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 0 14 722
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 0 0 0 282 2 5 19 1,044
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 0 0 0 426 1 2 8 1,190
A Dynamic Semiparametric Proportional Hazard Model 1 1 1 108 1 1 9 396
A blocking and regularization approach to high dimensional realized covariance estimation 0 0 0 92 0 1 10 254
A blocking and regularization approach to high dimensional realized covariance estimation 0 0 0 14 1 2 20 144
A mean variance king? Creation and resolution of uncertainty under the employment report's reign 0 0 0 12 0 0 10 382
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields 0 0 0 170 1 2 20 456
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions 0 0 0 127 0 1 8 1,010
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions 0 0 0 189 0 2 13 1,083
Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery 0 0 0 87 0 0 12 327
Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery 0 0 0 178 2 3 13 635
Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth 0 0 1 67 0 1 13 134
Bayesian inference in a stochastic volatility Nelson-Siegel Model 0 0 0 114 0 2 15 262
Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery 0 0 0 10 0 0 5 86
Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets 0 0 0 29 2 2 34 141
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 0 203 1 1 15 513
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 0 114 1 1 7 343
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 7 0 1 22 110
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 8 1 2 13 123
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 39 0 1 17 185
Consistent Estimation of the High-Dimensional Efficient Frontier 0 0 0 7 0 3 9 17
Copula-based dynamic conditional correlation multiplicative error processes 0 0 0 52 1 1 11 177
Copula-based dynamic conditional correlation multiplicative error processes 0 0 0 40 1 2 17 106
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading 0 0 0 25 2 3 16 69
Counterparty credit limits: An effective tool for mitigating counterparty risk? 1 1 6 25 3 7 48 150
Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models 0 0 0 69 0 0 8 151
Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model 0 0 0 133 0 0 11 677
Discrete-time stochastic volatility models and MCMC-based statistical inference 0 1 1 235 0 2 18 445
Do high-frequency data improve high-dimensional portfolio allocations? 0 0 1 87 1 3 61 319
Dynamic latent factor models for intensity processes 0 0 0 114 1 2 14 341
Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities 0 1 1 626 0 2 11 2,093
Efficient iterative maximum likelihood estimation of high-parameterized time series models 0 0 0 28 0 1 8 88
Efficient iterative maximum likelihood estimation of high-parameterized time series models 0 0 0 36 0 0 3 71
Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions 0 0 0 78 0 0 4 495
Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence 0 0 0 25 0 2 12 38
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency 0 0 0 38 0 0 26 114
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence 0 0 0 12 0 0 11 65
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence 0 0 0 45 2 2 7 57
Financial network systemic risk contributions 0 0 0 62 1 2 20 280
Financial network systemic risk contributions 0 1 1 159 2 7 19 388
Financial network systemic risk contributions 0 0 0 92 1 1 22 296
Forecasting systemic impact in financial networks 0 0 0 133 3 4 22 240
HARNet: A Convolutional Neural Network for Realized Volatility Forecasting 0 0 1 21 2 4 31 63
HARNet: A convolutional neural network for realized volatility forecasting 0 0 0 37 0 0 18 55
How effective are trading pauses? 0 0 2 20 2 4 16 105
Jump detection in high-frequency order prices 0 0 1 18 0 5 35 56
Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty 0 0 0 15 1 3 22 65
Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information 1 1 1 30 1 2 9 43
Large-scale portfolio allocation under transaction costs and model uncertainty 0 0 1 27 0 0 24 62
Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data 0 0 1 105 2 4 21 337
Limits to arbitrage in markets with stochastic settlement latency 0 1 3 21 1 5 30 92
Local adaptive multiplicative error models for high-frequency forecasts 0 0 1 67 0 0 12 174
Measuring and modeling risk using high-frequency data 0 0 0 142 0 1 13 267
Modeling time-varying dependencies between positive-valued high-frequency time series 0 0 0 76 0 0 14 89
Modelling Financial High Frequency Data Using Point Processes 0 0 0 254 1 1 11 688
Modelling Intraday Trading Activity Using Box-Cox-ACD Models 0 0 1 308 1 1 13 973
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 90 2 2 19 297
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 59 0 0 12 179
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 0 1 10 318
Modelling financial high frequency data using point processes 0 0 0 95 0 1 13 364
Modelling high-frequency volatility and liquidity using multiplicative error models 0 0 0 103 5 5 19 259
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 0 1 12 66
Non-Standard Errors 1 1 1 28 2 5 21 173
Non-Standard Errors 1 1 1 45 1 4 41 485
Nonstandard Errors 0 0 1 4 1 4 28 48
Nonstandard Errors 0 0 0 0 1 1 30 36
Nonstandard Errors 0 0 0 0 0 4 22 24
Nonstandard errors 1 1 2 13 2 5 32 84
On the dark side of the market: Identifying and analyzing hidden order placements 0 0 0 103 4 6 15 281
On the dark side of the market: Identifying and analyzing hidden order placements 0 0 0 105 0 4 26 411
Order Aggressiveness and Order Book Dynamics 0 0 0 676 0 1 19 1,734
Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? 0 0 0 23 0 0 9 52
Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency? 0 0 0 17 0 0 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 0 3 16 247
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 95
Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence 0 0 0 48 1 1 10 146
