22
H index
42
i10 index
1736
Citations
Universität Wien (90% share) | 22 H index 42 i10 index 1736 Citations RESEARCH PRODUCTION: 39 Articles 137 Papers 1 Books 1 Chapters EDITOR: Series edited RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Nikolaus Hautsch. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2024 | Zero-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. Full description at Econpapers || Download paper | |
2025 | Uniform Inference on High-dimensional Spatial Panel Networks. (2025). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424. Full description at Econpapers || Download paper | |
2024 | On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges. (2024). Ranaldo, Angelo ; Barbon, Andrea. In: Papers. RePEc:arx:papers:2112.07386. Full description at Econpapers || Download paper | |
2025 | Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2024 | Application 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. Full description at Econpapers || Download paper | |
2025 | A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective. (2025). Zhao, YU ; Du, Huaming. In: Papers. RePEc:arx:papers:2211.14997. Full description at Econpapers || Download paper | |
2025 | Efficient 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. Full description at Econpapers || Download paper | |
2024 | Interpretable ML for High-Frequency Execution. (2024). Ragel, Vincent ; Fabre, Timoth'Ee. In: Papers. RePEc:arx:papers:2307.04863. Full description at Econpapers || Download paper | |
2025 | SpotV2Net: 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. Full description at Econpapers || Download paper | |
2024 | Enhancing 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. Full description at Econpapers || Download paper | |
2024 | An Empirical Analysis of Scam Tokens on Ethereum Blockchain. (2024). Jeleskovic, Vahidin. In: Papers. RePEc:arx:papers:2402.19399. Full description at Econpapers || Download paper | |
2024 | Dynamic 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. Full description at Econpapers || Download paper | |
2024 | A Novel Approach to Queue-Reactive Models: The Importance of Order Sizes. (2024). Carlier, Laurent ; Bodor, Hamza. In: Papers. RePEc:arx:papers:2405.18594. Full description at Econpapers || Download paper | |
2024 | A nonparametric test for diurnal variation in spot correlation processes. (2024). Liu, Zhi ; Hounyo, Ulrich ; Christensen, Kim. In: Papers. RePEc:arx:papers:2408.02757. Full description at Econpapers || Download paper | |
2024 | Optimal position-building strategies in competition. (2024). Chriss, Neil A. In: Papers. RePEc:arx:papers:2409.03586. Full description at Econpapers || Download paper | |
2024 | Bellwether 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. Full description at Econpapers || Download paper | |
2024 | MarketGPT: Developing a Pre-trained transformer (GPT) for Modeling Financial Time Series. (2024). Varner, Jeffrey D ; Wheeler, Aaron. In: Papers. RePEc:arx:papers:2411.16585. Full description at Econpapers || Download paper | |
2024 | VAR models with an index structure: A survey with new results. (2024). Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2412.11278. Full description at Econpapers || Download paper | |
2025 | Beyond 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. Full description at Econpapers || Download paper | |
2024 | Decomposing Systemic Risk: The Roles of Contagion and Common Exposures. (2024). Hipp, Ruben ; Halaj, Grzegorz. In: Staff Working Papers. RePEc:bca:bocawp:24-19. Full description at Econpapers || Download paper | |
2024 | Does 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. Full description at Econpapers || Download paper | |
2024 | Testing 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. Full description at Econpapers || Download paper | |
2024 | The 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. Full description at Econpapers || Download paper | |
2024 | Decomposing systemic risk: the roles of contagion and common exposures. (2024). Hipp, Ruben ; Haaj, Grzegorz. In: Working Paper Series. RePEc:ecb:ecbwps:20242929. Full description at Econpapers || Download paper | |
2024 | Price 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. Full description at Econpapers || Download paper | |
2024 | The 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. Full description at Econpapers || Download paper | |
2025 | A 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. Full description at Econpapers || Download paper | |
2025 | Adaptive 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. Full description at Econpapers || Download paper | |
2024 | Stock 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. Full description at Econpapers || Download paper | |
2024 | Risk 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. Full description at Econpapers || Download paper | |
2024 | Dynamic 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. Full description at Econpapers || Download paper | |
2025 | Imported 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. Full description at Econpapers || Download paper | |
2024 | Tail 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. Full description at Econpapers || Download paper | |
2024 | Bellman 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. Full description at Econpapers || Download paper | |
2024 | Parametric 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. Full description at Econpapers || Download paper | |
2024 | Modeling 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. Full description at Econpapers || Download paper | |
2024 | Dynamic 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. Full description at Econpapers || Download paper | |
2025 | Multiplicative 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. Full description at Econpapers || Download paper | |
2025 | The 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. Full description at Econpapers || Download paper | |
2025 | Systemic 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. Full description at Econpapers || Download paper | |
2024 | An 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. Full description at Econpapers || Download paper | |
2024 | Non-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. Full description at Econpapers || Download paper | |
2025 | Tail 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. Full description at Econpapers || Download paper | |
2024 | International 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. Full description at Econpapers || Download paper | |
2024 | African 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. Full description at Econpapers || Download paper | |
2024 | Physical 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. Full description at Econpapers || Download paper | |
