Nikolaus Hautsch : Citation Profile

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

22

H index

42

i10 index

1736

Citations

RESEARCH PRODUCTION:

39

Articles

137

Papers

1

Books

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   25 years (1999 - 2024). See details.
   Cites by year: 69
   Journals where Nikolaus Hautsch has often published
   Relations with other researchers
   Recent citing documents: 140.    Total self citations: 76 (4.19 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha10
   Updated: 2025-07-12    RAS profile: 2024-10-08    
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Relations with other researchers

Works with:

Scaillet, Olivier (5)

Xiu, Dacheng (5)

Wilhelmsson, Anders (5)

Wolff, Christian (5)

Shachar, Or (5)

Frijns, Bart (5)

Ranaldo, Angelo (5)

Deev, Oleg (5)

LINTON, OLIVER (5)

Harris, Jeffrey (5)

Xia, Shuo (5)

Vilkov, Grigory (5)

Dreber, Anna (5)

Hurlin, Christophe (5)

Verousis, Thanos (5)

Foucault, Thierry (5)

Dimpfl, Thomas (5)

Reitz, Stefan (5)

Frömmel, Michael (5)

Davies, Ryan (5)

Schuerhoff, Norman (5)

Park, Andreas (5)

Lof, Matthijs (5)

Pasquariello, Paolo (5)

Ferrara, Gerardo (5)

Caporin, Massimiliano (5)

Holzmeister, Felix (5)

Deku, Solomon (5)

Horenstein, Alex (5)

Walther, Thomas (5)

Smales, Lee (5)

Brownlees, Christian (5)

Chernov, Mikhail (5)

Palan, Stefan (5)

Füllbrunn, Sascha (5)

Gehrig, Thomas (5)

Sojli, Elvira (5)

Liew, Chee (5)

Degryse, Hans (5)

Ødegaard, Bernt (5)

Renault, Thomas (5)

Gerritsen, Dirk (5)

Jurkatis, Simon (5)

Johannesson, Magnus (5)

Nielsson, Ulf (5)

FERROUHI, EL MEHDI (5)

Zhang, S. Sarah (5)

Roy, Saurabh (5)

Alexeev, Vitali (5)

Tonks, Ian (5)

Menkveld, Albert (5)

Schwarz, Marco (5)

Pastor, Lubos (5)

Korajczyk, Robert (5)

Huang, Wenqian (5)

Sarno, Lucio (5)

Talavera, Oleksandr (5)

Stefanova, Denitsa (5)

Bos, Charles (5)

Jalkh, Naji (5)

Rinne, Kalle (5)

Colliard, Jean-Edouard (4)

Voigt, Stefan (4)

Ait-Sahalia, Yacine (4)

CAPELLE-BLANCARD, Gunther (4)

Güçbilmez, Ufuk (4)

Schenk-Hoppé, Klaus (4)

Eugster, Nicolas (4)

Aloosh, Arash (4)

Neszveda, Gabor (4)

Koetter, Michael (4)

Bohorquez Correa, Santiago (4)

van Kervel, Vincent (3)

Chow, Nikolai Sheung-Chi (3)

Mihet, Roxana (3)

Abudy, Menachem (3)

He, Xuezhong (Tony) (3)

Taylor, Nick (3)

Gil-Bazo, Javier (2)

Söderlind, Paul (2)

PASCUAL, ROBERTO (2)

Prokopczuk, Marcel (2)

Zhou, Chen (2)

Vogel, Sebastian (2)

Heath, Davidson (2)

Theissen, Erik (2)

Kearney, Fearghal (2)

Patton, Andrew (2)

Hasse, Jean-Baptiste (2)

Andersen, Torben (2)

Moinas, Sophie (2)

Rakowski, David (2)

Hjalmarsson, Erik (2)

Wong, Wing-Keung (2)

Dumitrescu, Ariadna (2)

Roy, Saurabh (2)

Pelizzon, Loriana (2)

Gorbenko, Arseny (2)

Kassner, Bernhard (2)

Patel, Vinay (2)

Archakov, Ilya (2)

Putnins, Talis (2)

Adrian, Tobias (2)

Lajaunie, Quentin (2)

Regis, Luca (2)

Lopez-Lira, Alejandro (2)

Bjønnes, Geir (2)

Bouri, Elie (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 (50)

Gallo, Giampiero (36)

Brownlees, Christian (34)

Engle, Robert (26)

Schienle, Melanie (25)

Clements, Adam (23)

Caporin, Massimiliano (23)

Barigozzi, Matteo (20)

Herrera, Rodrigo (18)

Horst, Ulrich (18)

Wang, Gang-Jin (16)

Cites to:

Engle, Robert (128)

Bauwens, Luc (82)

Bollerslev, Tim (74)

Shephard, Neil (64)

Diebold, Francis (60)

Andersen, Torben (43)

Veredas, David (43)

Lunde, Asger (40)

Hansen, Peter (37)

Giot, Pierre (32)

Härdle, Wolfgang (30)

Main data

Where Nikolaus Hautsch has published?

