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 1 2 185 1 3 8 704
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 1 1 3 281 1 2 9 1,015
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 0 0 1 426 1 1 3 1,180
A Dynamic Semiparametric Proportional Hazard Model 0 0 0 107 0 0 0 387
A blocking and regularization approach to high dimensional realized covariance estimation 0 0 2 14 0 0 3 122
A blocking and regularization approach to high dimensional realized covariance estimation 0 0 0 92 0 0 2 242
A mean variance king? Creation and resolution of uncertainty under the employment report's reign 0 0 0 12 0 0 0 371
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields 0 1 1 169 0 1 1 432
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions 0 0 0 189 0 0 0 1,070
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions 0 0 0 127 0 0 1 1,000
Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model 0 0 0 114 0 0 2 243
Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery 0 0 1 87 0 0 1 312
Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery 0 0 0 178 0 0 1 622
Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth 0 0 0 66 0 0 11 120
Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery 0 0 0 10 0 0 1 76
Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets 0 0 2 23 0 5 11 93
Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model 0 0 0 114 0 0 0 335
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 0 202 0 0 1 496
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes 0 0 0 39 0 1 1 166
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 8 0 0 5 95
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 1 7 0 1 3 80
Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes 0 0 0 52 0 0 0 164
Copula-based dynamic conditional correlation multiplicative error processes 0 0 0 40 0 0 2 88
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading 0 0 0 24 0 2 4 50
Counterparty credit limits: An effective tool for mitigating counterparty risk? 0 1 1 17 0 1 11 90
Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models 0 0 0 69 0 0 0 143
Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model 0 0 0 133 0 0 1 663
Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference 0 0 0 232 1 2 3 420
Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? 0 1 1 84 0 2 2 253
Dynamic latent factor models for intensity processes 0 0 0 114 0 1 2 326
Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities 0 0 0 625 0 1 4 2,075
Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models 0 0 0 36 0 0 0 64
Efficient iterative maximum likelihood estimation of high-parameterized time series models 0 0 0 28 0 1 2 77
Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions 0 0 0 78 0 0 0 488
Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency 0 1 1 38 0 1 1 87
Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence 0 0 0 45 0 0 0 47
Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence 0 0 1 25 0 0 1 24
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence 0 0 0 11 0 0 0 50
Financial Network Systemic Risk Contributions 0 1 1 62 0 1 5 253
Financial Network Systemic Risk Contributions 0 0 0 90 0 0 3 268
Financial network systemic risk contributions 0 0 2 155 0 1 5 358
Forecasting systemic impact in financial networks 0 0 0 133 0 0 0 217
HARNet: A Convolutional Neural Network for Realized Volatility Forecasting 0 0 1 19 0 1 7 22
HARNet: A convolutional neural network for realized volatility forecasting 0 1 1 37 2 4 14 29
How effective are trading pauses? 0 0 1 18 0 0 2 88
Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty 0 0 0 15 0 0 1 39
Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information 0 0 0 29 0 0 0 31
Large-scale portfolio allocation under transaction costs and model uncertainty 0 0 0 25 0 0 1 34
Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data 0 0 4 102 0 0 7 310
Limits to arbitrage in markets with stochastic settlement latency 0 0 2 15 1 1 5 44
Local Adaptive Multiplicative Error Models for High-Frequency Forecasts 0 0 0 66 0 0 0 162
Measuring and Modeling Risk Using High-Frequency Data 0 0 1 142 0 0 1 254
Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series 0 1 1 76 0 1 1 75
Modelling Financial High Frequency Data Using Point Processes 0 0 2 253 0 1 5 669
Modelling Financial High Frequency Data Using Point Processes 0 0 1 101 0 0 6 305
Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models 0 0 0 103 0 0 0 239
Modelling Intraday Trading Activity Using Box-Cox-ACD Models 0 0 2 306 0 4 14 957
Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics 0 0 0 59 0 0 0 166
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 90 0 0 1 278
Modelling financial high frequency data using point processes 0 0 0 0 0 0 6 37
Modelling financial high frequency data using point processes 0 0 0 95 1 1 1 346
Multivariate dynamic intensity peaks-over-threshold models 0 0 2 29 0 0 4 49
Non-Standard Errors 0 0 1 41 5 14 79 386
Non-Standard Errors 0 1 8 40 3 12 71 317
On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements 0 0 4 102 1 1 7 237
On the dark side of the market: Identifying and analyzing hidden order placements 0 0 3 102 0 1 13 358
Order Aggressiveness and Order Book Dynamics 1 2 2 675 1 2 6 1,702
Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? 0 0 0 22 0 2 2 40
Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency? 0 0 0 16 0 0 1 61
Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 0 0 0 48 0 0 1 134
Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 0 0 0 84 0 0 1 230
Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence 0 0 1 17 0 0 1 67
Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models 0 0 0 115 0 0 2 172
Price Adjustment to News with Uncertain Precision 0 0 0 39 0 0 1 133
Price Adjustment to News with Uncertain Precision 0 0 0 27 0 0 1 121
Price adjustment to news with uncertain precision 0 0 0 3 0 0 0 84
Price adjustment to news with uncertain precision 0 0 0 2 0 0 0 38
Price adjustment to news with uncertain precision 0 0 0 21 0 0 1 153
Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements 0 0 1 106 0 0 2 159
Quantifying high-frequency market reactions to real-time news sentiment announcements 0 0 0 11 0 0 2 72
Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect? 0 0 0 13 0 0 0 42
Semiparametric autoregressive conditional proportional hazard models 0 0 2 209 0 1 5 723
Shirking or mismatch? Coach-team separation in German professional soccer 0 0 2 19 0 1 5 89
Stochastic conditional intensity processes 0 0 1 6 0 0 3 32
Systemic risk spillovers in the European banking and sovereign network 0 0 0 60 0 0 1 115
Systemic risk spillovers in the European banking and sovereign network 0 0 0 83 0 0 1 162
Testing Multiplicative Error Models Using Conditional Moment Tests 0 0 0 34 0 0 1 68
Testing the Conditional Mean Function of Autoregressive Conditional Duration Models 0 0 0 113 0 0 0 517
The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility 0 0 0 41 0 0 1 166
The Market Impact of a Limit Order 1 1 3 869 4 4 9 384
The Merit of High-Frequency Data in Portfolio Allocation 0 0 0 20 0 0 0 82
The ambivalent role of high-frequency trading in turbulent market periods 0 0 2 31 0 1 9 93
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 2 0 0 0 28
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 0 0 0 0 44
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 45 0 0 0 163
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 1 1 2 0 1 2 65
The latent factor VAR model: Testing for a common component in the intraday trading process 0 0 0 195 0 0 0 569
The market impact of a limit order 0 0 0 12 1 3 3 71
The merit of high-frequency data in portfolio allocation 0 0 0 13 0 1 2 110
The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report 0 0 0 49 0 0 2 207
Volatility Estimation on the Basis of Price Intensities 0 0 1 262 0 0 2 1,037
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 0 2 64 1 1 4 103
Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia 0 0 1 261 0 2 5 699
Total Working Papers 3 14 73 9,995 24 87 432 29,533