2024 | Measuring 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. Full description at Econpapers || Download paper | |
2024 | Fintech 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. Full description at Econpapers || Download paper | |
2024 | Does 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. Full description at Econpapers || Download paper | |
2024 | Global 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. Full description at Econpapers || Download paper | |
2024 | Non-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. Full description at Econpapers || Download paper | |
2024 | Systemic 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. Full description at Econpapers || Download paper | |
2024 | Do 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. Full description at Econpapers || Download paper | |
2024 | When 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. Full description at Econpapers || Download paper | |
2024 | Realized 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. Full description at Econpapers || Download paper | |
2024 | Tail 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. Full description at Econpapers || Download paper | |
2025 | Behind 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. Full description at Econpapers || Download paper | |
2024 | Proprietary 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. Full description at Econpapers || Download paper | |
2024 | Risk 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. Full description at Econpapers || Download paper | |
2024 | Financial 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. Full description at Econpapers || Download paper | |
2025 | Bitcoin 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. Full description at Econpapers || Download paper | |
2024 | Tail 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. Full description at Econpapers || Download paper | |
2024 | Information 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. Full description at Econpapers || Download paper | |
2024 | Financial 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. Full description at Econpapers || Download paper | |
2024 | Leveraged 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. Full description at Econpapers || Download paper | |
2024 | Default 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. Full description at Econpapers || Download paper | |
2024 | Interconnectedness 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. Full description at Econpapers || Download paper | |
2024 | Forecasting 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. Full description at Econpapers || Download paper | |
2025 | Forecasting 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. Full description at Econpapers || Download paper | |
2024 | Behavioral 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. Full description at Econpapers || Download paper | |
2024 | Importance 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. Full description at Econpapers || Download paper | |
2024 | ETFs 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. Full description at Econpapers || Download paper | |
2025 | Does 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. Full description at Econpapers || Download paper | |
2024 | Do 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. Full description at Econpapers || Download paper | |
2024 | Managerial 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. Full description at Econpapers || Download paper | |
2024 | Multilayer 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. Full description at Econpapers || Download paper | |
2025 | Investing 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. Full description at Econpapers || Download paper | |
2025 | High-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. Full description at Econpapers || Download paper | |
2024 | Permutation 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. Full description at Econpapers || Download paper | |
2024 | A 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. Full description at Econpapers || Download paper | |
2024 | Tail 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. Full description at Econpapers || Download paper | |
2025 | Extreme 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. Full description at Econpapers || Download paper | |
2024 | Multilayer 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. Full description at Econpapers || Download paper | |
2024 | Navigating 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. Full description at Econpapers || Download paper | |
2024 | Extreme 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. Full description at Econpapers || Download paper | |
2025 | Research 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. Full description at Econpapers || Download paper | |
2024 | Over-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. Full description at Econpapers || Download paper | |
2024 | Corporate 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. Full description at Econpapers || Download paper | |
2024 | Return 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. Full description at Econpapers || Download paper | |
2024 | Imported 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. Full description at Econpapers || Download paper | |
2024 | Anatomy 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. Full description at Econpapers || Download paper | |
2024 | Network 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. Full description at Econpapers || Download paper | |
2024 | Exploring 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. Full description at Econpapers || Download paper | |
2025 | Asymmetry 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. Full description at Econpapers || Download paper | |
2025 | Unraveling 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. Full description at Econpapers || Download paper | |
2024 | Multi-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. Full description at Econpapers || Download paper | |
2025 | The Price of Processing: Information Frictions and Market Efficiency in DeFi. (2025). Azar, Pablo ; Sinha, Nish ; Olivas, Sergio. In: Staff Reports. RePEc:fip:fednsr:99907. Full description at Econpapers || Download paper | |
2025 | Dynamic 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. Full description at Econpapers || Download paper | |
2024 | Reproducibility 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. Full description at Econpapers || Download paper | |
2024 | Let 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. Full description at Econpapers || Download paper | |
