Nikolaus Hautsch : Citation Profile

Are you Nikolaus Hautsch?

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

21

H index

32

i10 index

1432

Citations

RESEARCH PRODUCTION:

36

Articles

103

Papers

1

Books

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   24 years (1999 - 2023). See details.
   Cites by year: 59
   Journals where Nikolaus Hautsch has often published
   Relations with other researchers
   Recent citing documents: 153.    Total self citations: 66 (4.41 %)

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   Permalink: http://citec.repec.org/pha10
   Updated: 2023-11-04    RAS profile: 2022-10-20    
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Relations with other researchers

Works with:

Rakowski, David (2)

Xia, Shuo (2)

Jurkatis, Simon (2)

Zhou, Chen (2)

Palan, Stefan (2)

LINTON, OLIVER (2)

Dumitrescu, Ariadna (2)

Frijns, Bart (2)

Archakov, Ilya (2)

Kassner, Bernhard (2)

Tonks, Ian (2)

Mihet, Roxana (2)

Chernov, Mikhail (2)

Park, Andreas (2)

Taylor, Nick (2)

Pelizzon, Loriana (2)

Rinne, Kalle (2)

Ferrara, Gerardo (2)

van Kervel, Vincent (2)

Pastor, Lubos (2)

Wolff, Christian (2)

Reitz, Stefan (2)

Deev, Oleg (2)

Sarno, Lucio (2)

Dimpfl, Thomas (2)

Holzmeister, Felix (2)

Ranaldo, Angelo (2)

Lajaunie, Quentin (2)

Lof, Matthijs (2)

Liew, Chee (2)

Sojli, Elvira (2)

Verousis, Thanos (2)

Colliard, Jean-Edouard (2)

Nielsson, Ulf (2)

Putnins, Talis (2)

Vilkov, Grigory (2)

He, Xuezhong (Tony) (2)

FERROUHI, EL MEHDI (2)

Foucault, Thierry (2)

Bos, Charles (2)

Renault, Thomas (2)

Xiu, Dacheng (2)

PASCUAL, ROBERTO (2)

Brownlees, Christian (2)

Hurlin, Christophe (2)

Caporin, Massimiliano (2)

CAPELLE-BLANCARD, Gunther (2)

Jalkh, Naji (2)

Alexeev, Vitali (2)

Deku, Solomon (2)

Talavera, Oleksandr (2)

Pasquariello, Paolo (2)

Vogel, Sebastian (2)

Johannesson, Magnus (2)

Gehrig, Thomas (2)

Schenk-Hoppé, Klaus (2)

Wilhelmsson, Anders (2)

Kearney, Fearghal (2)

Schwarz, Marco (2)

Chow, Nikolai Sheung-Chi (2)

Roy, Saurabh (2)

Frömmel, Michael (2)

Stefanova, Denitsa (2)

Davies, Ryan (2)

Korajczyk, Robert (2)

Harris, Jeffrey (2)

Moinas, Sophie (2)

Bohorquez Correa, Santiago (2)

Theissen, Erik (2)

Ødegaard, Bernt (2)

Horenstein, Alex (2)

Smales, Lee (2)

Patton, Andrew (2)

Heath, Davidson (2)

Wong, Wing-Keung (2)

Prokopczuk, Marcel (2)

Gorbenko, Arseny (2)

Gerritsen, Dirk (2)

Lopez-Lira, Alejandro (2)

Abudy, Menachem (2)

Menkveld, Albert (2)

Bouri, Elie (2)

Scaillet, Olivier (2)

Ait-Sahalia, Yacine (2)

Schuerhoff, Norman (2)

Hjalmarsson, Erik (2)

Adrian, Tobias (2)

Regis, Luca (2)

Patel, Vinay (2)

Dreber, Anna (2)

Walther, Thomas (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 (36)

Gallo, Giampiero (30)

Brownlees, Christian (28)

Caporin, Massimiliano (22)

Engle, Robert (22)

Clements, Adam (22)

Schienle, Melanie (21)

Barigozzi, Matteo (18)

Horst, Ulrich (13)

Wang, Weining (13)

Cipollini, Fabrizio (12)

Cites to:

Engle, Robert (97)

Bauwens, Luc (71)

Bollerslev, Tim (47)

Shephard, Neil (45)

Diebold, Francis (44)

Veredas, David (38)

Härdle, Wolfgang (30)

Giot, Pierre (30)

Lunde, Asger (29)

Andersen, Torben (27)

Hansen, Peter (24)

Main data

Where Nikolaus Hautsch has published?