Journals with more than one article published# docs
Journal of Financial Econometrics6
Journal of Applied Econometrics4
Journal of Empirical Finance4
Review of Finance3
Journal of Banking & Finance2
Journal of Econometrics2
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 / Humboldt University Berlin, Collaborative Research Center 649: Economic Risk30
CFS Working Paper Series / Center for Financial Studies (CFS)28
FRU Working Papers / University of Copenhagen. Department of Economics. Finance Research Unit7
CoFE Discussion Papers / University of Konstanz, Center of Finance and Econometrics (CoFE)7
Papers / arXiv.org6
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)4
Discussion Papers / University of Copenhagen. Department of Economics2

Recent works citing Nikolaus Hautsch (2025 and 2024)

YearTitle of citing document
2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2024). Blasques, Francisco ; Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1812.07318.

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2025Uniform Inference on High-dimensional Spatial Panel Networks. (2025). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424.

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2024On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges. (2024). Ranaldo, Angelo ; Barbon, Andrea. In: Papers. RePEc:arx:papers:2112.07386.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2024). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2025A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective. (2025). Zhao, YU ; Du, Huaming. In: Papers. RePEc:arx:papers:2211.14997.

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2025Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2023). Polivka, Jeannine ; Dimitriadis, Timo ; Streicher, Sina ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2212.11833.

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2024Interpretable ML for High-Frequency Execution. (2024). Ragel, Vincent ; Fabre, Timoth'Ee. In: Papers. RePEc:arx:papers:2307.04863.

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2025SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249.

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2024Enhancing Security in Blockchain Networks: Anomalies, Frauds, and Advanced Detection Techniques. (2024). Zhang, Yuanyuan ; Chan, Stephen ; Osterrieder, Joerg ; Chu, Jeffrey ; Mare, Codruta ; Misheva, Branka Hadji. In: Papers. RePEc:arx:papers:2402.11231.

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2024An Empirical Analysis of Scam Tokens on Ethereum Blockchain. (2024). Jeleskovic, Vahidin. In: Papers. RePEc:arx:papers:2402.19399.

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2024Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy. (2024). Wang, Yuhang ; Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2403.19439.

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2024A Novel Approach to Queue-Reactive Models: The Importance of Order Sizes. (2024). Carlier, Laurent ; Bodor, Hamza. In: Papers. RePEc:arx:papers:2405.18594.

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2024A nonparametric test for diurnal variation in spot correlation processes. (2024). Liu, Zhi ; Hounyo, Ulrich ; Christensen, Kim. In: Papers. RePEc:arx:papers:2408.02757.

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2024Optimal position-building strategies in competition. (2024). Chriss, Neil A. In: Papers. RePEc:arx:papers:2409.03586.

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2024Bellwether Trades: Characteristics of Trades influential in Predicting Future Price Movements in Markets. (2024). Ramdas, Tejas ; Wells, Martin T. In: Papers. RePEc:arx:papers:2409.05192.

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2024MarketGPT: Developing a Pre-trained transformer (GPT) for Modeling Financial Time Series. (2024). Varner, Jeffrey D ; Wheeler, Aaron. In: Papers. RePEc:arx:papers:2411.16585.

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2024VAR models with an index structure: A survey with new results. (2024). Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2412.11278.

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2025Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations. (2025). Cavaliere, Giuseppe ; Mikosch, Thomas ; Vilandt, Frederik ; Rahbek, Anders. In: Papers. RePEc:arx:papers:2505.06190.

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2024Decomposing Systemic Risk: The Roles of Contagion and Common Exposures. (2024). Hipp, Ruben ; Halaj, Grzegorz. In: Staff Working Papers. RePEc:bca:bocawp:24-19.

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2024Does negative news disclosure induce better decision‐making? Evidence from acquisitions. (2024). Shenoy, Jaideep ; Pintogutierrez, Cristian ; Ghosh, Chinmoy. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:2:p:325-372.

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2024Testing for jumps with robust spot volatility estimators. (2024). Sun, Yucheng. In: Statistica Neerlandica. RePEc:bla:stanee:v:78:y:2024:i:1:p:79-104.

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2024The Transmission of Monetary Policy to the Cost of Hedging. (2024). Koeniger, Winfried ; Fengler, Matthias ; Minger, Stephan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11556.

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2024Decomposing systemic risk: the roles of contagion and common exposures. (2024). Hipp, Ruben ; Haaj, Grzegorz. In: Working Paper Series. RePEc:ecb:ecbwps:20242929.

