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 0 1 15 722
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 0 0 0 282 3 8 21 1,042
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 0 0 0 426 1 2 7 1,189
A Dynamic Semiparametric Proportional Hazard Model 0 0 0 107 0 0 8 395
A blocking and regularization approach to high dimensional realized covariance estimation 0 0 0 92 1 3 11 254
A blocking and regularization approach to high dimensional realized covariance estimation 0 0 0 14 1 4 20 143
A mean variance king? Creation and resolution of uncertainty under the employment report's reign 0 0 0 12 0 2 10 382
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields 0 0 0 170 1 4 19 455
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions 0 0 0 127 1 3 9 1,010
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions 0 0 0 189 2 5 13 1,083
Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery 0 0 0 87 0 2 14 327
Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery 0 0 0 178 1 1 11 633
Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth 0 0 1 67 0 3 13 133
Bayesian inference in a stochastic volatility Nelson-Siegel Model 0 0 0 114 1 6 14 261
Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery 0 0 0 10 0 0 7 86
Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets 0 0 0 29 0 5 33 139
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 0 203 0 1 14 512
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 0 114 0 2 7 342
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 7 1 6 22 110
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 8 1 2 12 122
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 39 1 7 17 185
Consistent Estimation of the High-Dimensional Efficient Frontier 0 0 1 7 1 3 9 15
Copula-based dynamic conditional correlation multiplicative error processes 0 0 0 52 0 0 10 176
Copula-based dynamic conditional correlation multiplicative error processes 0 0 0 40 1 3 16 105
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading 0 0 0 25 0 0 13 66
Counterparty credit limits: An effective tool for mitigating counterparty risk? 0 0 6 24 4 10 49 147
Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models 0 0 0 69 0 2 8 151
Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model 0 0 0 133 0 1 11 677
Discrete-time stochastic volatility models and MCMC-based statistical inference 0 0 0 234 0 6 20 443
Do high-frequency data improve high-dimensional portfolio allocations? 0 0 2 87 1 2 61 317
Dynamic latent factor models for intensity processes 0 0 0 114 1 9 13 340
Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities 1 1 1 626 1 2 10 2,092
Efficient iterative maximum likelihood estimation of high-parameterized time series models 0 0 0 36 0 0 4 71
Efficient iterative maximum likelihood estimation of high-parameterized time series models 0 0 0 28 0 0 9 87
Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions 0 0 0 78 0 0 5 495
Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence 0 0 0 25 1 3 11 37
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency 0 0 0 38 0 5 26 114
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence 0 0 0 12 0 1 13 65
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence 0 0 0 45 0 1 5 55
Financial network systemic risk contributions 0 0 0 92 0 4 23 295
Financial network systemic risk contributions 1 1 1 159 4 8 19 385
Financial network systemic risk contributions 0 0 0 62 1 5 24 279
Forecasting systemic impact in financial networks 0 0 0 133 0 2 18 236
HARNet: A Convolutional Neural Network for Realized Volatility Forecasting 0 1 1 21 1 10 32 60
HARNet: A convolutional neural network for realized volatility forecasting 0 0 0 37 0 5 20 55
How effective are trading pauses? 0 1 2 20 2 8 15 103
Jump detection in high-frequency order prices 0 0 1 18 5 14 36 56
Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty 0 0 0 15 2 4 21 64
Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information 0 0 0 29 1 3 8 42
Large-scale portfolio allocation under transaction costs and model uncertainty 0 0 1 27 0 5 25 62
Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data 0 0 1 105 1 5 18 334
