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 0 0 0 186 2 2 15 724
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 0 0 0 282 3 5 22 1,047
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 0 0 0 426 3 4 11 1,193
A Dynamic Semiparametric Proportional Hazard Model 0 1 1 108 2 3 11 398
A blocking and regularization approach to high dimensional realized covariance estimation 0 0 0 14 2 4 22 147
A blocking and regularization approach to high dimensional realized covariance estimation 0 0 0 92 6 7 16 261
A mean variance king? Creation and resolution of uncertainty under the employment report's reign 0 0 0 12 2 3 11 385
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields 1 1 1 171 5 7 26 462
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions 0 0 0 189 1 2 14 1,085
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions 0 0 0 127 3 3 11 1,013
Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery 0 0 0 87 3 3 14 330
Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery 0 0 0 178 3 7 18 640
Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth 0 0 1 67 1 1 13 135
Bayesian inference in a stochastic volatility Nelson-Siegel Model 0 0 0 114 2 3 16 265
Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery 0 0 0 10 2 2 7 88
Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets 0 0 0 29 4 7 35 146
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 0 114 2 5 11 347
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 0 203 1 3 16 515
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 7 3 4 26 114
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 39 4 4 21 189
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 8 0 2 12 124
Consistent Estimation of the High-Dimensional Efficient Frontier 0 0 0 7 0 0 9 17
Copula-based dynamic conditional correlation multiplicative error processes 0 0 0 40 0 1 14 106
Copula-based dynamic conditional correlation multiplicative error processes 0 0 0 52 4 5 15 181
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading 0 0 0 25 2 4 15 71
Counterparty credit limits: An effective tool for mitigating counterparty risk? 1 3 4 27 4 10 48 157
Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models 0 0 0 69 2 2 9 153
Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model 0 0 0 133 1 2 13 679
Discrete-time stochastic volatility models and MCMC-based statistical inference 0 0 1 235 1 1 18 446
Do high-frequency data improve high-dimensional portfolio allocations? 0 0 1 87 2 3 62 321
Dynamic latent factor models for intensity processes 0 0 0 114 1 2 15 342
Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities 0 0 1 626 3 3 14 2,096
Efficient iterative maximum likelihood estimation of high-parameterized time series models 0 0 0 28 3 3 11 91
Efficient iterative maximum likelihood estimation of high-parameterized time series models 0 0 0 36 1 1 4 72
Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions 0 0 0 78 6 6 10 501
Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence 0 0 0 25 3 3 15 41
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency 0 0 0 38 4 4 30 118
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence 0 0 0 12 2 3 12 68
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence 0 0 0 45 2 4 9 59
Financial network systemic risk contributions 0 0 0 92 1 3 23 298
Financial network systemic risk contributions 0 0 0 62 2 3 21 282
Financial network systemic risk contributions 0 0 1 159 2 6 22 392
Forecasting systemic impact in financial networks 0 0 0 133 3 6 24 243
HARNet: A Convolutional Neural Network for Realized Volatility Forecasting 0 0 1 21 6 8 37 69
HARNet: A convolutional neural network for realized volatility forecasting 0 0 0 37 8 8 26 63
How effective are trading pauses? 0 0 2 20 1 6 18 109
Jump detection in high-frequency order prices 0 0 0 18 0 1 33 57
Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty 0 0 0 15 3 5 20 69
Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information 0 1 1 30 2 3 11 45
Large-scale portfolio allocation under transaction costs and model uncertainty 0 0 0 27 2 2 23 64
Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data 0 0 1 105 7 10 29 345
Limits to arbitrage in markets with stochastic settlement latency 0 0 3 21 7 8 32 99