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2024Price clustering on cryptocurrency order books at a US-based exchange. (2024). Han, Seungoh. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s221463502400008x.

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2024The determinants of systemic risk contagion. (2024). Atasoy, Burak ; Erden, Lutfi ; Ozkan, Brahim. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s026499932300408x.

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2025A two-stage game model of probabilistic price manipulation in decentralized exchanges. (2025). Jang, Huisu ; Lee, Yunyoung ; Son, Bumho. In: Economic Modelling. RePEc:eee:ecmode:v:147:y:2025:i:c:s0264999325000501.

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2025Adaptive local VAR for dynamic economic policy uncertainty spillover. (2025). Gillmann, Niels ; Okhrin, Ostap. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000744.

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2024Stock market pattern recognition using symbol entropy analysis. (2024). Magner, Nicolas S ; Valle, Mauricio A ; Lavin, Jaime F. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s106294082400086x.

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2024Risk spillovers among oil, gold, stock, and foreign exchange markets: Evidence from G20 economies. (2024). Liu, Zixin ; He, Zhipeng ; Zhang, Shuguang ; Hu, Jun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001748.

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2024Dynamic credit risk transmissions among global major industries: Evidence from the TVP-VAR spillover approach. (2024). Choi, Sun-Yong ; Lim, Seo-Yeon. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001761.

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2025Imported risk in global financial markets: Evidence from cross-market connectedness. (2025). Ouyang, Zisheng ; Chen, Zhen ; Zhou, Xuewei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000142.

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2024Tail behavior of ACD models and consequences for likelihood-based estimation. (2024). Cavaliere, Giuseppe ; Mikosch, Thomas ; Vilandt, Frederik ; Rahbek, Anders. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299.

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2024Bellman filtering and smoothing for state–space models. (2024). Lange, Rutger-Jan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003482.

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2024Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures. (2024). Li, Yifan ; Pham, Manh Cuong ; Nolte, Ingmar. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000940.

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2024Modeling Turning Points in the Global Equity Market. (2024). Casarin, Roberto ; Billio, Monica ; Ahelegbey, Daniel Felix. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:60-75.

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2024Dynamic portfolio selection with sector-specific regularization. (2024). Wang, Linqi ; Hafner, Christian M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:17-33.

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2025Multiplicative Error Models: 20 years on. (2025). Gallo, Giampiero ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:209-229.

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2025The effect of currency risk on crypto asset utilization in Türkiye. (2025). Smales, Lee ; Baur, Dirk G ; Oefele, Nico. In: Emerging Markets Review. RePEc:eee:ememar:v:65:y:2025:i:c:s1566014125000135.

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2025Systemic risk between banks and firms in dual-layer dynamic networks. (2025). Qian, Shuitu ; You, Hang ; Zhang, Xiaoyuan. In: Emerging Markets Review. RePEc:eee:ememar:v:66:y:2025:i:c:s1566014125000251.

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2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile. (2024). Herrera, Rodrigo ; Candia, Claudio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000239.

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2024Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525.

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2025Tail risk dynamics of banks with score-driven extreme value models. (2025). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000155.

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2024International transmission of shocks and African forex markets. (2024). Teplova, Tamara ; Huang, Shoujun ; Gubareva, Mariya ; Bossman, Ahmed. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000902.

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2024African forex markets: Modeling their predictability and the asymmetric effects of oil and geopolitical risk. (2024). Teplova, Tamara ; Huang, Shoujun ; Gubareva, Mariya ; Bossman, Ahmed. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324003876.

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2024Physical climate risk attention and dynamic volatility connectedness among new energy stocks. (2024). Gong, XU ; Liao, Qin. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004195.

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2024Measuring financial stability in the presence of energy shocks. (2024). Mattera, Raffaele ; Snchez-Garca, Javier ; Cerqueti, Roy ; Cruz-Rambaud, Salvador. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006303.

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2024Fintech development and corporate credit risk: Evidence from an emerging market. (2024). Wu, Xiaomeng ; Zhou, Peng ; Mo, Lingyu ; Tan, Changchun. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000164.

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2024Does systemic risk in the fund markets predict future economic downturns?. (2024). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000218.

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2024Global uncertainties and Australian financial markets: Quantile time-frequency connectedness. (2024). Sheikh, Umaid A ; Hammoudeh, Shawkat ; Asadi, Mehrad ; Roubaud, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000309.

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2024Non-standard errors in the cryptocurrency world. (2024). Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

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2024Systemic risk prediction using machine learning: Does network connectedness help prediction?. (2024). Wang, Gang-Jin ; Zhu, You ; Chen, Yan ; Xie, Chi. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000796.