2024 | Experimenting with Financial Professionals. (2024). Marini, Matteo M. ; Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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FRU Working Papers |
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2010 | Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 59 |
2013 | Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence.(2013) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | article | |
2010 | Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence.(2010) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | paper | |
2010 | Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence.(2010) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | paper | |
2018 | Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty In: Papers. [Full Text][Citation analysis] | paper | 15 |
2019 | Large-scale portfolio allocation under transaction costs and model uncertainty.(2019) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
2017 | Large-scale portfolio allocation under transaction costs and model uncertainty.(2017) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2021 | Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading.(2020) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2023 | Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets In: Papers. [Full Text][Citation analysis] | paper | 6 |
2024 | Building trust takes time: limits to arbitrage for blockchain-based assets.(2024) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2022 | HARNet: A Convolutional Neural Network for Realized Volatility Forecasting In: Papers. [Full Text][Citation analysis] | paper | 3 |
2022 | HARNet: A convolutional neural network for realized volatility forecasting.(2022) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2024 | Jump detection in high-frequency order prices In: Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | Consistent Estimation of the High-Dimensional Efficient Frontier In: Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | Nonstandard Errors In: Journal of Finance. [Full Text][Citation analysis] | article | 14 |
2024 | Nonstandard errors.(2024) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2007 | A Dynamic Semiparametric Proportional Hazard Model In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 2 |
2006 | A Dynamic Semiparametric Proportional Hazard Model.(2006) In: FRU Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2014 | Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 22 |
2019 | Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence.(2019) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
2014 | Estimating the spot covariation of asset prices: Statistical theory and empirical evidence.(2014) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2014 | Estimating the spot covariation of asset prices: Statistical theory and empirical evidence.(2014) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2003 | Dynamic latent factor models for intensity processes In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 16 |
2006 | Modelling financial high frequency data using point processes In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 101 |
2009 | Modelling financial high frequency data using point processes.(2009) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 101 | paper | |
2006 | Modelling Financial High Frequency Data Using Point Processes.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 101 | paper | |
2007 | Modelling financial high frequency data using point processes.(2007) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 101 | paper | |
2006 | Stochastic conditional intensity processes In: LIDAM Reprints CORE. [Citation analysis] | paper | 51 |
2006 | Stochastic Conditional Intensity Processes.(2006) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | article | |
2007 | Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 32 |
2004 | Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery.(2004) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
2004 | Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery.(2004) In: FRU Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
2004 | Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery.(2004) In: CFR Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
2010 | The impact of macroeconomic news on quote adjustments, noise and informational volatility In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 40 |
2011 | The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | article | |
2011 | The impact of macroeconomic news on quote adjustments, noise and informational volatility.(2011) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
2011 | The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2011) In: CFR Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
2010 | The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2010) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
2010 | The impact of macroeconomic news on quote adjustments, noise, and informational volatility.(2010) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
2000 | Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 3 |
2012 | Bayesian inference in a Stochastic Volatility Nelson–Siegel model In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 14 |
2010 | Bayesian inference in a stochastic volatility Nelson-Siegel Model.(2010) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2008 | Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 25 |
2007 | Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model.(2007) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
2007 | Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model.(2007) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
2012 | The market impact of a limit order In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 60 |
2009 | The market impact of a limit order.(2009) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | paper | |
2009 | The market impact of a limit order.(2009) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | paper | |
2022 | Local mispricing and microstructural noise: A parametric perspective In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
2011 | When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 108 |
2012 | Modelling and forecasting liquidity supply using semiparametric factor dynamics In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 23 |
2009 | Modelling and forecasting liquidity supply using semiparametric factor dynamics.(2009) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
2009 | Modelling and forecasting liquidity supply using semiparametric factor dynamics.(2009) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
2016 | Dynamic conditional correlation multiplicative error processes In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 8 |
2002 | Volatility estimation on the basis of price intensities In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 14 |