Journals with more than one article published# docs
The Journal of Financial Econometrics5
Journal of Empirical Finance4
Journal of Applied Econometrics4
Journal of Business & Economic Statistics2
Journal of Banking & Finance2
Review of Finance2
Journal of Econometrics2
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany30
CFS Working Paper Series / Center for Financial Studies (CFS)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.org4
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 (2023 and 2022)

YearTitle of citing document
2022Amplitude-Based Time Series Data Clustering Method. (2022). Chakraborty, Basabi ; Shirota, Yukari. In: Gakushuin Economic Papers. RePEc:abc:gakuep:59-2-1.

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2022Market Impact: A Systematic Study of Limit Orders. (2019). Paribas, Bnp ; Markets, Global ; Fr'ed'eric Abergel, ; Ayed, Hadj ; Bel, Ahmed ; Husson, Alexandre ; Hadj, Ahmed Bel ; Said, Emilio . In: Papers. RePEc:arx:papers:1802.08502.

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2022Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2022A 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.

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2022Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2023Learning Financial Network with Focally Sparse Structure. (2021). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424.

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2023On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges. (2021). Ranaldo, Angelo ; Barbon, Andrea. In: Papers. RePEc:arx:papers:2112.07386.

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2022Extremal Dependence in Australian Electricity Markets. (2022). Han, Lin ; Trueck, Stefan ; Cribben, Ivor. In: Papers. RePEc:arx:papers:2202.09970.

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2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2022Application 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.

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2022The Econometrics of Financial Duration Modeling. (2022). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Papers. RePEc:arx:papers:2208.02098.

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2022Learning Financial Networks with High-frequency Trade Data. (2022). Easley, David ; Basu, Sumanta ; Karpman, Kara. In: Papers. RePEc:arx:papers:2208.03568.

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2022Comparing Stochastic Volatility Specifications for Large Bayesian VARs. (2022). , Joshua. In: Papers. RePEc:arx:papers:2208.13255.

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2023A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2022Efficient 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.

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2022Measuring 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.

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2023Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808.

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2023Symmetric 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.

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2023Towards systematic intraday news screening: a liquidity-focused approach. (2023). Rosenbaum, Mathieu ; Zhang, Jianfei. In: Papers. RePEc:arx:papers:2304.05115.

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2023Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991.

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2023Conditional 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.

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2023Tackling 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.

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2023Estimation of an Order Book Dependent Hawkes Process for Large Datasets. (2023). Sancetta, Alessio ; Mucciante, Luca. In: Papers. RePEc:arx:papers:2307.09077.

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2022The 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.

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2022Tail 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.

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2023The 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.

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2023Where 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.

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2023A 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.

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2022The 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.

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2022Bayesian 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.

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2022Machine 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.

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2022Conditional 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.

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2022Asymmetric 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.

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2022The 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.

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2023A 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.

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2023Interconnectedness 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.

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2023Economic 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.

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2023Frequency 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.

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2022Contagion 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.

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2022Order 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.

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2022Multiscale 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.

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2023Time-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.

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2023Is 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.

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2022Occupation 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.

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2022Realized 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.

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2022Affine 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.

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2023Bias 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.

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2023Reprint 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.

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2023Bootstrap 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.

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2023Modeling 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.

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2023A 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.

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2022Analyzing 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.

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2022New 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.

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2023Optimal 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.

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2023Spillovers 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.

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2023Tail-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.