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2024Do stress and overstatement in the news affect the stock market? Evidence from COVID-19 news in The Wall Street Journal. (2024). Farina, Vincenzo ; Gufler, Ivan ; Carlini, Federico ; Previtali, Daniele. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001108.

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2024When one domino falls, others follow: A machine learning analysis of extreme risk spillovers in developed stock markets. (2024). Shafiullah, Muhammad ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001340.

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2024Realized normal volatility and maximum outlying jumps in high frequency returns for Korean won–US Dollar. (2024). Chae-Deug, YI. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s105752192400276x.

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2024Tail risk spillovers in the stock and forex markets at the major emergencies: Evidence from the G20 countries. (2024). Li, Kelong ; Feng, Yusen ; Mo, Tingcheng ; Xie, Chi ; Ouyang, Yingbo. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006446.

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2025Behind in time, behind in the game – time zone affects trading aggressiveness. (2025). Lepone, Grace ; Gautam, Anil. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007440.

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2024Proprietary algorithmic traders and liquidity supply during the pandemic. (2024). Nawn, Samarpan ; Banerjee, Anirban. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000825.

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2024Risk contagion and diversification among sovereign CDS, stock, foreign exchange and commodity markets: Fresh evidence from G7 and BRICS countries. (2024). He, Zhipeng ; Zhang, Shuguang. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002976.

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2024Financial instability in Europe: Does geopolitical risk from proximate countries and trading partners matter?. (2024). Shen, Wenyu ; Liu, Jiahao. In: Finance Research Letters. RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324006871.

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2025Bitcoin arbitrage and exchange default risk. (2025). Intini, Silvia ; Guo, Weiwei ; Jahanshahloo, Hossein. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s154461232401393x.

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2024Tail risk network analysis of Asian banks. (2024). Powell, Robert ; Bannigidadmath, Deepa ; Pham, Thach N. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000899.

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2024Information content of the limit order book: A cross-sectional analysis in Borsa Istanbul. (2024). Karahan, Cenk C ; Alayan-Gm, Aye. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000929.

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2024Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001543.

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2024Leveraged finance exposure in the banking system: Systemic risk and interconnectedness. (2024). Stanghellini, Elena ; Tanzi, Musile P ; Ranalli, M G ; de Novellis, G. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001580.

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2024Default dependence in the insurance and banking sectors: A copula approach. (2024). Zhao, Yang ; Zhang, Xuan ; Kim, Minjoo ; Yan, Cheng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001798.

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2024Interconnectedness between stock and credit markets: The role of European G-SIBs in a multilayer perspective. (2024). Wang, Gang-Jin ; Foglia, Matteo ; Pacelli, Vincenzo ; di Tommaso, Caterina. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000088.

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2024Forecasting Bitcoin volatility using machine learning techniques. (2024). Urquhart, Andrew ; Sangiorgi, Ivan ; Huang, Zih-Chun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001306.

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2025Forecasting realized volatility with spillover effects: Perspectives from graph neural networks. (2025). Cucuringu, Mihai ; Dong, Xiaowen ; Zhang, Chao ; Pu, Xingyue. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:377-397.

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2024Behavioral risk profiling: Measuring loss aversion of individual investors. (2024). van Dolder, Dennie ; Vandenbroucke, Jurgen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002073.

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2024Importance of transaction costs for asset allocation in foreign exchange markets. (2024). Taylor, Mark ; Maurer, Thomas A ; Pezzo, Luca ; Filippou, Ilias. In: Journal of Financial Economics. RePEc:eee:jfinec:v:159:y:2024:i:c:s0304405x24001090.

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2024ETFs and tail dependence: Evidence from Chinese stock market. (2024). Ning, Wei ; Zhao, Jiahua ; Jiang, Fuwei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:149:y:2024:i:c:s0261560624001815.

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2025Does monetary policy uncertainty moderate the transmission of policy shocks to government bond yields?. (2025). Wang, Ben Zhe ; Ying, Shan ; Sheen, Jeffrey ; Gu, Xin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:154:y:2025:i:c:s0261560625000567.

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2024Do stock swap bidders suspend their stock trading? Evidence from China. (2024). Qi, Qingyu ; Uchida, Konari ; Liu, Jianlei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:85:y:2024:i:c:s0927538x24000829.

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2024Managerial macroeconomic perception and systemic risk in China. (2024). Liu, Yumin ; Guo, Peng ; Jiang, Fuwei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24002579.

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2024Multilayer network analysis of idiosyncratic volatility connectedness: Evidence from China. (2024). Ouyang, Zisheng ; Zhou, Xuewei ; Lu, Min. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24002853.

