Prof. Dr. Nikolaus Hautsch

Professor of Econometrics
University of Vienna, Austria

Web Link | SSRN Author Page

CFS Working Papers

247 Nikolaus Hautsch Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model Economics of Exchanges2007
284 Nikolaus Hautsch, Dieter Hess, Christoph Müller Price Adjustment to News with Uncertain Precision Economics of Exchanges2008
467 Frank Betz, Nikolaus Hautsch, Tuomas A. Peltonen, Melanie Schienle Systemic Risk Spillovers in the European Banking and Sovereign Network Trading and Pricing in Financial Markets2014systemic risk contribution, tail dependence, network topology, sovereignbank linkages, Value-at-Risk
468 Gökhan Cebiroglu, Nikolaus Hautsch, Ulrich Horst Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? Trading and Pricing in Financial Markets2014liquidity externalities, order flow, trade signaling, limit order book
477 Markus Bibinger, Nikolaus Hautsch, Peter Malec, Markus Reiss Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence Trading and Pricing in Financial Markets2014local method of moments, spot covariance, smoothing, intraday (co-)variation risk
516 Nikolaus Hautsch, Rodrigo Herrera Multivariate Dynamic Intensity Peaks-Over-Threshold Models Corporate Finance & Financial Markets2015Extreme value theory, Value-at-Risk, Expected shortfall, Self-exciting point process, Conditional intensity
569 Torben G. Andersen, Gökhan Cebiroglu, Nikolaus Hautsch Volatility, Information Feedback and Market Microstructure Noise: A Tale of Two Regimes Corporate Finance & Financial Markets2017
571 Nikolaus Hautsch, Akos Horvath How Effective are Trading Pauses? Corporate Finance & Financial Markets2017
581 Martin D. Gould, Nikolaus Hautsch, Sam D. Howison, Mason A. Porter Counterparty Credit Limits: An Effective Tool for Mitigating Counterparty Risk? Corporate Finance & Financial Markets2017
580 Nikolaus Hautsch, Michael Noé, S. Sarah Zhang The Ambivalent Role of High-Frequency Trading in Turbulent Market Periods Corporate Finance & Financial Markets2017
582 Nikolaus Hautsch, Stefan Voigt Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty Corporate Finance & Financial Markets2017
616 Nikolaus Hautsch, Christoph Scheuch, Stefan Voigt Limits to Arbitrage in Markets with Stochastic Settlement Latency Corporate Finance & Financial Markets0
450 Nikolaus Hautsch, Ostap Okhrin, Alexander Ristig Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models Trading and Pricing in Financial Markets2014
441 Nikolaus Hautsch, Julia Schaumburg, Melanie Schienle Financial Network Systemic Risk Contributions Trading and Pricing in Financial Markets2013
440 Taras Bodnar, Nikolaus Hautsch Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes Trading and Pricing in Financial Markets2013
315 Nikolaus Hautsch, Yangguoyi Ou Analyzing Interest Rate Risk: Stochastic Volatility in the Term Structure of Government Bond Yields Economics of Exchanges2009
332 Nikolaus Hautsch, Lada M. Kyj, Roel C.A. Oomen A Blocking and Regularization Approach to High Dimensional Realized Covariance Estimation Economics of Exchanges2009
330 Wolfgang Karl Härdle, Nikolaus Hautsch, Andrija Mihoci Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynanmics Economics of Exchanges2009
335 Nikolaus Hautsch, Ruihong Huang The Market Impact of a Limit Order Economics of Exchanges2009
343 Axel Groß-Klußmann, Nikolaus Hautsch Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements Economics of Exchanges2009
345 Nikolaus Hautsch, Dieter Hess, David Veredas The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility Economics of Exchanges2011
361 Nikolaus Hautsch, Mark Podolskij Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence Economics of Exchanges2011
363 Nikolaus Hautsch, Peter Malec, Melanie Schienle Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes Economics of Exchanges2011
394 Nikolaus Hautsch, Lada M. Kyj, Peter Malec The Merit of High-Frequency Data in Portfolio Allocation Trading and Pricing in Financial Markets2011
395 Nikolaus Hautsch, Peter Malec, Melanie Schienle Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes Trading and Pricing in Financial Markets2011
405 Nikolaus Hautsch, Ruihong Huang On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements Trading and Pricing in Financial Markets2012
625 Gökhan Cebiroglu, Nikolaus Hautsch, Christopher Walsh Revisiting the Stealth Trading Hypothesis: Does Time-Varying Liquidity Explain The Size-Effect?2019