Predicting bid-ask spreads using long memory autoregressive conditional poisson models 0 0 0 115 0 0 15 190
Price Adjustment to News with Uncertain Precision 0 0 0 28 0 1 21 146
Price adjustment to news with uncertain precision 0 0 1 3 0 0 13 52
Price adjustment to news with uncertain precision 0 0 1 40 0 1 10 145
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 23 0 2 10 168
Quantifying high-frequency market reactions to real-time news sentiment announcements 0 0 0 106 2 3 8 168
Quantifying high-frequency market reactions to real-time news sentiment announcements 0 0 0 11 0 3 22 95
Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect? 0 0 0 14 0 0 13 66
Semiparametric autoregressive conditional proportional hazard models 0 0 0 210 0 0 11 735
Shirking or mismatch? Coach-team separation in German professional soccer 0 0 1 21 0 0 8 101
Stochastic conditional intensity processes 0 0 0 6 1 3 20 56
Systemic risk spillovers in the European banking and sovereign network 0 0 0 84 0 1 14 178
Systemic risk spillovers in the European banking and sovereign network 0 0 0 60 0 3 14 129
Testing multiplicative error models using conditional moment tests 0 0 0 35 0 1 7 77
Testing the Conditional Mean Function of Autoregressive Conditional Duration Models 0 0 0 114 0 0 13 532
The ambivalent role of high-frequency trading in turbulent market periods 0 0 0 31 0 1 15 115
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 0 0 0 18 62
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 2 3 4 9 39
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 2 1 2 15 80
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 41 0 0 11 179
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 1 46 0 0 7 173
The latent factor VAR model: Testing for a common component in the intraday trading process 0 0 0 195 0 1 7 577
The market impact of a limit order 0 0 0 869 0 1 15 405
The market impact of a limit order 0 1 1 19 1 2 32 124
The merit of high-frequency data in portfolio allocation 0 0 0 21 1 1 28 118
The merit of high-frequency data in portfolio allocation 0 0 0 13 0 0 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 7 217
Volatility Estimation on the Basis of Price Intensities 0 0 0 262 0 3 15 1,053
Volatility, information feedback and market microstructure noise: A tale of two regimes 1 1 3 69 1 3 36 151
Yield curve factors, term structure volatility, and bond risk premia 0 0 0 261 0 0 13 718
Total Working Papers 7 12 39 10,120 72 191 1,792 31,783
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 3 9 2 55 69 84
A Dynamic Semiparametric Proportional Hazard Model 0 0 0 60 0 0 9 201
A blocking and regularization approach to high‐dimensional realized covariance estimation 0 0 0 12 3 3 19 96
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields 0 0 0 40 0 1 7 141
Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities 0 0 0 0 0 0 7 148
Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery 0 0 0 75 0 1 10 227
Bayesian inference in a Stochastic Volatility Nelson–Siegel model 0 2 7 31 1 6 29 117
Building trust takes time: limits to arbitrage for blockchain-based assets 1 1 6 8 2 4 25 30
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 0 49 0 0 19 206
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes 0 0 0 9 1 2 19 47
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes 0 0 1 20 0 1 13 102
Consistent estimation of the high-dimensional efficient frontier 0 0 1 1 1 1 2 2
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 2 3 24 134
Dynamic conditional correlation multiplicative error processes 0 0 0 16 2 2 13 75
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence 0 0 0 14 1 2 16 52
Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions 0 0 0 29 0 0 7 144
Financial Network Systemic Risk Contributions 0 1 2 131 3 8 36 443
Forecasting systemic impact in financial networks 0 0 0 46 1 1 10 146
How effective are trading pauses? 0 1 2 24 0 1 13 139
Jump detection in high-frequency order prices 1 1 2 2 1 6 13 13
Large-scale portfolio allocation under transaction costs and model uncertainty 0 1 3 42 1 2 29 151
Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts 0 0 0 12 1 2 15 66
Local mispricing and microstructural noise: A parametric perspective 3 3 4 10 4 7 31 48
Maximum-Likelihood Estimation Using the Zig-Zag Algorithm* 0 0 1 2 0 2 12 16
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 12 0 0 8 80
Modelling the buy and sell intensity in a limit order book market 1 1 3 281 2 2 19 558
Multivariate dynamic intensity peaks‐over‐threshold models 0 0 0 4 1 1 10 47
Nonstandard Errors 0 2 8 46 6 15 57 191
Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations 0 0 0 0 2 2 13 18
Order aggressiveness and order book dynamics 0 0 1 145 0 4 33 436
Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 0 0 1 38 0 1 13 148
Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models 0 0 0 14 0 1 16 63
Price adjustment to news with uncertain precision 0 0 0 22 1 1 11 116
Stochastic Conditional Intensity Processes 0 0 0 76 0 2 15 245
Systemic risk spillovers in the European banking and sovereign network 0 1 1 27 0 3 14 142
The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report 0 0 0 1 0 0 8 27
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 45 0 1 16 204
The market impact of a limit order 0 0 3 183 3 9 33 559
Volatility estimation on the basis of price intensities 0 0 0 55 0 1 11 203
When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions 2 3 4 288 7 12 30 722
Total Journal Articles 8 18 53 1,907 48 165 757 6,596

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 0 3 11 42
Total Books 0 0 0 3 0 3 11 42

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 0 4 4
Limits to Arbitrage for Blockchain-Based Assets 0 0 0 0 0 1 7 7
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 0 10 10
Order aggressiveness and order book dynamics 0 0 0 0 0 1 8 21
Stochastic Volatility Estimation Using Markov Chain Simulation 0 0 0 0 0 0 2 2
Total Chapters 0 0 0 0 0 2 32 45

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Statistics updated 2026-09-10