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2025Investing in relative market positions in interconnected financial markets: A strategy for international portfolio diversification. (2025). Chen, Yiqing ; Yao, Shujie ; Ou, Jinghua. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:89:y:2025:i:c:s0927538x24003408.

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2025High-frequency liquidity in the Chinese stock market: Measurements, patterns, and determinants. (2025). Dai, Yuehao ; Zhao, Chaoyi ; Wu, Lan ; Chen, Ermo ; Zhang, Ruixun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x25000186.

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2024Permutation invariant Gaussian matrix models for financial correlation matrices. (2024). Ramgoolam, Sanjaye ; Stephanou, Michael ; Barnes, George. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:651:y:2024:i:c:s0378437124005247.

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2024A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling. (2024). David, S A ; Kristoufek, L ; Queiroz, R. G. S., . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:652:y:2024:i:c:s0378437124005557.

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2024Tail risk connectedness among GCC banks episodes from the Global Financial Crisis to COVID-19 pandemic. (2024). Maghyereh, Aktham ; Abdoh, Hussein. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:96:y:2024:i:c:s1062976924000759.

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2025Extreme spillovers among green finance, energy, and energy metals markets in China: Evidence under the dilemma of energy transition. (2025). Lin, Boqiang ; Zhang, Zongyou. In: Renewable Energy. RePEc:eee:renene:v:241:y:2025:i:c:s0960148125000655.

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2024Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions. (2024). Wang, Gang-Jin ; Ouyang, Zisheng ; Zhou, Xuewei ; Liu, Shuwen ; Lu, Min. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:909-928.

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2024Navigating median and extreme volatility in stock markets: Implications for portfolio strategies. (2024). Naeem, Muhammad Abubakr. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004994.

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2024Extreme dynamic connectedness and hedging strategy across commodity, bond, currency, and stock markets: Evidence from Asian Pacific, Canada, Mexico, and US countries. (2024). Kang, Sang Hoon ; el Khoury, Rim ; Al-Kharusi, Sami ; Mensi, Walid. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pa:s1059056024005252.

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2025Research on sovereign credit and international banking industry tail risk contagion ----Perspective from double-layer complex network. (2025). Xiao-Li, Gong ; Zhuo-Cheng, WU ; Xiong, Xiong ; Wei, Zhang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:99:y:2025:i:c:s1059056025001558.

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2024Over-expected shocks and financial market security: Evidence from Chinas markets. (2024). Sensoy, Ahmet ; Li, Yueshan ; Chen, Shoudong ; Wang, LU. In: Research in International Business and Finance. RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923003203.

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2024Corporate bond defaults and spillover effects on bank risk: Evidence from city commercial banks in China. (2024). Ouyang, Yiling ; Wang, Yaxin ; Gao, Haoyu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000448.

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2024Return spillover across the carbon market and financial markets: A quantile-based approach. (2024). Wang, Kangsheng ; Wen, Fenghua ; Zeng, Aiqing. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000916.

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2024Imported financial risk in global stock markets: Evidence from the interconnected network. (2024). Ouyang, Zisheng ; Zhou, Xuewei ; Lu, Min ; Liu, KE. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s027553192400093x.

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2024Anatomy of sovereign yield behaviour using textual news. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Dann, Susan ; Pradhan, H K ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002514.

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2024Network structure, dynamic evolution and block characteristics of sovereign debt risk: The global evidence. (2024). Guo, Wenjing ; Zhou, Yuqin ; Song, Ziyu ; Liu, Yilong ; Wu, Shan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pa:s027553192400285x.

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2024Exploring the Spillover effects of tail risk fluctuations in the RMB exchange rate—The time-frequency and quantile connectivity perspective. (2024). Huang, Zhigang ; Zhang, Weilan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pb:s0275531924003271.

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2025Asymmetry in returns and volatility between green financial assets, sustainable investments, clean energy, and international stock markets. (2025). Tiwari, Aviral ; doğan, buhari ; Aikins, Emmanuel Joel ; ben Jabeur, Sami ; Doan, Buhari. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924004197.

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2025Unraveling financial interconnectedness: A quantile VAR model analysis of AI-based assets, sukuk, and islamic equity indices. (2025). Billah, Mabruk. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005117.

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2024Multi-period portfolio optimization using a deep reinforcement learning hyper-heuristic approach. (2024). Yang, Xiaoying ; Cui, Tianxiang ; Ding, Shusheng ; Du, Nanjiang. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:198:y:2024:i:c:s0040162523006297.

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2025The Price of Processing: Information Frictions and Market Efficiency in DeFi. (2025). Azar, Pablo ; Sinha, Nish ; Olivas, Sergio. In: Staff Reports. RePEc:fip:fednsr:99907.