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2023Systemic 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.

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2022Bitcoin 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.

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2022High-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.

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2022The 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.

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2022Extreme 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.

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2022Energy 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.

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2023Extreme 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.

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2023Effect 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.

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2022High-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.

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2022Regulatory 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.

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2022Systemic 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.

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2022When 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.

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2022Analysis 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.

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2022Using 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.

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2022Quantile 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.

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2022How 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.

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2022Research 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.

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2022Measuring 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.

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2023Does 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.

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2022COVID–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.

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2022Profitability 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.

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2022The 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.

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2023Price 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.

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2022Realizing 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.

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2023Stock 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.

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2022The 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.

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2022Systemic 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.

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2022The 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.

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2022Assessing 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.

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2022Bearish 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.

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2022Sovereign 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.

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2022Banking 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.

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2023Forecasting 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.

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2022Predicting 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.

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2022Weighted 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.

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2022Modeling 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.

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2022Contagion 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.

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2023A 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.

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2022Cryptocurrency 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.

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2022Spillovers 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.

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2022Price 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.

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2022Order 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.

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

Nikolaus Hautsch is editor of

Journal
FRU Working Papers

Works by Nikolaus Hautsch:

YearTitleTypeCited
2010Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence In: CREATES Research Papers.
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2010Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence.(2010) In: SFB 649 Discussion Papers.
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2013Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence.(2013) In: Journal of Business & Economic Statistics.
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2010Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence.(2010) In: CFS Working Paper Series.
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2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty In: Papers.
[Full Text][Citation analysis]		paper9
2019Large-scale portfolio allocation under transaction costs and model uncertainty.(2019) In: Journal of Econometrics.
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2017Large-scale portfolio allocation under transaction costs and model uncertainty.(2017) In: CFS Working Paper Series.
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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 another version. Agregated cites: 0		article
2023Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets In: Papers.
[Full Text][Citation analysis]		paper3
2022HARNet: A Convolutional Neural Network for Realized Volatility Forecasting In: Papers.
[Full Text][Citation analysis]		paper1
2022HARNet: A convolutional neural network for realized volatility forecasting.(2022) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 1		paper
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]		paper17
2019Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence.(2019) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 17		article
2014Estimating the spot covariation of asset prices: Statistical theory and empirical evidence.(2014) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17		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]		paper100
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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2006Stochastic conditional intensity processes In: LIDAM Reprints CORE.
[Full Text][Citation analysis]		paper47
2006Stochastic Conditional Intensity Processes.(2006) In: The 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]		article31
2004Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery.(2004) In: Discussion Papers.
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2004Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery.(2004) In: FRU Working Papers.
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2004Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery.(2004) In: CFR Working Papers.
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2010The impact of macroeconomic news on quote adjustments, noise and informational volatility In: Working Papers ECARES.
[Full Text][Citation analysis]		paper38
2011The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: Journal of Banking & Finance.
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2010The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility.(2010) In: SFB 649 Discussion Papers.
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2011The impact of macroeconomic news on quote adjustments, noise and informational volatility.(2011) In: ULB Institutional Repository.
[Citation analysis]
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2011The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: CFR Working Papers.
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2010The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2010) In: CFS Working Paper Series.