Limits to arbitrage in markets with stochastic settlement latency 1 1 3 21 3 9 32 90
Local adaptive multiplicative error models for high-frequency forecasts 0 0 1 67 0 4 12 174
Measuring and modeling risk using high-frequency data 0 0 0 142 1 2 13 267
Modeling time-varying dependencies between positive-valued high-frequency time series 0 0 0 76 0 3 14 89
Modelling Financial High Frequency Data Using Point Processes 0 0 1 254 0 0 11 687
Modelling Intraday Trading Activity Using Box-Cox-ACD Models 0 0 1 308 0 4 12 972
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 90 0 4 17 295
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 59 0 5 13 179
Modelling financial high frequency data using point processes 0 0 0 0 0 0 7 54
Modelling financial high frequency data using point processes 0 0 0 101 1 1 10 318
Modelling financial high frequency data using point processes 0 0 0 95 0 2 12 363
Modelling high-frequency volatility and liquidity using multiplicative error models 0 0 0 103 0 2 14 254
Multivariate Inference for Dynamic Systemic Risk Measures 0 0 1 1 0 0 3 4
Multivariate dynamic intensity peaks-over-threshold models 0 0 0 30 1 1 13 66
Non-Standard Errors 0 0 0 27 3 5 21 171
Non-Standard Errors 0 0 0 44 2 12 43 483
Nonstandard Errors 0 0 0 0 1 5 19 21
Nonstandard Errors 0 0 1 4 1 4 25 45
Nonstandard Errors 0 0 0 0 0 7 30 35
Nonstandard errors 0 0 1 12 2 5 34 81
On the dark side of the market: Identifying and analyzing hidden order placements 0 0 0 103 0 3 12 275
On the dark side of the market: Identifying and analyzing hidden order placements 0 0 0 105 4 9 31 411
Order Aggressiveness and Order Book Dynamics 0 0 0 676 0 4 19 1,733
Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? 0 0 0 23 0 2 11 52
Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency? 0 0 0 17 0 11 17 80
Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 0 0 0 85 1 3 14 245
Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence 0 0 0 17 1 10 25 94
Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence 0 0 0 48 0 6 9 145
Predicting bid-ask spreads using long memory autoregressive conditional poisson models 0 0 0 115 0 1 15 190
Price Adjustment to News with Uncertain Precision 0 0 0 28 1 4 21 146
Price adjustment to news with uncertain precision 0 1 1 3 0 1 13 52
Price adjustment to news with uncertain precision 0 0 1 23 2 4 11 168
Price adjustment to news with uncertain precision 0 0 1 40 0 3 9 144
Price adjustment to news with uncertain precision 0 0 0 3 0 0 6 91
Quantifying high-frequency market reactions to real-time news sentiment announcements 0 0 0 11 1 13 21 93
Quantifying high-frequency market reactions to real-time news sentiment announcements 0 0 0 106 0 1 5 165
Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect? 0 0 0 14 0 2 19 66
Semiparametric autoregressive conditional proportional hazard models 0 0 0 210 0 2 11 735
Shirking or mismatch? Coach-team separation in German professional soccer 0 0 1 21 0 2 8 101
Stochastic conditional intensity processes 0 0 0 6 2 8 19 55
Systemic risk spillovers in the European banking and sovereign network 0 0 0 60 2 5 13 128
Systemic risk spillovers in the European banking and sovereign network 0 0 0 84 1 6 14 178
Testing multiplicative error models using conditional moment tests 0 0 1 35 0 2 7 76
Testing the Conditional Mean Function of Autoregressive Conditional Duration Models 0 0 0 114 0 3 13 532
The ambivalent role of high-frequency trading in turbulent market periods 0 0 0 31 1 3 16 115
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 2 1 1 7 36
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 0 0 3 18 62
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 2 1 4 14 79
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 1 46 0 0 7 173
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 41 0 2 12 179
The latent factor VAR model: Testing for a common component in the intraday trading process 0 0 0 195 1 2 7 577
The market impact of a limit order 1 1 2 19 1 11 35 123
The market impact of a limit order 0 0 0 869 1 7 15 405
The merit of high-frequency data in portfolio allocation 0 0 0 21 0 6 31 117
The merit of high-frequency data in portfolio allocation 0 0 0 13 0 4 9 120
