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 0 2 6 1,188
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 0 0 0 186 0 2 15 722
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 0 0 0 282 1 8 18 1,039
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 14 0 5 19 142
A blocking and regularization approach to high dimensional realized covariance estimation 0 0 0 92 1 4 10 253
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 0 5 19 454
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions 0 0 0 189 0 4 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 0 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 14 327
Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery 0 0 0 178 0 0 10 632
Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth 0 0 1 67 0 4 13 133
Bayesian inference in a stochastic volatility Nelson-Siegel Model 0 0 0 114 2 6 13 260
Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery 0 0 0 10 0 0 8 86
Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets 0 0 0 29 0 8 33 139
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 0 114 1 2 7 342
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 0 203 1 1 14 512
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 8 0 2 11 121
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 7 0 6 21 109
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 39 0 6 16 184
Consistent Estimation of the High-Dimensional Efficient Frontier 0 0 1 7 0 4 8 14
Copula-based dynamic conditional correlation multiplicative error processes 0 0 0 40 1 4 15 104
Copula-based dynamic conditional correlation multiplicative error processes 0 0 0 52 0 5 10 176
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading 0 0 0 25 0 2 13 66
Counterparty credit limits: An effective tool for mitigating counterparty risk? 0 0 6 24 3 9 47 143
Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models 0 0 0 69 0 3 8 151
Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model 0 0 0 133 0 2 11 677
Discrete-time stochastic volatility models and MCMC-based statistical inference 0 0 0 234 2 7 20 443
Do high-frequency data improve high-dimensional portfolio allocations? 0 0 2 87 0 1 60 316
Dynamic latent factor models for intensity processes 0 0 0 114 1 8 12 339
Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities 0 0 0 625 1 2 9 2,091
Efficient iterative maximum likelihood estimation of high-parameterized time series models 0 0 0 28 0 2 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 4 10 36
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency 0 0 0 38 1 6 26 114
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence 0 0 0 12 0 2 13 65
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence 0 0 0 45 1 1 5 55
Financial network systemic risk contributions 0 0 0 62 1 5 23 278
Financial network systemic risk contributions 0 0 1 158 3 6 18 381
Financial network systemic risk contributions 0 0 0 92 0 4 23 295
Forecasting systemic impact in financial networks 0 0 0 133 0 3 18 236
HARNet: A Convolutional Neural Network for Realized Volatility Forecasting 1 1 1 21 2 11 32 59
HARNet: A convolutional neural network for realized volatility forecasting 0 0 0 37 2 8 21 55
How effective are trading pauses? 0 1 2 20 1 6 13 101
Jump detection in high-frequency order prices 0 0 1 18 1 9 32 51
Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty 0 0 0 15 0 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 0 2 7 41
Large-scale portfolio allocation under transaction costs and model uncertainty 0 0 1 27 1 10 25 62
Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data 0 0 2 105 0 4 20 333
Limits to arbitrage in markets with stochastic settlement latency 0 0 3 20 1 7 30 87
Local adaptive multiplicative error models for high-frequency forecasts 0 0 1 67 3 5 12 174
Measuring and modeling risk using high-frequency data 0 0 0 142 0 3 12 266
Modeling time-varying dependencies between positive-valued high-frequency time series 0 0 0 76 0 5 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 1 1 308 1 7 12 972
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 59 0 5 13 179
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 90 1 5 17 295
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 0 2 13 363
Modelling financial high frequency data using point processes 0 0 0 101 0 0 9 317
Modelling high-frequency volatility and liquidity using multiplicative error models 0 0 0 103 1 4 14 254
Multivariate dynamic intensity peaks-over-threshold models 0 0 0 30 0 0 12 65
Non-Standard Errors 0 0 0 44 5 11 43 481
Non-Standard Errors 0 0 0 27 0 5 21 168
Nonstandard errors 0 0 1 12 0 8 34 79
On the dark side of the market: Identifying and analyzing hidden order placements 0 0 0 103 0 4 13 275
On the dark side of the market: Identifying and analyzing hidden order placements 0 0 0 105 2 9 28 407
Order Aggressiveness and Order Book Dynamics 0 0 0 676 1 5 19 1,733
Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? 0 0 0 23 1 2 11 52
Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency? 0 0 0 17 4 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 2 13 244
Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence 0 0 0 48 3 6 9 145
Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence 0 0 0 17 2 10 24 93
Predicting bid-ask spreads using long memory autoregressive conditional poisson models 0 0 0 115 0 2 15 190
Price Adjustment to News with Uncertain Precision 0 0 0 28 0 3 22 145
Price adjustment to news with uncertain precision 0 0 0 3 0 0 6 91
Price adjustment to news with uncertain precision 0 0 1 40 0 3 9 144
Price adjustment to news with uncertain precision 0 0 1 23 2 3 9 166
Price adjustment to news with uncertain precision 0 1 1 3 0 2 13 52
Quantifying high-frequency market reactions to real-time news sentiment announcements 0 0 0 11 2 12 20 92
Quantifying high-frequency market reactions to real-time news sentiment announcements 0 0 0 106 0 2 5 165
Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect? 0 0 0 14 1 3 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 1 2 8 101
Stochastic conditional intensity processes 0 0 0 6 1 6 17 53
Systemic risk spillovers in the European banking and sovereign network 0 0 0 60 1 6 11 126
Systemic risk spillovers in the European banking and sovereign network 0 0 0 84 2 8 13 177
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 2 4 13 532
The ambivalent role of high-frequency trading in turbulent market periods 0 0 0 31 0 3 15 114
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 2 0 0 6 35
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 0 1 5 18 62
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 41 0 5 12 179
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 2 0 4 13 78
The latent factor VAR model: Testing for a common component in the intraday trading process 0 0 0 195 0 1 6 576
The market impact of a limit order 0 0 2 18 0 11 38 122
The market impact of a limit order 0 0 0 869 1 7 14 404
The merit of high-frequency data in portfolio allocation 0 0 0 21 0 9 31 117
The merit of high-frequency data in portfolio allocation 0 0 0 13 0 5 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 2 6 216
Volatility Estimation on the Basis of Price Intensities 0 0 0 262 1 3 12 1,050
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 0 2 68 1 9 34 148
Yield curve factors, term structure volatility, and bond risk premia 0 0 0 261 0 7 14 718
Total Working Papers 1 4 35 10,103 71 457 1,663 31,489
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* 1 1 2 8 1 5 14 29
A Dynamic Semiparametric Proportional Hazard Model 0 0 0 60 1 4 9 201
A blocking and regularization approach to high‐dimensional realized covariance estimation 0 0 0 12 0 8 16 93
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields 0 0 0 40 0 3 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 11 226
Bayesian inference in a Stochastic Volatility Nelson–Siegel model 2 3 6 29 2 8 25 111
Building trust takes time: limits to arbitrage for blockchain-based assets 1 3 5 7 3 10 23 26
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 0 49 0 5 20 206
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes 1 1 1 20 2 6 14 101
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes 0 0 0 9 0 3 18 45
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 0 4 22 131
Dynamic conditional correlation multiplicative error processes 0 0 0 16 1 4 11 73
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence 0 0 2 14 1 4 19 50
Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions 0 0 0 29 1 2 7 144
Financial Network Systemic Risk Contributions 0 0 2 130 2 6 36 435
Forecasting systemic impact in financial networks 0 0 0 46 0 0 10 145
How effective are trading pauses? 0 0 1 23 1 4 13 138
Large-scale portfolio allocation under transaction costs and model uncertainty 0 1 2 41 3 12 29 149
Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts 0 0 0 12 3 8 14 64
Local mispricing and microstructural noise: A parametric perspective 0 0 2 7 0 4 25 41
Maximum-Likelihood Estimation Using the Zig-Zag Algorithm* 0 1 1 2 1 6 11 14
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 12 1 3 8 80
Modelling the buy and sell intensity in a limit order book market 1 1 2 280 1 2 17 556
Multivariate dynamic intensity peaks‐over‐threshold models 0 0 0 4 0 4 11 46
Nonstandard Errors 0 2 7 44 0 9 53 176
Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations 0 0 0 0 1 6 11 16
Order aggressiveness and order book dynamics 0 0 1 145 7 11 29 432
Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 1 1 2 38 2 3 13 147
Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models 0 0 0 14 0 9 15 62
Price adjustment to news with uncertain precision 0 0 0 22 1 4 10 115
Stochastic Conditional Intensity Processes 0 0 0 76 1 4 13 243
Systemic risk spillovers in the European banking and sovereign network 0 0 0 26 0 4 12 139
The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report 0 0 0 1 1 4 8 27
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 45 0 5 15 203
The market impact of a limit order 0 1 5 183 2 7 31 550
Volatility estimation on the basis of price intensities 0 0 0 55 0 4 10 202
When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions 0 0 4 285 3 9 26 710
Total Journal Articles 7 15 46 1,887 43 200 647 6,423

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 0 11 39
Total Books 0 0 1 3 0 0 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 2026-06-04