1999 | Volatility Estimation on the Basis of Price Intensities.(1999) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2007 | Modelling the buy and sell intensity in a limit order book market In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 39 |
2016 | Systemic risk spillovers in the European banking and sovereign network In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 98 |
2014 | Systemic risk spillovers in the European banking and sovereign network.(2014) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 98 | paper | |
2016 | Systemic risk spillovers in the European banking and sovereign network.(2016) In: Working Paper Series in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 98 | paper | |
2014 | Forecasting systemic impact in financial networks In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 40 |
2013 | Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
2012 | Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 13 |
2009 | Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields.(2009) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2003 | Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 17 |
2001 | Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions.(2001) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2019 | How effective are trading pauses? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 23 |
2017 | How effective are trading pauses?.(2017) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
2012 | Price adjustment to news with uncertain precision In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 4 |
2008 | Price Adjustment to News with Uncertain Precision.(2008) In: FRU Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2008 | Price adjustment to news with uncertain precision.(2008) In: CFR Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2011 | Price adjustment to news with uncertain precision.(2011) In: CFR Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2008 | Price adjustment to news with uncertain precision.(2008) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2008 | Price adjustment to news with uncertain precision.(2008) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 5 |
2007 | Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2007 | Modelling Financial High Frequency Data Using Point Processes In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2008 | Price Adjustment to News with Uncertain Precision In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Measuring and Modeling Risk Using High-Frequency Data In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2008 | Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
2008 | Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2008 | Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2008 | Testing Multiplicative Error Models Using Conditional Moment Tests In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2009 | Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2009 | A blocking and regularization approach to high dimensional realized covariance estimation In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
2009 | The Market Impact of a Limit Order In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 40 |
2009 | Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2010 | Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 17 |
2010 | The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Pre-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] | paper | 1 |
2010 | Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2011 | Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
2011 | Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 19 |
2011 | The Merit of High-Frequency Data in Portfolio Allocation In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 18 |
2011 | Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
2012 | On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
2012 | Local Adaptive Multiplicative Error Models for High-Frequency Forecasts In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
2012 | Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 16 |
2012 | Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Forecasting systemic impact in financial networks In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 11 |
2013 | Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2013 | Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 30 |
2014 | Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2014 | Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2004 | A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market In: Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
2004 | A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market.(2004) In: FRU Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2004 | A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2005 | The latent factor VAR model: Testing for a common component in the intraday trading process In: FRU Working Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | Order Aggressiveness and Order Book Dynamics In: FRU Working Papers. [Full Text][Citation analysis] | paper | 47 |
2006 | Order aggressiveness and order book dynamics.(2006) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | article | |
2008 | Order aggressiveness and order book dynamics.(2008) In: Studies in Empirical Economics. [Citation analysis] This paper has nother version. Agregated cites: 47 | chapter | |
2006 | Testing the Conditional Mean Function of Autoregressive Conditional Duration Models In: FRU Working Papers. [Full Text][Citation analysis] | paper | 7 |
2002 | Semiparametric autoregressive conditional proportional hazard models In: Economics Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 41 |
2014 | Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2014) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | article | |
2010 | Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2010) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | paper | |
2011 | Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2011) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | paper | |
2010 | Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2010) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | paper | |
2021 | A Descriptive Study of High-Frequency Trade and Quote Option Data* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 6 |
2003 | Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities In: Journal of Financial Econometrics. [Citation analysis] | article | 10 |
2023 | Maximum-Likelihood Estimation Using the Zig-Zag Algorithm* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
2015 | Financial Network Systemic Risk Contributions In: Review of Finance. [Full Text][Citation analysis] | article | 256 |