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2025Dynamic Modeling of Limit Order Book and Market Maker Strategy Optimization Based on Markov Queue Theory. (2025). Liang, Shenbao ; Hu, Changlong ; Liu, Yang ; Xie, Fei. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:5:p:778-:d:1600631.

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2024Reproducibility in Management Science. (2024). Ozkes, Ali ; Merkle, Christoph ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Fiar, Milo ; Katok, Elena. In: Post-Print. RePEc:hal:journl:hal-04370984.

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2024Let the Laser Beam Connect the Dots: Forecasting and Narrating Stock Market Volatility. (2024). Gupta, Amulya ; Yuan, Jie ; Zhang, Zhu. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:36:y:2024:i:6:p:1400-1416.

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2024Experimenting with Financial Professionals. (2024). Marini, Matteo M. ; Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07.

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More than 100 citations found, this list is not complete...

Nikolaus Hautsch is editor of

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FRU Working Papers

Works by Nikolaus Hautsch:

YearTitleTypeCited
2010Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence In: CREATES Research Papers.
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2013Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence.(2013) In: Journal of Business & Economic Statistics.
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2010Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence.(2010) In: CFS Working Paper Series.
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2010Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence.(2010) In: SFB 649 Discussion Papers.
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2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty In: Papers.
[Full Text][Citation analysis]		paper15
2019Large-scale portfolio allocation under transaction costs and model uncertainty.(2019) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 15		article
2017Large-scale portfolio allocation under transaction costs and model uncertainty.(2017) In: CFS Working Paper Series.
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This paper has nother version. Agregated cites: 15		paper
2021Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading In: Papers.
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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 nother version. Agregated cites: 0		article
2023Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets In: Papers.
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2024Building trust takes time: limits to arbitrage for blockchain-based assets.(2024) In: Review of Finance.
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This paper has nother version. Agregated cites: 6		article
2022HARNet: A Convolutional Neural Network for Realized Volatility Forecasting In: Papers.
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2022HARNet: A convolutional neural network for realized volatility forecasting.(2022) In: CFS Working Paper Series.
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This paper has nother version. Agregated cites: 3		paper
2024Jump detection in high-frequency order prices In: Papers.
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2024Consistent Estimation of the High-Dimensional Efficient Frontier In: Papers.
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2024Nonstandard Errors In: Journal of Finance.
[Full Text][Citation analysis]		article14
2024Nonstandard errors.(2024) In: LSE Research Online Documents on Economics.
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2021Non-Standard Errors.(2021) In: Working Papers.
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This paper has nother version. Agregated cites: 14		paper
2021Non-Standard Errors.(2021) In: Working Papers.
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2007A Dynamic Semiparametric Proportional Hazard Model In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article2
2006A Dynamic Semiparametric Proportional Hazard Model.(2006) In: FRU Working Papers.
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2014Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper22
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 nother version. Agregated cites: 22		article
2014Estimating the spot covariation of asset prices: Statistical theory and empirical evidence.(2014) In: CFS Working Paper Series.
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2014Estimating the spot covariation of asset prices: Statistical theory and empirical evidence.(2014) In: SFB 649 Discussion Papers.
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This paper has nother version. Agregated cites: 22		paper
2003Dynamic latent factor models for intensity processes In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper16
2006Modelling financial high frequency data using point processes In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper101
2009Modelling financial high frequency data using point processes.(2009) In: LIDAM Reprints CORE.
[Citation analysis]
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2006Modelling Financial High Frequency Data Using Point Processes.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2007Modelling financial high frequency data using point processes.(2007) In: SFB 649 Discussion Papers.
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This paper has nother version. Agregated cites: 101		paper
2006Stochastic conditional intensity processes In: LIDAM Reprints CORE.
[Citation analysis]		paper51
2006Stochastic Conditional Intensity Processes.(2006) In: Journal of Financial Econometrics.
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2007Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article32
2004Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery.(2004) In: Discussion Papers.
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2004Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery.(2004) In: FRU Working Papers.
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2004Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery.(2004) In: CFR Working Papers.
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This paper has nother version. Agregated cites: 32		paper
2010The impact of macroeconomic news on quote adjustments, noise and informational volatility In: Working Papers ECARES.
[Full Text][Citation analysis]		paper40
2011The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: Journal of Banking & Finance.
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2011The impact of macroeconomic news on quote adjustments, noise and informational volatility.(2011) In: ULB Institutional Repository.
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This paper has nother version. Agregated cites: 40		paper
2011The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: CFR Working Papers.
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This paper has nother version. Agregated cites: 40		paper
2010The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2010) In: CFS Working Paper Series.
[Full Text][Citation analysis]
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2010The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2010) In: SFB 649 Discussion Papers.
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This paper has nother version. Agregated cites: 40		paper
2000Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper3
2012Bayesian inference in a Stochastic Volatility Nelson–Siegel model In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article14
2010Bayesian inference in a stochastic volatility Nelson-Siegel Model.(2010) In: SFB 649 Discussion Papers.
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2008Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article25
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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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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2012The market impact of a limit order In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article60
2009The market impact of a limit order.(2009) In: CFS Working Paper Series.
