Nikolaus Hautsch : Citation Profile

Are you Nikolaus Hautsch?

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

20

H index

38

i10 index

1538

Citations

RESEARCH PRODUCTION:

34

Articles

137

Papers

1

Books

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   25 years (1999 - 2024). See details.
   Cites by year: 61
   Journals where Nikolaus Hautsch has often published
   Relations with other researchers
   Recent citing documents: 158.    Total self citations: 71 (4.41 %)

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   Permalink: http://citec.repec.org/pha10
   Updated: 2024-12-03    RAS profile: 2024-10-08    
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Relations with other researchers

Works with:

Bos, Charles (4)

Füllbrunn, Sascha (4)

Sojli, Elvira (4)

Deku, Solomon (4)

Liew, Chee (4)

Walther, Thomas (4)

Talavera, Oleksandr (4)

Horenstein, Alex (4)

Stefanova, Denitsa (4)

Reitz, Stefan (4)

Palan, Stefan (4)

Wolff, Christian (4)

FERROUHI, EL MEHDI (4)

Pastor, Lubos (4)

Korajczyk, Robert (4)

CAPELLE-BLANCARD, Gunther (4)

Dreber, Anna (4)

Gehrig, Thomas (4)

Renault, Thomas (4)

Jurkatis, Simon (4)

Voigt, Stefan (4)

Deev, Oleg (4)

Menkveld, Albert (4)

Shachar, Or (4)

Nielsson, Ulf (4)

Brownlees, Christian (4)

Ait-Sahalia, Yacine (4)

Hurlin, Christophe (4)

Ødegaard, Bernt (4)

Jalkh, Naji (4)

Frömmel, Michael (4)

Harris, Jeffrey (4)

Johannesson, Magnus (4)

Rinne, Kalle (4)

Sarno, Lucio (4)

Ranaldo, Angelo (4)

Foucault, Thierry (4)

Verousis, Thanos (4)

Schwarz, Marco (4)

Caporin, Massimiliano (4)

Schuerhoff, Norman (4)

Davies, Ryan (4)

Lof, Matthijs (4)

Huang, Wenqian (4)

Zhang, S. Sarah (4)

Dimpfl, Thomas (4)

Chernov, Mikhail (4)

Colliard, Jean-Edouard (4)

Vilkov, Grigory (4)

Schenk-Hoppé, Klaus (4)

Smales, Lee (4)

Frijns, Bart (4)

Pasquariello, Paolo (4)

Xiu, Dacheng (3)

Alexeev, Vitali (3)

Holzmeister, Felix (3)

Neszveda, Gabor (3)

Bohorquez Correa, Santiago (3)

Koetter, Michael (3)

Degryse, Hans (3)

Güçbilmez, Ufuk (3)

Taylor, Nick (3)

Aloosh, Arash (3)

Roy, Saurabh (3)

Mihet, Roxana (3)

Xia, Shuo (3)

Eugster, Nicolas (3)

Wilhelmsson, Anders (3)

Patton, Andrew (2)

Theissen, Erik (2)

Prokopczuk, Marcel (2)

Wong, Wing-Keung (2)

Putnins, Talis (2)

Gerritsen, Dirk (2)

Chow, Nikolai Sheung-Chi (2)

Andersen, Torben (2)

Pelizzon, Loriana (2)

Bouri, Elie (2)

Rakowski, David (2)

Patel, Vinay (2)

Roy, Saurabh (2)

Hjalmarsson, Erik (2)

Lajaunie, Quentin (2)

Gorbenko, Arseny (2)

Kassner, Bernhard (2)

Gil-Bazo, Javier (2)

Adrian, Tobias (2)

Archakov, Ilya (2)

Regis, Luca (2)

Zhou, Chen (2)

Vogel, Sebastian (2)

Park, Andreas (2)

Tonks, Ian (2)

Lopez-Lira, Alejandro (2)

Ferrara, Gerardo (2)

Dumitrescu, Ariadna (2)

Söderlind, Paul (2)

Scaillet, Olivier (2)

PASCUAL, ROBERTO (2)

Bjønnes, Geir (2)

Moinas, Sophie (2)

He, Xuezhong (Tony) (2)

Abudy, Menachem (2)

LINTON, OLIVER (2)

Heath, Davidson (2)

Kearney, Fearghal (2)

van Kervel, Vincent (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 (45)

Gallo, Giampiero (31)

Brownlees, Christian (31)

Engle, Robert (26)

Schienle, Melanie (25)

Clements, Adam (21)

Barigozzi, Matteo (20)

Horst, Ulrich (18)

Caporin, Massimiliano (17)

Wang, Weining (16)

Wang, Gang-Jin (16)

Cites to:

Engle, Robert (132)

Bauwens, Luc (83)

Bollerslev, Tim (74)

Shephard, Neil (65)

Diebold, Francis (61)

Andersen, Torben (44)

Veredas, David (43)

Lunde, Asger (43)

Hansen, Peter (39)

Giot, Pierre (33)

Härdle, Wolfgang (32)

Main data

Where Nikolaus Hautsch has published?

