| 247 |
Nikolaus Hautsch
|
Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model
|
Economics of Exchanges
|
2007 |
|
| 284 |
Nikolaus Hautsch,
Dieter Hess,
Christoph Müller
|
Price Adjustment to News with Uncertain Precision
|
Economics of Exchanges
|
2008 |
|
| 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 Markets
|
2014 |
systemic 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 Markets
|
2014 |
liquidity 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 Markets
|
2014 |
local 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 Markets
|
2015 |
Extreme 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 Markets
|
2017 |
|
| 571 |
Nikolaus Hautsch,
Akos Horvath
|
How Effective are Trading Pauses?
|
Corporate Finance & Financial Markets
|
2017 |
|
| 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 Markets
|
2017 |
|
| 580 |
Nikolaus Hautsch,
Michael Noé,
S. Sarah Zhang
|
The Ambivalent Role of High-Frequency Trading in Turbulent Market Periods
|
Corporate Finance & Financial Markets
|
2017 |
|
| 582 |
Nikolaus Hautsch,
Stefan Voigt
|
Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty
|
Corporate Finance & Financial Markets
|
2017 |
|
| 616 |
Nikolaus Hautsch,
Christoph Scheuch,
Stefan Voigt
|
Limits to Arbitrage in Markets with Stochastic Settlement Latency
|
Corporate Finance & Financial Markets
|
0 |
|
| 450 |
Nikolaus Hautsch,
Ostap Okhrin,
Alexander Ristig
|
Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models
|
Trading and Pricing in Financial Markets
|
2014 |
|
| 441 |
Nikolaus Hautsch,
Julia Schaumburg,
Melanie Schienle
|
Financial Network Systemic Risk Contributions
|
Trading and Pricing in Financial Markets
|
2013 |
|
| 440 |
Taras Bodnar,
Nikolaus Hautsch
|
Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes
|
Trading and Pricing in Financial Markets
|
2013 |
|
| 315 |
Nikolaus Hautsch,
Yangguoyi Ou
|
Analyzing Interest Rate Risk: Stochastic Volatility in the Term Structure of Government Bond Yields
|
Economics of Exchanges
|
2009 |
|
| 332 |
Nikolaus Hautsch,
Lada M. Kyj,
Roel C.A. Oomen
|
A Blocking and Regularization Approach to High Dimensional Realized Covariance Estimation
|
Economics of Exchanges
|
2009 |
|
| 330 |
Wolfgang Karl Härdle,
Nikolaus Hautsch,
Andrija Mihoci
|
Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynanmics
|
Economics of Exchanges
|
2009 |
|
| 335 |
Nikolaus Hautsch,
Ruihong Huang
|
The Market Impact of a Limit Order
|
Economics of Exchanges
|
2009 |
|
| 343 |
Axel Groß-Klußmann,
Nikolaus Hautsch
|
Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements
|
Economics of Exchanges
|
2009 |
|
| 345 |
Nikolaus Hautsch,
Dieter Hess,
David Veredas
|
The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility
|
Economics of Exchanges
|
2011 |
|
| 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 Exchanges
|
2011 |
|
| 363 |
Nikolaus Hautsch,
Peter Malec,
Melanie Schienle
|
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes
|
Economics of Exchanges
|
2011 |
|
| 394 |
Nikolaus Hautsch,
Lada M. Kyj,
Peter Malec
|
The Merit of High-Frequency Data in Portfolio Allocation
|
Trading and Pricing in Financial Markets
|
2011 |
|
| 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 Markets
|
2011 |
|
| 405 |
Nikolaus Hautsch,
Ruihong Huang
|
On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements
|
Trading and Pricing in Financial Markets
|
2012 |
|
| 625 |
Gökhan Cebiroglu,
Nikolaus Hautsch,
Christopher Walsh
|
Revisiting the Stealth Trading Hypothesis: Does Time-Varying Liquidity Explain The Size-Effect?
|
|
2019 |
|