003 | Dynamic latent factor models for intensity processes In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 16 |
2006 | Modelling financial high frequency data using point processes In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 100 |
2009 | Modelling financial high frequency data using point processes.(2009) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 100 | paper | |
2006 | Modelling Financial High Frequency Data Using Point Processes.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | paper | |
2007 | Modelling Financial High Frequency Data Using Point Processes.(2007) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | paper | |
2006 | Stochastic conditional intensity processes In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 47 |
2006 | Stochastic Conditional Intensity Processes.(2006) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | article | |
2007 | Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 31 |
2004 | Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery.(2004) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2004 | Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery.(2004) In: FRU Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2004 | Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery.(2004) In: CFR Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2010 | The impact of macroeconomic news on quote adjustments, noise and informational volatility In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 38 |
2011 | The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | article | |
2010 | The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility.(2010) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
2011 | The impact of macroeconomic news on quote adjustments, noise and informational volatility.(2011) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
2011 | The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: CFR Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
2010 | The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2010) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
2000 | Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 3 |
2012 | Bayesian inference in a Stochastic Volatility Nelson–Siegel model In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 30 |
2010 | Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model.(2010) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | paper | |
2008 | Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 23 |
2007 | Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model.(2007) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2007 | Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model.(2007) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2012 | The market impact of a limit order In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 60 |
2009 | The Market Impact of a Limit Order.(2009) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 60 | paper | |
2009 | The market impact of a limit order.(2009) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 60 | paper | |
2022 | Local mispricing and microstructural noise: A parametric perspective In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2011 | When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 95 |
2012 | Modelling and forecasting liquidity supply using semiparametric factor dynamics In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 21 |
2009 | Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics.(2009) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2009 | Modelling and forecasting liquidity supply using semiparametric factor dynamics.(2009) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2016 | Dynamic conditional correlation multiplicative error processes In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 7 |
2002 | Volatility estimation on the basis of price intensities In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 14 |
1999 | Volatility Estimation on the Basis of Price Intensities.(1999) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2007 | Modelling the buy and sell intensity in a limit order book market In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 38 |
2016 | Systemic risk spillovers in the European banking and sovereign network In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 71 |
2014 | Systemic risk spillovers in the European banking and sovereign network.(2014) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | paper | |
2016 | Systemic risk spillovers in the European banking and sovereign network.(2016) In: Working Paper Series in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | paper | |
2014 | Forecasting systemic impact in financial networks In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 48 |
2013 | Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | paper | |
2012 | Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 12 |
2009 | Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields.(2009) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2003 | Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 17 |
2001 | Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions.(2001) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2019 | How effective are trading pauses? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 18 |
2017 | How effective are trading pauses?.(2017) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2012 | Price adjustment to news with uncertain precision In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 3 |
2008 | Price Adjustment to News with Uncertain Precision.(2008) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2008 | Price Adjustment to News with Uncertain Precision.(2008) In: FRU Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2008 | Price adjustment to news with uncertain precision.(2008) In: CFR Working Papers. [Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2011 | Price adjustment to news with uncertain precision.(2011) In: CFR Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2008 | Price adjustment to news with uncertain precision.(2008) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 2 |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2008 | Measuring and Modeling Risk Using High-Frequency Data In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2008 | Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
2008 | Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2008 | Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2008 | Testing Multiplicative Error Models Using Conditional Moment Tests In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2009 | A blocking and regularization approach to high dimensional realized covariance estimation In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 62 |
2012 | A blocking and regularization approach to high?dimensional realized covariance estimation.(2012) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 62 | article | |
2009 | A blocking and regularization approach to high dimensional realized covariance estimation.(2009) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 62 | paper | |
2009 | Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2009 | Quantifying high-frequency market reactions to real-time news sentiment announcements.(2009) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2010 | Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 40 |