Journals with more than one article published# docs
Journal of Financial Econometrics6
Journal of Empirical Finance4
Review of Finance3
Journal of Business & Economic Statistics2
Journal of Econometrics2
Journal of Banking & Finance2
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
SFB 649 Discussion Papers / Humboldt University Berlin, Collaborative Research Center 649: Economic Risk30
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.org6
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)4
Discussion Papers / University of Copenhagen. Department of Economics2

Recent works citing Nikolaus Hautsch (2024 and 2023)

YearTitle of citing document
2024Zero-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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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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2024On 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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2024Application 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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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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2023Efficient 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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2023Measuring 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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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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2024Tackling 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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2023BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438.

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

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

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2024.

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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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2023Do market-based networks reflect true exposures between banks?. (2023). Karamysheva, Madina ; Craig, Ben ; Salakhova, Dilyara. In: Working Paper Series. RePEc:ecb:ecbwps:20232867.

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

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2023Lost in translation. When sentiment metrics for one market are derived from two different languages. (2023). Smales, Lee ; Khuu, Joyce ; Durand, Robert B. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000394.

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

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2023Quantile spillovers and connectedness analysis between oil and African stock markets. (2023). Kang, Sang Hoon ; Vo, Xuan Vinh ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:60-83.

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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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2023The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants. (2023). Pan, Beier. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001074.

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

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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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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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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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2023Comparing stochastic volatility specifications for large Bayesian VARs. (2023). Chan, Joshua. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1419-1446.

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

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

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

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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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2023Bayesian learning in performance. Is there any?. (2023). Tsionas, Mike G. In: European Journal of Operational Research. RePEc:eee:ejores:v:311:y:2023:i:1:p:263-282.

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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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2023When “time varying” volatility meets “transaction cost” in portfolio selection. (2023). Li, E ; Wen, T ; Liao, Y ; Gibberd, A ; Bu, D ; Qiao, W. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:220-237.

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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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2023Risk network of global energy markets. (2023). Uddin, Gazi ; Okhrin, Yarema ; Rahman, Md Lutfur ; Jayasekera, Ranadeva ; Yahya, Muhammad ; Luo, Tianqi. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003808.

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2023The risk spillover of high carbon enterprises in China: Evidence from the stock market. (2023). Yin, Hua ; Zhu, Pingheng ; Wu, Baohui ; Wen, Fenghua. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004371.

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

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2023Extreme risk contagion between international crude oil and Chinas energy-intensive sectors: New evidence from quantile Granger causality and spillover methods. (2023). Sun, Yan-Lin ; Chen, Bin-Xia. In: Energy. RePEc:eee:energy:v:285:y:2023:i:c:s0360544223028621.

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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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2023The impact of COVID-19 on stock market liquidity: Fresh evidence on listed Chinese firms. (2023). Apergis, Nicholas ; Xu, Bing ; Lau, Chi Keung. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003630.

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2023Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector. (2023). Zhou, Xuewei ; Ouyang, Zisheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004088.

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2023Measurement and contagion modelling of systemic risk in Chinas financial sectors: Evidence for functional data analysis and complex network. (2023). Gu, Qinen ; Li, Shaofang ; Tian, Sihua. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004295.

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

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

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

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

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

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

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

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2023A study of interconnections and contagion among Chinese financial institutions using a ?CoV aR network. (2022). Xu, Zezhou ; Mo, Dongxu ; Chen, Yan. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321003950.

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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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2023Interconnectedness of financial institutions based on pledged shares in China. (2023). Liu, Zhidong ; Yan, Guan. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005238.

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2023European bank credit risk transmission during the credit Suisse collapse. (2023). Bouri, Elie ; Foglia, Matteo ; Nekhili, Ramzi. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323008243.

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

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

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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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2023Quantile connectedness and the determinants between FinTech and traditional financial institutions: Evidence from China. (2023). Uddin, Gazi ; Wang, Gang-Jin ; Chen, Yan ; Xie, Chi ; Zhu, You. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323001011.