The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report 0 0 0 49 0 1 6 216
Volatility Estimation on the Basis of Price Intensities 0 0 0 262 0 3 12 1,050
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 0 2 68 1 5 35 149
Yield curve factors, term structure volatility, and bond risk premia 0 0 0 261 0 5 13 718
Total Working Papers 4 7 37 10,112 79 425 1,784 31,671
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 2 8 51 54 65 80
A Dynamic Semiparametric Proportional Hazard Model 0 0 0 60 0 3 9 201
A blocking and regularization approach to high‐dimensional realized covariance estimation 0 0 0 12 0 5 16 93
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields 0 0 0 40 0 2 7 140
Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities 0 0 0 0 0 1 7 148
Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery 0 0 1 75 1 3 12 227
Bayesian inference in a Stochastic Volatility Nelson–Siegel model 0 2 5 29 1 6 25 112
Building trust takes time: limits to arbitrage for blockchain-based assets 0 2 5 7 1 9 23 27
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 0 49 0 4 20 206
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes 0 1 1 20 1 6 15 102
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes 0 0 0 9 1 2 18 46
Consistent estimation of the high-dimensional efficient frontier 0 1 1 1 0 1 1 1
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading 0 0 0 1 0 0 4 9
Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations? 0 0 0 27 0 2 22 131
Dynamic conditional correlation multiplicative error processes 0 0 0 16 0 3 11 73
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence 0 0 2 14 0 3 18 50
Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions 0 0 0 29 0 2 7 144
Financial Network Systemic Risk Contributions 1 1 3 131 3 7 34 438
Forecasting systemic impact in financial networks 0 0 0 46 0 0 10 145
How effective are trading pauses? 1 1 2 24 1 5 14 139
Jump detection in high-frequency order prices 0 0 1 1 2 8 9 9
Large-scale portfolio allocation under transaction costs and model uncertainty 1 2 3 42 1 11 30 150
Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts 0 0 0 12 0 7 14 64
Local mispricing and microstructural noise: A parametric perspective 0 0 1 7 1 3 25 42
Maximum-Likelihood Estimation Using the Zig-Zag Algorithm* 0 0 1 2 0 5 11 14
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 12 0 2 8 80
Modelling the buy and sell intensity in a limit order book market 0 1 2 280 0 2 17 556
Multivariate dynamic intensity peaks‐over‐threshold models 0 0 0 4 0 4 10 46
Nonstandard Errors 1 1 7 45 4 8 53 180
Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations 0 0 0 0 0 6 11 16
Order aggressiveness and order book dynamics 0 0 1 145 3 10 32 435
Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 0 1 2 38 0 3 13 147
Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models 0 0 0 14 0 7 15 62
Price adjustment to news with uncertain precision 0 0 0 22 0 3 10 115
Stochastic Conditional Intensity Processes 0 0 0 76 0 4 13 243
Systemic risk spillovers in the European banking and sovereign network 1 1 1 27 2 4 13 141
The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report 0 0 0 1 0 3 8 27
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 45 1 6 16 204
The market impact of a limit order 0 0 5 183 3 7 32 553
Volatility estimation on the basis of price intensities 0 0 0 55 1 4 11 203
When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions 0 0 4 285 0 6 24 710
Total Journal Articles 5 15 50 1,894 78 231 713 6,509

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 1 1 12 40
Total Books 0 0 1 3 1 1 12 40

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 0 3 4 4
Limits to Arbitrage for Blockchain-Based Assets 0 0 0 0 0 1 6 6
Measuring and Modeling Risk Using High-Frequency Data 0 0 0 0 0 1 1 1
Modelling Financial High Frequency Data Using Point Processes 0 0 0 0 0 2 10 10
Order aggressiveness and order book dynamics 0 0 0 0 0 0 8 20
Stochastic Volatility Estimation Using Markov Chain Simulation 0 0 0 0 0 1 2 2
Total Chapters 0 0 0 0 0 8 31 43

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Statistics updated 2026-07-10