2013 | Financial network systemic risk contributions.(2013) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 256 | paper | |
2011 | Financial network systemic risk contributions.(2011) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 256 | paper | |
2012 | Financial network systemic risk contributions.(2012) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 256 | paper | |
2002 | The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report In: Review of Finance. [Full Text][Citation analysis] | article | 19 |
2002 | The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report.(2002) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2003 | Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations In: Journal of Asset Management. [Full Text][Citation analysis] | article | 1 |
2017 | Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? In: Rationality and Competition Discussion Paper Series. [Full Text][Citation analysis] | paper | 0 |
2014 | Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?.(2014) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2012 | Econometrics of Financial High-Frequency Data In: Springer Books. [Citation analysis] | book | 52 |
2014 | Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth In: University of East Anglia Applied and Financial Economics Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2012 | A blocking and regularization approach to high‐dimensional realized covariance estimation In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 63 |
2009 | A blocking and regularization approach to high dimensional realized covariance estimation.(2009) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 63 | paper | |
2009 | A blocking and regularization approach to high dimensional realized covariance estimation.(2009) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 63 | paper | |
2015 | Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations? In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 33 |
2013 | Do high-frequency data improve high-dimensional portfolio allocations?.(2013) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | paper | |
2015 | Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 22 |
2012 | Local adaptive multiplicative error models for high-frequency forecasts.(2012) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2020 | Multivariate dynamic intensity peaks‐over‐threshold models In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 7 |
2015 | Multivariate dynamic intensity peaks-over-threshold models.(2015) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2013 | Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models In: Journal of Forecasting. [Full Text][Citation analysis] | article | 6 |
2011 | Predicting bid-ask spreads using long memory autoregressive conditional poisson models.(2011) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
1999 | Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions In: Finance. [Full Text][Citation analysis] | paper | 3 |
1999 | Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions.(1999) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2009 | Quantifying high-frequency market reactions to real-time news sentiment announcements In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2009 | Quantifying high-frequency market reactions to real-time news sentiment announcements.(2009) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2011 | The merit of high-frequency data in portfolio allocation In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 21 |
2011 | The merit of high-frequency data in portfolio allocation.(2011) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
2012 | On the dark side of the market: Identifying and analyzing hidden order placements In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 10 |
2012 | On the dark side of the market: Identifying and analyzing hidden order placements.(2012) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2013 | Copula-based dynamic conditional correlation multiplicative error processes In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2012 | Copula-based dynamic conditional correlation multiplicative error processes.(2012) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2014 | Efficient iterative maximum likelihood estimation of high-parameterized time series models In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2014 | Efficient iterative maximum likelihood estimation of high-parameterized time series models.(2014) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2017 | Volatility, information feedback and market microstructure noise: A tale of two regimes In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2017 | The ambivalent role of high-frequency trading in turbulent market periods In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 7 |
2017 | Counterparty credit limits: An effective tool for mitigating counterparty risk? In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2018 | Limits to arbitrage in markets with stochastic settlement latency In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2019 | Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect? In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2000 | Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model In: CoFE Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2001 | Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities In: CoFE Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2002 | Modelling Intraday Trading Activity Using Box-Cox-ACD Models In: CoFE Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
2001 | Shirking or mismatch? Coach-team separation in German professional soccer In: Discussion Papers, Series I. [Full Text][Citation analysis] | paper | 3 |
2008 | Measuring and modeling risk using high-frequency data In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Modelling high-frequency volatility and liquidity using multiplicative error models In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Yield curve factors, term structure volatility, and bond risk premia In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Discrete-time stochastic volatility models and MCMC-based statistical inference In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Testing multiplicative error models using conditional moment tests In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2012 | Modeling time-varying dependencies between positive-valued high-frequency time series In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information In: VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. [Full Text][Citation analysis] | paper | 0 |
2001 | A mean variance king? Creation and resolution of uncertainty under the employment reports reign In: ZEW Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
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