Local adaptive multiplicative error models for high-frequency forecasts 0 0 1 67 3 3 15 177
Measuring and modeling risk using high-frequency data 0 0 0 142 3 3 16 270
Modeling time-varying dependencies between positive-valued high-frequency time series 0 0 0 76 2 2 16 91
Modelling Financial High Frequency Data Using Point Processes 0 0 0 254 0 2 11 689
Modelling Intraday Trading Activity Using Box-Cox-ACD Models 0 0 1 308 1 3 13 975
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 90 3 6 23 301
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 59 7 7 18 186
Modelling financial high frequency data using point processes 0 0 0 95 0 0 12 364
Modelling financial high frequency data using point processes 0 0 0 101 1 1 10 319
Modelling financial high frequency data using point processes 0 0 0 0 0 0 7 54
Modelling high-frequency volatility and liquidity using multiplicative error models 0 0 0 103 5 10 23 264
Multivariate Inference for Dynamic Systemic Risk Measures 0 0 1 1 1 1 4 5
Multivariate dynamic intensity peaks-over-threshold models 0 0 0 30 2 2 12 68
Non-Standard Errors 0 1 1 45 2 3 41 487
Non-Standard Errors 0 1 1 28 4 6 22 177
Nonstandard Errors 0 0 0 0 2 2 18 26
Nonstandard Errors 0 0 1 4 1 2 22 49
Nonstandard Errors 0 0 0 0 0 2 23 37
Nonstandard errors 0 1 1 13 1 3 28 85
On the dark side of the market: Identifying and analyzing hidden order placements 0 0 0 103 5 11 22 288
On the dark side of the market: Identifying and analyzing hidden order placements 0 0 0 105 4 7 32 418
Order Aggressiveness and Order Book Dynamics 0 0 0 676 1 2 19 1,736
Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? 0 0 0 23 1 1 10 53
Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency? 0 0 0 17 3 3 20 83
Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 1 1 1 86 3 3 16 250
Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence 0 0 0 17 1 2 25 96
Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence 0 0 0 48 6 8 17 153
Predicting bid-ask spreads using long memory autoregressive conditional poisson models 0 0 0 115 3 5 19 195
Price Adjustment to News with Uncertain Precision 0 0 0 28 3 4 23 150
Price adjustment to news with uncertain precision 0 0 1 23 3 3 13 171
Price adjustment to news with uncertain precision 0 0 1 3 3 3 16 55
Price adjustment to news with uncertain precision 0 0 1 40 3 3 13 148
Price adjustment to news with uncertain precision 0 0 0 3 0 0 5 91
Quantifying high-frequency market reactions to real-time news sentiment announcements 0 0 0 11 2 2 23 97
Quantifying high-frequency market reactions to real-time news sentiment announcements 0 0 0 106 3 6 12 172
Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect? 0 0 0 14 1 1 10 67
Semiparametric autoregressive conditional proportional hazard models 0 0 0 210 0 0 10 735
Shirking or mismatch? Coach-team separation in German professional soccer 0 0 1 21 1 1 9 102
Stochastic conditional intensity processes 0 0 0 6 1 2 20 57
Systemic risk spillovers in the European banking and sovereign network 1 1 1 61 1 1 14 130
Systemic risk spillovers in the European banking and sovereign network 0 0 0 84 1 1 15 179
Testing multiplicative error models using conditional moment tests 0 0 0 35 2 2 9 79
Testing the Conditional Mean Function of Autoregressive Conditional Duration Models 0 0 0 114 1 1 14 533
The ambivalent role of high-frequency trading in turbulent market periods 0 0 0 31 3 3 16 118
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 0 1 1 18 63
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 2 4 9 15 45
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 46 0 0 6 173
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 41 2 2 13 181
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 2 0 1 13 80
The latent factor VAR model: Testing for a common component in the intraday trading process 0 0 0 195 2 2 8 579
The market impact of a limit order 0 0 1 19 3 4 33 127
The market impact of a limit order 0 1 1 870 7 8 19 413
The merit of high-frequency data in portfolio allocation 0 0 0 13 0 0 9 120
The merit of high-frequency data in portfolio allocation 0 0 0 21 4 5 25 122
The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report 0 0 0 49 3 3 10 220