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2009The market impact of a limit order.(2009) In: SFB 649 Discussion Papers.
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2022Local mispricing and microstructural noise: A parametric perspective In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2011When 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]		article108
2012Modelling and forecasting liquidity supply using semiparametric factor dynamics In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article23
2009Modelling and forecasting liquidity supply using semiparametric factor dynamics.(2009) In: CFS Working Paper Series.
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This paper has nother version. Agregated cites: 23		paper
2009Modelling and forecasting liquidity supply using semiparametric factor dynamics.(2009) In: SFB 649 Discussion Papers.
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This paper has nother version. Agregated cites: 23		paper
2016Dynamic conditional correlation multiplicative error processes In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article8
2002Volatility estimation on the basis of price intensities In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article14
1999Volatility Estimation on the Basis of Price Intensities.(1999) In: CoFE Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2007Modelling the buy and sell intensity in a limit order book market In: Journal of Financial Markets.
[Full Text][Citation analysis]		article39
2016Systemic risk spillovers in the European banking and sovereign network In: Journal of Financial Stability.
[Full Text][Citation analysis]		article98
2014Systemic risk spillovers in the European banking and sovereign network.(2014) In: CFS Working Paper Series.
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2016Systemic risk spillovers in the European banking and sovereign network.(2016) In: Working Paper Series in Economics.
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2014Forecasting systemic impact in financial networks In: International Journal of Forecasting.
[Full Text][Citation analysis]		article40
2013Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers.
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This paper has nother version. Agregated cites: 40		paper
2012Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article13
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 nother version. Agregated cites: 13		paper
2003Estimating 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]		article17
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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2019How effective are trading pauses? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article23
2017How effective are trading pauses?.(2017) In: CFS Working Paper Series.
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2012Price adjustment to news with uncertain precision In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article4
2008Price Adjustment to News with Uncertain Precision.(2008) In: FRU Working Papers.
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This paper has nother version. Agregated cites: 4		paper
2008Price adjustment to news with uncertain precision.(2008) In: CFR Working Papers.
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2011Price adjustment to news with uncertain precision.(2011) In: CFR Working Papers.
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2008Price adjustment to news with uncertain precision.(2008) In: CFS Working Paper Series.
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This paper has nother version. Agregated cites: 4		paper
2008Price adjustment to news with uncertain precision.(2008) In: SFB 649 Discussion Papers.
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This paper has nother version. Agregated cites: 4		paper
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper5
2007Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper2
2007Modelling Financial High Frequency Data Using Point Processes In: SFB 649 Discussion Papers.
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2008Price Adjustment to News with Uncertain Precision In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2008Measuring and Modeling Risk Using High-Frequency Data In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper4
2008Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper8
2008Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper4
2008Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2008Testing Multiplicative Error Models Using Conditional Moment Tests In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2009Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper5
2009A blocking and regularization approach to high dimensional realized covariance estimation In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper10
2009The Market Impact of a Limit Order In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper40
2009Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2010Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper17
2010The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2010Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2010Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper2
2011Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper7
2011Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper19
2011The Merit of High-Frequency Data in Portfolio Allocation In: SFB 649 Discussion Papers.
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2011Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers.
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2012On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper10
2012Local Adaptive Multiplicative Error Models for High-Frequency Forecasts In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper7
2012Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes In: SFB 649 Discussion Papers.
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2012Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper16
2012Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2013Forecasting systemic impact in financial networks In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper11
2013Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper5
2013Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper30
2014Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2014Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper5
2004A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market In: Discussion Papers.
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2004A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market.(2004) In: FRU Working Papers.
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2004A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market.(2004) In: Research Paper Series.
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2005The latent factor VAR model: Testing for a common component in the intraday trading process In: FRU Working Papers.
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2004Order Aggressiveness and Order Book Dynamics In: FRU Working Papers.
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2006Order aggressiveness and order book dynamics.(2006) In: Empirical Economics.
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2008Order aggressiveness and order book dynamics.(2008) In: Studies in Empirical Economics.
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2006Testing the Conditional Mean Function of Autoregressive Conditional Duration Models In: FRU Working Papers.
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2002Semiparametric autoregressive conditional proportional hazard models In: Economics Papers.
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2013Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes 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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2010Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2010) In: SFB 649 Discussion Papers.
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2021A Descriptive Study of High-Frequency Trade and Quote Option Data* In: Journal of Financial Econometrics.
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2003Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities In: Journal of Financial Econometrics.