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 1 1 4 0 1 2 9
A Dynamic Semiparametric Proportional Hazard Model 0 0 0 60 0 0 0 191
A blocking and regularization approach to high‐dimensional realized covariance estimation 0 0 0 11 1 1 4 76
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields 0 1 2 40 0 1 6 128
Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities 0 0 0 0 0 0 3 139
Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery 0 0 0 73 1 1 1 212
Bayesian inference in a Stochastic Volatility Nelson–Siegel model 1 4 4 21 1 4 5 81
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 0 49 0 2 3 185
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes 0 0 0 9 0 0 0 25
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes 0 0 0 19 0 0 0 86
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading 0 0 0 1 0 0 0 5
Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations? 0 1 1 24 1 2 3 99
Dynamic conditional correlation multiplicative error processes 0 0 0 16 0 0 1 59
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence 1 1 3 10 1 1 5 26
Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions 0 0 0 29 0 0 1 137
Financial Network Systemic Risk Contributions 0 0 6 122 1 4 19 378
Forecasting systemic impact in financial networks 0 1 1 46 0 2 3 133
How effective are trading pauses? 0 0 0 21 0 0 4 122
Large-scale portfolio allocation under transaction costs and model uncertainty 0 1 6 29 1 2 15 91
Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts 0 0 0 12 0 0 1 48
Local mispricing and microstructural noise: A parametric perspective 0 0 2 3 0 1 5 9
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 11 0 0 1 70
Modelling the buy and sell intensity in a limit order book market 0 0 1 275 0 1 3 526
Multivariate dynamic intensity peaks‐over‐threshold models 0 0 0 4 0 0 3 33
Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations 0 0 0 0 0 0 0 3
Order aggressiveness and order book dynamics 0 0 2 140 0 0 9 394
Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 0 0 3 32 0 0 8 118
Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models 0 0 0 14 0 1 3 45
Price adjustment to news with uncertain precision 0 0 0 19 0 0 0 100
Stochastic Conditional Intensity Processes 0 0 1 76 0 0 5 226
Systemic risk spillovers in the European banking and sovereign network 0 0 0 25 0 0 1 124
The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report 0 0 0 0 0 1 3 16
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 1 1 44 1 2 3 184
The market impact of a limit order 4 8 15 170 5 10 20 488
Volatility estimation on the basis of price intensities 0 0 0 55 0 0 1 188
When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions 1 2 8 267 6 13 37 655
Total Journal Articles 7 21 57 1,731 19 50 178 5,409


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 1 0 0 3 22
Total Books 0 0 0 1 0 0 3 22


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Order aggressiveness and order book dynamics 0 0 0 0 0 1 2 8
Total Chapters 0 0 0 0 0 1 2 8


Statistics updated 2024-05-04