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2023The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R ; Badics, Milan Csaba. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001051.

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

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

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

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

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2023Projected Dynamic Conditional Correlations. (2023). Brownlees, Christian ; Llorens-Terrazas, Jordi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1761-1776.

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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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2023The case for CASE: Estimating heterogeneous systemic effects. (2023). Zhu, Guangwei ; Escanciano, Juan Carlos ; Du, Zaichao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:157:y:2023:i:c:s0378426623002133.

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2023Arbitrageurs in the Bitcoin ecosystem: Evidence from user-level trading patterns in the Mt. Gox exchange platform. (2023). Saggese, Pietro ; Bohme, Rainer ; Facchini, Angelo ; Dimitri, Nicola ; Belmonte, Alessandro. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:213:y:2023:i:c:p:251-270.

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2023The extreme risk connectedness of the global financial system: G7 and BRICS evidence. (2023). Lu, Shuai ; Li, Shaofang ; Chen, Ning. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:69:y:2023:i:c:s1042444x23000312.

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2023News tone, investor sentiment, and liquidity premium. (2023). Zhou, Ming ; Wu, Kai ; Liu, Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:167-181.

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2023What impacts foreign capital flows to Chinas stock markets? Evidence from financial risk spillover networks. (2023). Li, Songsong ; Xu, Hao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:559-577.

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2023The tail wagging the dog: How do meme stocks affect market efficiency?. (2023). Ouzan, Samuel ; Choi, Hyung-Eun ; Aloosh, Arash. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:68-78.

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

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Nikolaus Hautsch is editor of

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FRU Working Papers

Works by Nikolaus Hautsch:

YearTitleTypeCited
2010Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence In: CREATES Research Papers.
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2013Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence.(2013) In: Journal of Business & Economic Statistics.
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2010Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence.(2010) In: CFS Working Paper Series.
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2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty In: Papers.
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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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2023Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets In: Papers.
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2024Building trust takes time: limits to arbitrage for blockchain-based assets.(2024) In: Review of Finance.
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2022HARNet: A Convolutional Neural Network for Realized Volatility Forecasting In: Papers.
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2022HARNet: A convolutional neural network for realized volatility forecasting.(2022) In: CFS Working Paper Series.
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2024Jump detection in high-frequency order prices In: Papers.
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2024Consistent Estimation of the High-Dimensional Efficient Frontier In: Papers.
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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]		paper20
2019Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence.(2019) In: Journal of Business & Economic Statistics.
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2014Estimating the spot covariation of asset prices: Statistical theory and empirical evidence.(2014) In: CFS Working Paper Series.
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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]		paper99
2009Modelling financial high frequency data using point processes.(2009) In: LIDAM Reprints CORE.
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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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2006Stochastic conditional intensity processes In: LIDAM Reprints CORE.
[Citation analysis]		paper51
2006Stochastic Conditional Intensity Processes.(2006) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 51		article
2007Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article32
2004Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery.(2004) In: Discussion Papers.
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2004Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery.(2004) In: FRU Working Papers.
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2004Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery.(2004) In: CFR Working Papers.
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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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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.
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.() In: .
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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.
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.() In: .
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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]		article24
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]		article55
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]		article1
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]		article105
2012Modelling and forecasting liquidity supply using semiparametric factor dynamics In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article22
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]		article15
1999Volatility Estimation on the Basis of Price Intensities.(1999) In: CoFE Discussion Papers.
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This paper has nother version. Agregated cites: 15		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]		article82
2014Systemic 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: 82		paper
2016Systemic risk spillovers in the European banking and sovereign network.(2016) In: Working Paper Series in Economics.
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This paper has nother version. Agregated cites: 82		paper
2014Forecasting systemic impact in financial networks In: International Journal of Forecasting.
[Full Text][Citation analysis]		article38
.() In: .
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This paper has nother version. Agregated cites: 38		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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This paper has nother version. Agregated cites: 12		paper
2003Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article17
2001Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions.(2001) In: CoFE Discussion Papers.
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This paper has nother version. Agregated cites: 17		paper
2019How effective are trading pauses? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article22
2017How effective are trading pauses?.(2017) In: CFS Working Paper Series.
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This paper has nother version. Agregated cites: 22		paper
2012Price adjustment to news with uncertain precision In: Journal of International Money and Finance.
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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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This paper has nother version. Agregated cites: 3		paper
2024Nonstandard errors In: LSE Research Online Documents on Economics.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
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2007Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper2
2007Modelling Financial High Frequency Data Using Point Processes In: SFB 649 Discussion Papers.
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2008Price Adjustment to News with Uncertain Precision In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2008Measuring and Modeling Risk Using High-Frequency Data In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper4
2008Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper8
2008Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper4
2008Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2008Testing Multiplicative Error Models Using Conditional Moment Tests In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2009Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper5
2009A blocking and regularization approach to high dimensional realized covariance estimation In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper10
2009The Market Impact of a Limit Order In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper40
2009Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2010Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper17
2010The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2010Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2010Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper2
2011Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper7
2011Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper19
2011The Merit of High-Frequency Data in Portfolio Allocation In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper18
2011Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers.
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2012On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper10
2012Local Adaptive Multiplicative Error Models for High-Frequency Forecasts In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper7
2012Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2012Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper16
2012Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2013Forecasting systemic impact in financial networks In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper11
2013Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper5
2013Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper30
2014Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper1
2014Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper5
2004A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market In: Discussion Papers.
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2004A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market.(2004) In: FRU Working Papers.
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2004A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market.(2004) In: Research Paper Series.
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2005The latent factor VAR model: Testing for a common component in the intraday trading process In: FRU Working Papers.
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2004Order Aggressiveness and Order Book Dynamics In: FRU Working Papers.
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2006Order aggressiveness and order book dynamics.(2006) In: Empirical Economics.
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2008Order aggressiveness and order book dynamics.(2008) In: Studies in Empirical Economics.
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2006Testing the Conditional Mean Function of Autoregressive Conditional Duration Models In: FRU Working Papers.
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2002Semiparametric autoregressive conditional proportional hazard models In: Economics Papers.
[Full Text][Citation analysis]		paper1
2013Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article40
2014Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2014) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
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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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.() In: .
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2021A Descriptive Study of High-Frequency Trade and Quote Option Data* In: Journal of Financial Econometrics.
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2003Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities In: Journal of Financial Econometrics.
[Citation analysis]		article10
2023Maximum-Likelihood Estimation Using the Zig-Zag Algorithm* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2015Financial Network Systemic Risk Contributions In: Review of Finance.
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2013Financial network systemic risk contributions.(2013) In: CFS Working Paper Series.
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2002The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report In: Review of Finance.
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2002The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report.(2002) In: CoFE Discussion Papers.
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2003Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations In: Journal of Asset Management.
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2017Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? In: Rationality and Competition Discussion Paper Series.
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2014Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?.(2014) In: CFS Working Paper Series.
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2012Econometrics of Financial High-Frequency Data In: Springer Books.
[Citation analysis]		book49
2014Bayesian 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]		paper0
2013Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models In: Journal of Forecasting.
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.() In: .
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1999Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions In: Finance.
[Full Text][Citation analysis]		paper3
1999Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions.(1999) In: CoFE Discussion Papers.
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2009A blocking and regularization approach to high dimensional realized covariance estimation In: CFS Working Paper Series.
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.() In: .
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2009Quantifying high-frequency market reactions to real-time news sentiment announcements In: CFS Working Paper Series.
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.() In: .
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2011The merit of high-frequency data in portfolio allocation In: CFS Working Paper Series.
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2012On the dark side of the market: Identifying and analyzing hidden order placements In: CFS Working Paper Series.
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2013Copula-based dynamic conditional correlation multiplicative error processes In: CFS Working Paper Series.
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2014Efficient iterative maximum likelihood estimation of high-parameterized time series models In: CFS Working Paper Series.
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2015Multivariate dynamic intensity peaks-over-threshold models In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper3
2017Volatility, information feedback and market microstructure noise: A tale of two regimes In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper2
2017The ambivalent role of high-frequency trading in turbulent market periods In: CFS Working Paper Series.
[Full Text][Citation analysis]		paper7
2017Counterparty credit limits: An effective tool for mitigating counterparty risk? In: CFS Working Paper Series.
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2018Limits to arbitrage in markets with stochastic settlement latency In: CFS Working Paper Series.
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2019Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect? In: CFS Working Paper Series.
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2000Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model In: CoFE Discussion Papers.
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2001Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities In: CoFE Discussion Papers.
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2002Modelling Intraday Trading Activity Using Box-Cox-ACD Models In: CoFE Discussion Papers.
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2001Shirking or mismatch? Coach-team separation in German professional soccer In: Discussion Papers, Series I.
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2017Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information In: VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking.
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2001A mean variance king? Creation and resolution of uncertainty under the employment reports reign In: ZEW Discussion Papers.
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