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 0 426 1 2 7 1,188
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 0 0 0 186 1 2 15 722
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 0 0 0 282 4 7 18 1,038
A Dynamic Semiparametric Proportional Hazard Model 0 0 0 107 0 1 8 395
A blocking and regularization approach to high dimensional realized covariance estimation 0 0 0 92 1 3 9 252
A blocking and regularization approach to high dimensional realized covariance estimation 0 0 0 14 3 6 19 142
A mean variance king? Creation and resolution of uncertainty under the employment report's reign 0 0 0 12 2 2 10 382
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields 0 0 0 170 3 8 19 454
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions 0 0 0 189 3 5 11 1,081
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions 0 0 0 127 2 3 8 1,009
Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery 0 0 0 87 1 3 13 326
Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery 0 0 0 178 0 1 10 632
Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth 0 1 1 67 3 6 13 133
Bayesian inference in a stochastic volatility Nelson-Siegel Model 0 0 0 114 3 5 11 258
Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery 0 0 0 10 0 1 8 86
Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets 0 0 0 29 5 10 35 139
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 0 114 1 1 6 341
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 0 203 0 1 13 511
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 8 1 2 11 121
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 7 5 6 21 109
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 39 6 6 16 184
Consistent Estimation of the High-Dimensional Efficient Frontier 0 0 1 7 2 5 8 14
Copula-based dynamic conditional correlation multiplicative error processes 0 0 0 52 0 6 11 176
Copula-based dynamic conditional correlation multiplicative error processes 0 0 0 40 1 3 14 103
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading 0 0 0 25 0 2 14 66
Counterparty credit limits: An effective tool for mitigating counterparty risk? 0 0 6 24 3 10 44 140
Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models 0 0 0 69 2 3 8 151
Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model 0 0 0 133 1 3 11 677
Discrete-time stochastic volatility models and MCMC-based statistical inference 0 0 1 234 4 5 20 441
Do high-frequency data improve high-dimensional portfolio allocations? 0 0 2 87 1 2 60 316
Dynamic latent factor models for intensity processes 0 0 0 114 7 7 12 338
Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities 0 0 0 625 0 3 9 2,090
Efficient iterative maximum likelihood estimation of high-parameterized time series models 0 0 0 28 0 4 9 87
Efficient iterative maximum likelihood estimation of high-parameterized time series models 0 0 0 36 0 0 4 71
Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions 0 0 0 78 0 1 6 495
Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence 0 0 0 25 1 3 9 35
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency 0 0 0 38 4 9 25 113
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence 0 0 0 45 0 0 4 54
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence 0 0 0 12 1 4 13 65
Financial network systemic risk contributions 0 0 1 158 1 3 15 378
Financial network systemic risk contributions 0 0 0 62 3 4 22 277
Financial network systemic risk contributions 0 0 0 92 4 5 23 295
Forecasting systemic impact in financial networks 0 0 0 133 2 4 19 236
HARNet: A Convolutional Neural Network for Realized Volatility Forecasting 0 0 0 20 7 11 30 57
HARNet: A convolutional neural network for realized volatility forecasting 0 0 0 37 3 8 19 53
How effective are trading pauses? 1 1 2 20 5 5 12 100
Jump detection in high-frequency order prices 0 0 2 18 8 17 32 50
Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty 0 0 0 15 2 3 19 62
Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information 0 0 0 29 2 2 8 41
Large-scale portfolio allocation under transaction costs and model uncertainty 0 0 1 27 4 10 24 61
Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data 0 0 2 105 4 4 21 333
Limits to arbitrage in markets with stochastic settlement latency 0 0 3 20 5 7 29 86
Local adaptive multiplicative error models for high-frequency forecasts 0 0 1 67 1 2 9 171
Measuring and modeling risk using high-frequency data 0 0 0 142 1 4 12 266
Modeling time-varying dependencies between positive-valued high-frequency time series 0 0 0 76 3 7 14 89
Modelling Financial High Frequency Data Using Point Processes 0 0 1 254 0 1 13 687
Modelling Intraday Trading Activity Using Box-Cox-ACD Models 0 1 2 308 3 6 12 971
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 90 3 8 16 294
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 59 5 5 13 179
Modelling financial high frequency data using point processes 0 0 0 0 0 1 8 54
Modelling financial high frequency data using point processes 0 0 0 95 2 3 13 363
Modelling financial high frequency data using point processes 0 0 0 101 0 1 9 317
Modelling high-frequency volatility and liquidity using multiplicative error models 0 0 0 103 1 3 13 253
Multivariate dynamic intensity peaks-over-threshold models 0 0 0 30 0 1 12 65
Non-Standard Errors 0 0 0 27 2 5 23 168
Non-Standard Errors 0 0 0 44 5 10 38 476
Nonstandard errors 0 0 1 12 3 10 35 79
On the dark side of the market: Identifying and analyzing hidden order placements 0 0 0 105 3 9 27 405
On the dark side of the market: Identifying and analyzing hidden order placements 0 0 0 103 3 5 16 275
Order Aggressiveness and Order Book Dynamics 0 0 1 676 3 5 19 1,732
Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? 0 0 0 23 1 2 10 51
Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency? 0 0 0 17 7 7 14 76
Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 0 0 0 85 1 1 12 243
Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence 0 0 0 17 7 11 22 91
Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence 0 0 0 48 3 3 6 142
Predicting bid-ask spreads using long memory autoregressive conditional poisson models 0 0 0 115 1 7 16 190
Price Adjustment to News with Uncertain Precision 0 0 0 28 3 4 22 145
Price adjustment to news with uncertain precision 0 0 0 3 0 1 6 91
Price adjustment to news with uncertain precision 0 0 1 23 0 1 7 164
Price adjustment to news with uncertain precision 1 1 1 3 1 3 13 52
Price adjustment to news with uncertain precision 0 1 1 40 3 4 9 144
Quantifying high-frequency market reactions to real-time news sentiment announcements 0 0 0 11 10 10 18 90
Quantifying high-frequency market reactions to real-time news sentiment announcements 0 0 0 106 1 2 6 165
Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect? 0 0 0 14 1 2 19 65
Semiparametric autoregressive conditional proportional hazard models 0 0 0 210 2 3 11 735
Shirking or mismatch? Coach-team separation in German professional soccer 0 0 1 21 1 1 7 100
Stochastic conditional intensity processes 0 0 0 6 5 7 16 52
Systemic risk spillovers in the European banking and sovereign network 0 0 0 84 3 7 11 175
Systemic risk spillovers in the European banking and sovereign network 0 0 0 60 2 6 10 125
Testing multiplicative error models using conditional moment tests 0 0 1 35 2 2 8 76
Testing the Conditional Mean Function of Autoregressive Conditional Duration Models 0 0 0 114 1 3 11 530
The ambivalent role of high-frequency trading in turbulent market periods 0 0 0 31 2 5 15 114
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 2 0 0 7 35
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 0 2 5 17 61
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 1 46 0 1 7 173
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 41 2 5 13 179
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 2 3 4 13 78
The latent factor VAR model: Testing for a common component in the intraday trading process 0 0 0 195 1 1 6 576
The market impact of a limit order 0 0 2 18 10 15 39 122
The market impact of a limit order 0 0 0 869 5 7 14 403
The merit of high-frequency data in portfolio allocation 0 0 0 13 4 7 9 120
The merit of high-frequency data in portfolio allocation 0 0 0 21 6 13 32 117
The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report 0 0 0 49 1 2 6 216
Volatility Estimation on the Basis of Price Intensities 0 0 0 262 2 2 11 1,049
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 0 2 68 3 14 33 147
Yield curve factors, term structure volatility, and bond risk premia 0 0 0 261 5 8 14 718
Total Working Papers 2 5 38 10,102 261 496 1,627 31,418
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 1 1 7 2 7 13 28
A Dynamic Semiparametric Proportional Hazard Model 0 0 0 60 2 3 8 200
A blocking and regularization approach to high‐dimensional realized covariance estimation 0 0 0 12 5 11 16 93
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields 0 0 0 40 2 4 7 140
Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities 0 0 0 0 1 1 7 148
Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery 0 0 1 75 1 3 10 225
Bayesian inference in a Stochastic Volatility Nelson–Siegel model 0 1 4 27 3 7 23 109
Building trust takes time: limits to arbitrage for blockchain-based assets 1 3 4 6 5 11 20 23
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 0 49 4 5 20 206
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes 0 0 0 9 1 7 18 45
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes 0 0 0 19 3 6 12 99
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading 0 0 0 1 0 2 4 9
Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations? 0 0 0 27 2 7 24 131
Dynamic conditional correlation multiplicative error processes 0 0 0 16 2 4 11 72
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence 0 0 2 14 2 4 18 49
Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions 0 0 0 29 1 2 6 143
Financial Network Systemic Risk Contributions 0 0 2 130 2 10 34 433
Forecasting systemic impact in financial networks 0 0 0 46 0 0 10 145
How effective are trading pauses? 0 1 1 23 3 4 12 137
Large-scale portfolio allocation under transaction costs and model uncertainty 1 1 2 41 7 12 26 146
Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts 0 0 0 12 4 5 12 61
Local mispricing and microstructural noise: A parametric perspective 0 0 2 7 2 8 26 41
Maximum-Likelihood Estimation Using the Zig-Zag Algorithm* 0 1 1 2 4 5 10 13
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 12 1 2 7 79
Modelling the buy and sell intensity in a limit order book market 0 0 1 279 1 2 16 555
Multivariate dynamic intensity peaks‐over‐threshold models 0 0 0 4 4 4 12 46
Nonstandard Errors 0 2 8 44 4 15 58 176
Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations 0 0 0 0 5 7 10 15
Order aggressiveness and order book dynamics 0 0 1 145 0 10 22 425
Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 0 0 2 37 1 1 15 145
Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models 0 0 0 14 7 11 15 62
Price adjustment to news with uncertain precision 0 0 0 22 2 3 9 114
Stochastic Conditional Intensity Processes 0 0 0 76 3 3 14 242
Systemic risk spillovers in the European banking and sovereign network 0 0 1 26 2 6 13 139
The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report 0 0 0 1 2 3 8 26
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 45 5 8 17 203
The market impact of a limit order 0 1 5 183 2 8 30 548
Volatility estimation on the basis of price intensities 0 0 0 55 3 5 12 202
When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions 0 0 5 285 3 6 26 707
Total Journal Articles 2 11 43 1,880 103 222 631 6,380

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 1 3 0 2 11 39
Total Books 0 0 1 3 0 2 11 39

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 0 8 20
Total Chapters 0 0 0 0 0 0 8 20

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Statistics updated 2026-05-06