2013 | Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2013) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | article | |
2014 | Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2014) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | article | |
2010 | Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2010) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
2011 | Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2011) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
2011 | Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 13 |
2013 | Predicting Bid–Ask Spreads Using Long?Memory Autoregressive Conditional Poisson Models.(2013) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
2011 | Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 19 |
2011 | The Merit of High-Frequency Data in Portfolio Allocation In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 22 |
2011 | The merit of high-frequency data in portfolio allocation.(2011) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2011 | Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 208 |
2012 | Financial Network Systemic Risk Contributions.(2012) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 208 | paper | |
2015 | Financial Network Systemic Risk Contributions.(2015) In: Review of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 208 | article | |
2013 | Financial network systemic risk contributions.(2013) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 208 | paper | |
2012 | On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
2012 | On the dark side of the market: Identifying and analyzing hidden order placements.(2012) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2012 | Local Adaptive Multiplicative Error Models for High-Frequency Forecasts In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 23 |
2015 | Local Adaptive Multiplicative Error Models for High?Frequency Forecasts.(2015) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | article | |
2012 | Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Copula-based dynamic conditional correlation multiplicative error processes.(2013) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2012 | Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 33 |
2015 | Do High?Frequency Data Improve High?Dimensional Portfolio Allocations?.(2015) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | article | |
2013 | Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 28 |
2014 | Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2014 | Efficient iterative maximum likelihood estimation of high-parameterized time series models.(2014) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2014 | Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2004 | A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market In: Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
2004 | A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market.(2004) In: FRU Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2004 | A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2005 | The latent factor VAR model: Testing for a common component in the intraday trading process In: FRU Working Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | Order Aggressiveness and Order Book Dynamics In: FRU Working Papers. [Full Text][Citation analysis] | paper | 44 |
2006 | Order aggressiveness and order book dynamics.(2006) In: Empirical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | article | |
2008 | Order aggressiveness and order book dynamics.(2008) In: Studies in Empirical Economics. [Citation analysis] This paper has another version. Agregated cites: 44 | chapter | |
2006 | Testing the Conditional Mean Function of Autoregressive Conditional Duration Models In: FRU Working Papers. [Full Text][Citation analysis] | paper | 7 |
2002 | Semiparametric autoregressive conditional proportional hazard models In: Economics Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | A Descriptive Study of High-Frequency Trade and Quote Option Data* In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
2003 | Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities In: The Journal of Financial Econometrics. [Citation analysis] | article | 9 |
2002 | The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report In: Review of Finance. [Full Text][Citation analysis] | article | 19 |
2002 | The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report.(2002) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2003 | Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations In: Journal of Asset Management. [Full Text][Citation analysis] | article | 1 |
2017 | Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? In: Rationality and Competition Discussion Paper Series. [Full Text][Citation analysis] | paper | 0 |
2014 | Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?.(2014) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2012 | Econometrics of Financial High-Frequency Data In: Springer Books. [Citation analysis] | book | 44 |
2014 | Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth In: University of East Anglia Applied and Financial Economics Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2020 | Multivariate dynamic intensity peaks?over?threshold models In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 5 |
2015 | Multivariate dynamic intensity peaks-over-threshold models.(2015) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
1999 | Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions In: Finance. [Full Text][Citation analysis] | paper | 3 |
1999 | Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions.(1999) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2017 | Volatility, information feedback and market microstructure noise: A tale of two regimes In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2017 | The ambivalent role of high-frequency trading in turbulent market periods In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 6 |
2017 | Counterparty credit limits: An effective tool for mitigating counterparty risk? In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2018 | Limits to arbitrage in markets with stochastic settlement latency In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2019 | Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect? In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2000 | Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model In: CoFE Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2001 | Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities In: CoFE Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2002 | Modelling Intraday Trading Activity Using Box-Cox-ACD Models In: CoFE Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
2001 | Shirking or mismatch? Coach-team separation in German professional soccer In: Discussion Papers, Series I. [Full Text][Citation analysis] | paper | 3 |
2017 | Large-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] | paper | 0 |
2001 | A mean variance king? Creation and resolution of uncertainty under the employment reports reign In: ZEW Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team