Access Statistics for Nikolaus Hautsch

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 7 23 61 210 15 51 145 571
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 0 1 19 112 2 4 58 354
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 0 3 17 209 4 17 109 737
A Dynamic Semiparametric Proportional Hazard Model 1 5 12 74 2 10 41 247
A blocking and regularization approach to high dimensional realized covariance estimation 2 9 21 21 4 22 31 31
A mean variance king?: Creation and resolution of uncertainty under the employment report's reign 0 0 2 6 0 0 8 310
Analyzing Interest Rate Risk: Stochastic Volatility in the Term Structure of Government Bond Yields 4 12 57 57 13 28 93 93
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions 0 1 6 187 1 9 29 996
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions 0 0 0 119 0 1 13 912
Bayesian Learning in Financial Markets - Testing for the Relevance of Information Precision in Price Discovery 5 8 26 96 13 31 90 321
Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery 0 3 6 64 0 4 23 209
Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model 2 7 41 141 4 12 80 271
Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model 6 9 26 94 7 12 49 197
Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models 1 1 6 61 2 2 13 108
Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model 1 1 4 107 1 1 13 555
Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference 2 10 52 106 5 20 94 132
Dynamic latent factor models for intensity processes 1 6 31 31 8 35 94 95
Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities 8 18 72 391 21 49 242 1,015
Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions 1 1 6 68 4 6 32 376
Measuring and Modeling Risk Using High-Frequency Data 2 4 19 104 4 9 43 135
Modelling Financial High Frequency Data Using Point Processes 0 1 22 59 0 2 37 147
Modelling Financial High Frequency Data Using Point Processes 10 22 50 154 15 42 124 325
Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models 0 2 25 64 0 4 50 120
Modelling Intraday Trading Activity Using Box-Cox-ACD Models 3 13 56 213 15 45 180 660
Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics 1 11 31 31 4 22 41 41
Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics 2 11 19 19 6 20 31 31
Modelling financial high frequency data using point processes 0 1 20 23 1 5 52 63
Order Aggressiveness and Order Book Dynamics 8 25 115 376 19 59 257 847
Price Adjustment to News with Uncertain Precision 1 1 8 21 3 5 26 40
Price Adjustment to News with Uncertain Precision 0 0 6 26 1 2 19 71
Price Adjustment to News with Uncertain Precision 1 3 8 8 2 6 13 13
Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements 14 43 43 43 9 18 18 18
Semiparametric autoregressive conditional proportional hazard models 1 2 3 156 2 4 22 562
Testing Multiplicative Error Models Using Conditional Moment Tests 0 0 8 22 0 1 12 20
Testing the Conditional Mean Function of Autoregressive Conditional Duration Models 0 3 15 74 3 15 70 291
The Market Impact of a Limit Order 9 18 35 35 6 23 42 42
The latent factor VAR model: Testing for a common component in the intraday trading process 1 3 19 161 2 10 65 393
The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report 0 2 5 19 0 2 20 71
Volatility Estimation on the Basis of Price Intensities 1 2 12 237 4 12 43 908
Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia 5 11 72 182 16 33 234 421
Total Working Papers 100 296 1,056 4,181 218 653 2,656 12,749

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Dynamic Semiparametric Proportional Hazard Model 0 1 16 43 0 4 43 113
Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities 0 0 0 0 2 3 18 59
Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery 0 2 6 6 1 5 15 15
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 2 4 10 11 3 8 53 55
Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions 0 0 1 12 0 0 7 61
Modelling the buy and sell intensity in a limit order book market 3 14 40 125 6 18 55 188
Order aggressiveness and order book dynamics 1 1 13 83 3 3 33 222
Stochastic Conditional Intensity Processes 1 1 10 49 3 5 31 128
Volatility estimation on the basis of price intensities 0 0 7 37 1 1 13 108
Total Journal Articles 7 23 103 366 19 47 268 949

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Statistics updated 2010-03-03