[Full Text][Citation analysis]
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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]		article30
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]		article23
2007Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model.(2007) In: SFB 649 Discussion Papers.
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2007Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model.(2007) In: CFS Working Paper Series.
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2012The market impact of a limit order In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article60
2009The Market Impact of a Limit Order.(2009) In: SFB 649 Discussion Papers.
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2009The market impact of a limit order.(2009) In: CFS Working Paper Series.
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2022Local mispricing and microstructural noise: A parametric perspective In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
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]		article95
2012Modelling and forecasting liquidity supply using semiparametric factor dynamics In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article21
2009Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics.(2009) In: SFB 649 Discussion Papers.
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2009Modelling and forecasting liquidity supply using semiparametric factor dynamics.(2009) In: CFS Working Paper Series.
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2016Dynamic conditional correlation multiplicative error processes In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article7
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 another 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]		article38
2016Systemic risk spillovers in the European banking and sovereign network In: Journal of Financial Stability.
[Full Text][Citation analysis]		article71
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]		article48
2013Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 48		paper
2012Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article12
2009Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields.(2009) In: CFS Working Paper Series.
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2003Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions In: Journal of Economic Behavior & Organization.
[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]		article18
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]		article3
2008Price Adjustment to News with Uncertain Precision.(2008) In: SFB 649 Discussion Papers.
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2008Price Adjustment to News with Uncertain Precision.(2008) In: FRU Working Papers.
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2008Price adjustment to news with uncertain precision.(2008) In: CFR Working Papers.
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2011Price adjustment to news with uncertain precision.(2011) In: CFR Working Papers.
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2008Price adjustment to news with uncertain precision.(2008) In: CFS Working Paper Series.
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2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
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2021Non-Standard Errors.(2021) In: Working Papers.
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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.
[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.
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2009A blocking and regularization approach to high dimensional realized covariance estimation In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper62
2012A blocking and regularization approach to high?dimensional realized covariance estimation.(2012) In: Journal of Applied Econometrics.
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2009A blocking and regularization approach to high dimensional realized covariance estimation.(2009) In: CFS Working Paper Series.
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2009Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements In: SFB 649 Discussion Papers.
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2009Quantifying high-frequency market reactions to real-time news sentiment announcements.(2009) In: CFS Working Paper Series.
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2010Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper40
2013Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2013) In: The Journal of Financial Econometrics.
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2014Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2014) In: The 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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2011Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models In: SFB 649 Discussion Papers.
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2013Predicting Bid–Ask Spreads Using Long?Memory Autoregressive Conditional Poisson Models.(2013) In: Journal of Forecasting.
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2011Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper19
2011The Merit of High-Frequency Data in Portfolio Allocation In: SFB 649 Discussion Papers.
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2011The merit of high-frequency data in portfolio allocation.(2011) In: CFS Working Paper Series.
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2011Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers.
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2012Financial Network Systemic Risk Contributions.(2012) In: SFB 649 Discussion Papers.
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2015Financial Network Systemic Risk Contributions.(2015) In: Review of Finance.
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2013Financial network systemic risk contributions.(2013) In: CFS Working Paper Series.
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2012On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements In: SFB 649 Discussion Papers.
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2012On the dark side of the market: Identifying and analyzing hidden order placements.(2012) In: CFS Working Paper Series.
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2012Local Adaptive Multiplicative Error Models for High-Frequency Forecasts In: SFB 649 Discussion Papers.
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2015Local Adaptive Multiplicative Error Models for High?Frequency Forecasts.(2015) In: Journal of Applied Econometrics.
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2012Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes In: SFB 649 Discussion Papers.
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2013Copula-based dynamic conditional correlation multiplicative error processes.(2013) In: CFS Working Paper Series.
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2012Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2013Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper33
2015Do High?Frequency Data Improve High?Dimensional Portfolio Allocations?.(2015) In: Journal of Applied Econometrics.
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2013Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper28
2014Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2014Efficient iterative maximum likelihood estimation of high-parameterized time series models.(2014) In: CFS Working Paper Series.
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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.
[Full Text][Citation analysis]		paper0
2004Order Aggressiveness and Order Book Dynamics In: FRU Working Papers.
[Full Text][Citation analysis]		paper44
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.
[Citation analysis]
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2006Testing the Conditional Mean Function of Autoregressive Conditional Duration Models In: FRU Working Papers.
[Full Text][Citation analysis]		paper7
2002Semiparametric autoregressive conditional proportional hazard models In: Economics Papers.
[Full Text][Citation analysis]		paper1
2021A Descriptive Study of High-Frequency Trade and Quote Option Data* In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1
2003Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities In: The Journal of Financial Econometrics.
[Citation analysis]		article9
2002The 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]		article19
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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