Volatility Estimation on the Basis of Price Intensities 0 0 0 262 2 2 17 1,055
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 1 3 69 3 4 36 154
Yield curve factors, term structure volatility, and bond risk premia 0 0 0 261 5 6 19 724
Total Working Papers 4 13 37 10,126 268 387 1,967 32,098
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Descriptive Study of High-Frequency Trade and Quote Option Data* 0 0 3 9 1 3 70 85
A Dynamic Semiparametric Proportional Hazard Model 0 0 0 60 1 1 10 202
A blocking and regularization approach to high‐dimensional realized covariance estimation 0 0 0 12 3 6 21 99
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields 0 0 0 40 1 2 9 143
Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities 0 0 0 0 2 3 9 151
Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery 0 0 0 75 5 6 16 233
Bayesian inference in a Stochastic Volatility Nelson–Siegel model 1 1 7 32 3 4 29 120
Building trust takes time: limits to arbitrage for blockchain-based assets 2 4 9 11 8 14 36 42
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 1 1 50 0 2 19 208
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes 0 0 1 20 1 2 14 104
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes 0 0 0 9 2 3 20 49
Consistent estimation of the high-dimensional efficient frontier 1 1 2 2 2 5 6 6
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading 0 0 0 1 0 0 3 9
Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations? 0 0 0 27 1 4 26 136
Dynamic conditional correlation multiplicative error processes 0 0 0 16 1 3 14 76
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence 0 0 0 14 0 1 15 52
Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions 0 0 0 29 2 2 9 146
Financial Network Systemic Risk Contributions 0 0 1 131 3 7 36 447
Forecasting systemic impact in financial networks 0 0 0 46 2 3 12 148
How effective are trading pauses? 1 1 3 25 4 7 18 146
Jump detection in high-frequency order prices 0 1 2 2 3 6 18 18
Large-scale portfolio allocation under transaction costs and model uncertainty 0 0 2 42 3 4 27 154
Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts 0 0 0 12 4 5 19 70
Local mispricing and microstructural noise: A parametric perspective 0 3 4 10 4 9 33 53
Maximum-Likelihood Estimation Using the Zig-Zag Algorithm* 0 0 1 2 2 2 14 18
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 12 2 3 11 83
Modelling the buy and sell intensity in a limit order book market 0 3 5 283 0 4 16 560
Multivariate dynamic intensity peaks‐over‐threshold models 0 0 0 4 0 1 10 47
Nonstandard Errors 0 0 5 46 6 17 54 202
Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations 0 0 0 0 2 4 14 20
Order aggressiveness and order book dynamics 0 1 2 146 2 5 36 441
Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 0 0 1 38 2 2 13 150
Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models 0 0 0 14 0 1 15 64
Price adjustment to news with uncertain precision 0 0 0 22 2 3 11 118
Stochastic Conditional Intensity Processes 0 0 0 76 0 0 13 245
Systemic risk spillovers in the European banking and sovereign network 0 0 1 27 0 0 14 142
The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report 0 0 0 1 3 5 12 32
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 45 1 1 17 205
The market impact of a limit order 0 0 1 183 10 16 41 572
Volatility estimation on the basis of price intensities 0 0 0 55 2 3 14 206
When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions 0 2 4 288 12 23 42 738
Total Journal Articles 5 18 55 1,917 102 192 836 6,740

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Econometrics of Financial High-Frequency Data 0 0 0 3 4 4 14 46
Total Books 0 0 0 3 4 4 14 46

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
High-Frequency Volatility and Liquidity 0 0 0 0 2 2 6 6
Limits to Arbitrage for Blockchain-Based Assets 0 0 0 0 3 3 10 10
Measuring and Modeling Risk Using High-Frequency Data 0 0 0 0 0 0 1 1
Modelling Financial High Frequency Data Using Point Processes 0 0 0 0 0 1 11 11
Order aggressiveness and order book dynamics 0 0 0 0 0 0 8 21
Stochastic Volatility Estimation Using Markov Chain Simulation 0 0 0 0 0 0 2 2
Total Chapters 0 0 0 0 5 6 38 51

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Statistics updated 2026-11-12