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2023Maximum-Likelihood Estimation Using the Zig-Zag Algorithm* In: Journal of Financial Econometrics.
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2015Financial Network Systemic Risk Contributions In: Review of Finance.
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2013Financial network systemic risk contributions.(2013) In: CFS Working Paper Series.
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2011Financial network systemic risk contributions.(2011) In: SFB 649 Discussion Papers.
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2012Financial network systemic risk contributions.(2012) In: SFB 649 Discussion Papers.
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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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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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2003Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations In: Journal of Asset Management.
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2017Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? In: Rationality and Competition Discussion Paper Series.
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2014Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?.(2014) In: CFS Working Paper Series.
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2012Econometrics of Financial High-Frequency Data In: Springer Books.
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2014Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth In: University of East Anglia Applied and Financial Economics Working Paper Series.
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2012A blocking and regularization approach to high‐dimensional realized covariance estimation In: Journal of Applied Econometrics.
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2009A blocking and regularization approach to high dimensional realized covariance estimation.(2009) In: CFS Working Paper Series.
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2009A blocking and regularization approach to high dimensional realized covariance estimation.(2009) In: SFB 649 Discussion Papers.
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2015Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations? In: Journal of Applied Econometrics.
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2013Do high-frequency data improve high-dimensional portfolio allocations?.(2013) In: SFB 649 Discussion Papers.
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2015Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts In: Journal of Applied Econometrics.
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2012Local adaptive multiplicative error models for high-frequency forecasts.(2012) In: SFB 649 Discussion Papers.
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2020Multivariate dynamic intensity peaks‐over‐threshold models In: Journal of Applied Econometrics.
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2015Multivariate dynamic intensity peaks-over-threshold models.(2015) In: CFS Working Paper Series.
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2013Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models In: Journal of Forecasting.
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2011Predicting bid-ask spreads using long memory autoregressive conditional poisson models.(2011) In: SFB 649 Discussion Papers.
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1999Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions In: Finance.
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1999Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions.(1999) In: CoFE Discussion Papers.
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2009Quantifying high-frequency market reactions to real-time news sentiment announcements In: CFS Working Paper Series.
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2009Quantifying high-frequency market reactions to real-time news sentiment announcements.(2009) In: SFB 649 Discussion Papers.
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2011The merit of high-frequency data in portfolio allocation In: CFS Working Paper Series.
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2011The merit of high-frequency data in portfolio allocation.(2011) In: SFB 649 Discussion Papers.
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2012On the dark side of the market: Identifying and analyzing hidden order placements In: CFS Working Paper Series.
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2012On the dark side of the market: Identifying and analyzing hidden order placements.(2012) In: SFB 649 Discussion Papers.
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2013Copula-based dynamic conditional correlation multiplicative error processes In: CFS Working Paper Series.
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2012Copula-based dynamic conditional correlation multiplicative error processes.(2012) In: SFB 649 Discussion Papers.
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2014Efficient iterative maximum likelihood estimation of high-parameterized time series models In: CFS Working Paper Series.
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2014Efficient iterative maximum likelihood estimation of high-parameterized time series models.(2014) In: SFB 649 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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2017The ambivalent role of high-frequency trading in turbulent market periods In: CFS Working Paper Series.
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2017Counterparty credit limits: An effective tool for mitigating counterparty risk? In: CFS Working Paper Series.
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2018Limits to arbitrage in markets with stochastic settlement latency In: CFS Working Paper Series.
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2019Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect? In: CFS Working Paper Series.
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2000Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model In: CoFE Discussion Papers.
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2001Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities In: CoFE Discussion Papers.
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2002Modelling Intraday Trading Activity Using Box-Cox-ACD Models In: CoFE Discussion Papers.
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2001Shirking or mismatch? Coach-team separation in German professional soccer In: Discussion Papers, Series I.
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2008Measuring and modeling risk using high-frequency data In: SFB 649 Discussion Papers.
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2008Modelling high-frequency volatility and liquidity using multiplicative error models In: SFB 649 Discussion Papers.
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2008Yield curve factors, term structure volatility, and bond risk premia In: SFB 649 Discussion Papers.
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2008Discrete-time stochastic volatility models and MCMC-based statistical inference In: SFB 649 Discussion Papers.
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2008Testing multiplicative error models using conditional moment tests In: SFB 649 Discussion Papers.
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2011Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data In: SFB 649 Discussion Papers.
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2012Modeling time-varying dependencies between positive-valued high-frequency time series In: SFB 649 Discussion Papers.
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2013Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency In: SFB 649 Discussion Papers.
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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.
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2001A mean variance king? Creation and resolution of uncertainty under the employment reports reign In: ZEW Discussion Papers.
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