Access Statistics for Nikolaus Hautsch

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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 6 13 30 122 16 42 108 324
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 0 1 19 82 1 12 53 261
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 0 4 31 184 3 18 118 585
A Dynamic Semiparametric Proportional Hazard Model 2 8 28 51 11 33 90 165
A mean variance king?: Creation and resolution of uncertainty under the employment report's reign 0 0 3 4 0 1 11 297
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions 2 4 12 176 6 14 45 945
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions 0 1 3 118 0 6 20 886
Bayesian Learning in Financial Markets - Testing for the Relevance of Information Precision in Price Discovery 0 5 18 55 0 7 51 188
Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery 0 1 6 53 2 5 20 179
Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model 7 18 80 80 10 36 143 143
Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model 5 12 38 38 12 44 80 80
Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models 0 0 3 51 1 6 19 87
Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model 0 2 4 102 1 7 15 531
Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities 2 7 23 289 6 20 66 666
Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions 0 0 5 61 1 6 24 329
In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price changes observable based on financial high-frequency data. After discussing fundamental statistical concepts of point process theory, we review durationbased and intensity-based models of financial point processes. Whereas duration-based approaches are mostly preferable for univariate time series, intensity-based models provide powerful frameworks to model multivariate point processes in continuous time. We illustrate the most important properties of the individual models and discuss major empirical applications 3 4 12 12 10 31 53 53
Modelling Financial High Frequency Data Using Point Processes 3 11 37 83 8 21 75 156
Modelling Intraday Trading Activity Using Box-Cox-ACD Models 10 16 66 119 18 52 188 368
Order Aggressiveness and Order Book Dynamics 6 10 65 215 14 29 139 493
Price Adjustment to News with Uncertain Precision 4 6 15 15 7 13 32 32
Semiparametric autoregressive conditional proportional hazard models 1 2 3 147 2 6 20 521
Testing the Conditional Mean Function of Autoregressive Conditional Duration Models 3 3 16 48 5 15 70 174
The latent factor VAR model: Testing for a common component in the intraday trading process 1 5 26 127 4 26 79 284
The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report 1 3 7 9 3 6 17 32
Volatility Estimation on the Basis of Price Intensities 1 2 4 215 4 7 20 831
Total Working Papers 57 138 554 2,456 145 463 1,556 8,610

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 2 6 12 12 6 15 29 29
Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities 0 0 0 0 1 5 15 30
Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions 0 0 0 10 2 3 10 47
Modelling the buy and sell intensity in a limit order book market 1 6 55 55 3 14 86 86
Order aggressiveness and order book dynamics 2 9 22 55 6 19 54 150
Stochastic Conditional Intensity Processes 1 6 17 28 2 12 43 67
Volatility estimation on the basis of price intensities 1 2 3 27 1 3 8 89
Total Journal Articles 7 29 109 187 21 71 245 498

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Statistics updated 2008-08-03