Access Statistics for Nikolaus Hautsch

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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 2 4 5 1,186
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 0 0 0 282 0 6 11 1,031
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market 0 0 1 186 3 11 15 720
A Dynamic Semiparametric Proportional Hazard Model 0 0 0 107 3 7 7 394
A blocking and regularization approach to high dimensional realized covariance estimation 0 0 0 14 9 11 13 136
A blocking and regularization approach to high dimensional realized covariance estimation 0 0 0 92 3 4 6 249
A mean variance king? Creation and resolution of uncertainty under the employment report's reign 0 0 0 12 5 6 8 380
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields 0 0 1 170 5 10 13 446
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions 0 0 0 127 2 4 5 1,006
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions 0 0 0 189 3 5 6 1,076
Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery 0 0 0 87 3 7 10 323
Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery 0 0 0 178 4 9 9 631
Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth 0 0 0 66 4 5 7 127
Bayesian inference in a stochastic volatility Nelson-Siegel Model 0 0 0 114 1 4 7 253
Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery 0 0 0 10 1 4 7 85
Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets 0 0 1 29 14 18 29 129
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 0 114 1 4 5 340
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 1 203 6 11 14 510
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 7 10 15 23 103
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 39 10 10 11 178
Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes 0 0 0 8 5 7 11 119
Consistent Estimation of the High-Dimensional Efficient Frontier 0 0 1 7 1 1 4 9
Copula-based dynamic conditional correlation multiplicative error processes 0 0 0 40 8 8 11 100
Copula-based dynamic conditional correlation multiplicative error processes 0 0 0 52 4 4 6 170
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading 0 0 1 25 5 8 13 64
Counterparty credit limits: An effective tool for mitigating counterparty risk? 0 1 7 24 9 21 39 130
Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models 0 0 0 69 1 4 5 148
Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model 0 0 0 133 2 8 9 674
Discrete-time stochastic volatility models and MCMC-based statistical inference 0 0 1 234 4 8 15 436
Do high-frequency data improve high-dimensional portfolio allocations? 0 1 2 87 34 55 59 314
Dynamic latent factor models for intensity processes 0 0 0 114 3 4 5 331
Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities 0 0 0 625 2 5 6 2,087
Efficient iterative maximum likelihood estimation of high-parameterized time series models 0 0 0 36 1 3 5 71
Efficient iterative maximum likelihood estimation of high-parameterized time series models 0 0 0 28 3 3 5 83
Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions 0 0 0 78 3 3 6 494
Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence 0 0 0 25 6 6 6 32
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency 0 0 0 38 5 16 17 104
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence 0 0 0 45 3 4 5 54
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence 0 0 1 12 4 5 10 61
Financial network systemic risk contributions 0 0 1 158 3 5 12 375
Financial network systemic risk contributions 0 0 1 92 12 15 19 290
Financial network systemic risk contributions 0 0 0 62 8 12 18 273
Forecasting systemic impact in financial networks 0 0 0 133 10 13 15 232
HARNet: A Convolutional Neural Network for Realized Volatility Forecasting 0 0 0 20 6 14 21 46
HARNet: A convolutional neural network for realized volatility forecasting 0 0 0 37 4 8 12 45
How effective are trading pauses? 1 1 1 19 3 4 7 95
Jump detection in high-frequency order prices 0 0 2 18 5 9 20 33
Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty 0 0 0 15 6 10 16 59
Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information 0 0 0 29 2 5 8 39
Large-scale portfolio allocation under transaction costs and model uncertainty 0 0 2 27 7 10 15 51
Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data 0 1 2 105 6 13 18 329
Limits to arbitrage in markets with stochastic settlement latency 0 2 4 20 6 12 30 79
Local adaptive multiplicative error models for high-frequency forecasts 0 1 1 67 1 7 7 169
Measuring and modeling risk using high-frequency data 0 0 0 142 5 8 8 262
Modeling time-varying dependencies between positive-valued high-frequency time series 0 0 0 76 4 7 7 82
Modelling Financial High Frequency Data Using Point Processes 0 0 1 254 6 8 14 686
Modelling Intraday Trading Activity Using Box-Cox-ACD Models 0 0 1 307 3 3 7 965
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 59 2 6 8 174
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 0 90 5 8 8 286
Modelling financial high frequency data using point processes 0 0 0 0 5 6 9 53
Modelling financial high frequency data using point processes 0 0 0 101 7 7 8 316
Modelling financial high frequency data using point processes 0 0 0 95 7 8 12 360
Modelling high-frequency volatility and liquidity using multiplicative error models 0 0 0 103 7 9 10 250
Multivariate dynamic intensity peaks-over-threshold models 0 0 1 30 4 8 14 64
Non-Standard Errors 0 0 2 44 8 20 40 466
Non-Standard Errors 0 0 0 27 2 8 24 163
Nonstandard errors 0 0 1 12 6 12 30 69
On the dark side of the market: Identifying and analyzing hidden order placements 0 0 0 103 2 4 15 270
On the dark side of the market: Identifying and analyzing hidden order placements 0 0 2 105 6 10 25 396
Order Aggressiveness and Order Book Dynamics 0 0 1 676 8 10 19 1,727
Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? 0 0 0 23 5 6 8 49
Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency? 0 0 1 17 2 6 8 69
Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 0 0 0 85 3 8 11 242
Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence 0 0 0 48 1 3 3 139
Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence 0 0 0 17 5 9 11 80
Predicting bid-ask spreads using long memory autoregressive conditional poisson models 0 0 0 115 6 7 9 183
Price Adjustment to News with Uncertain Precision 0 0 1 28 3 14 19 141
Price adjustment to news with uncertain precision 0 0 0 39 4 5 6 140
Price adjustment to news with uncertain precision 0 0 0 2 8 10 10 49
Price adjustment to news with uncertain precision 0 0 0 3 1 4 6 90
Price adjustment to news with uncertain precision 0 1 2 23 1 5 8 163
Quantifying high-frequency market reactions to real-time news sentiment announcements 0 0 0 11 3 6 8 80
Quantifying high-frequency market reactions to real-time news sentiment announcements 0 0 0 106 2 3 4 163
Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect? 0 0 1 14 3 6 18 63
Semiparametric autoregressive conditional proportional hazard models 0 0 1 210 4 7 9 732
Shirking or mismatch? Coach-team separation in German professional soccer 1 1 1 21 3 6 6 99
Stochastic conditional intensity processes 0 0 0 6 4 8 11 45
Systemic risk spillovers in the European banking and sovereign network 0 0 1 84 4 4 6 168
Systemic risk spillovers in the European banking and sovereign network 0 0 0 60 2 3 4 119
Testing multiplicative error models using conditional moment tests 0 0 1 35 1 4 6 74
Testing the Conditional Mean Function of Autoregressive Conditional Duration Models 0 0 0 114 4 8 8 527
The ambivalent role of high-frequency trading in turbulent market periods 0 0 0 31 3 7 12 109
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 0 8 11 12 56
The impact of macroeconomic news on quote adjustments, noise and informational volatility 0 0 0 2 3 5 7 35
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 41 2 6 8 174
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 1 46 4 5 8 172
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 0 2 5 7 9 74
The latent factor VAR model: Testing for a common component in the intraday trading process 0 0 0 195 3 4 5 575
The market impact of a limit order 0 0 5 18 9 13 31 107
The market impact of a limit order 0 0 0 869 2 2 8 396
The merit of high-frequency data in portfolio allocation 0 0 0 21 5 7 20 104
The merit of high-frequency data in portfolio allocation 0 0 0 13 1 2 3 113
The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report 0 0 0 49 1 4 5 214
Volatility Estimation on the Basis of Price Intensities 0 0 0 262 7 9 9 1,047
Volatility, information feedback and market microstructure noise: A tale of two regimes 0 2 3 68 9 15 22 133
Yield curve factors, term structure volatility, and bond risk premia 0 0 0 261 4 5 7 710
Total Working Papers 2 11 58 10,097 493 841 1,269 30,922
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 0 0 6 4 6 8 21
A Dynamic Semiparametric Proportional Hazard Model 0 0 0 60 4 5 6 197
A blocking and regularization approach to high‐dimensional realized covariance estimation 0 0 1 12 2 4 6 82
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields 0 0 0 40 1 2 6 136
Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities 0 0 0 0 4 5 6 147
Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery 0 0 1 75 5 5 8 222
Bayesian inference in a Stochastic Volatility Nelson–Siegel model 1 1 3 26 5 11 17 102
Building trust takes time: limits to arbitrage for blockchain-based assets 0 1 3 3 2 6 11 12
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model 0 0 0 49 2 12 16 201
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes 0 0 0 19 3 3 6 93
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes 0 0 0 9 6 9 12 38
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading 0 0 0 1 1 1 2 7
Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations? 0 0 1 27 7 14 20 124
Dynamic conditional correlation multiplicative error processes 0 0 0 16 1 6 9 68
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence 0 0 3 14 6 8 15 45
Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions 0 0 0 29 4 4 4 141
Financial Network Systemic Risk Contributions 0 0 3 130 9 12 26 423
Forecasting systemic impact in financial networks 0 0 0 46 2 9 10 145
How effective are trading pauses? 0 0 0 22 3 5 8 133
Large-scale portfolio allocation under transaction costs and model uncertainty 0 0 1 40 6 7 16 134
Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts 0 0 0 12 3 5 7 56
Local mispricing and microstructural noise: A parametric perspective 0 1 4 7 6 13 22 33
Maximum-Likelihood Estimation Using the Zig-Zag Algorithm* 0 0 0 1 3 4 6 8
Modelling and forecasting liquidity supply using semiparametric factor dynamics 0 0 1 12 0 5 6 77
Modelling the buy and sell intensity in a limit order book market 0 1 1 279 3 9 14 553
Multivariate dynamic intensity peaks‐over‐threshold models 0 0 0 4 1 5 8 42
Nonstandard Errors 0 1 13 42 5 13 63 161
Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations 0 0 0 0 2 2 4 8
Order aggressiveness and order book dynamics 0 1 2 145 7 10 13 415
Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 0 0 2 37 6 7 17 144
Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models 0 0 0 14 1 2 4 51
Price adjustment to news with uncertain precision 0 0 2 22 1 4 10 111
Stochastic Conditional Intensity Processes 0 0 0 76 3 7 11 239
Systemic risk spillovers in the European banking and sovereign network 0 0 1 26 3 5 7 133
The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report 0 0 0 1 3 3 6 23
The impact of macroeconomic news on quote adjustments, noise, and informational volatility 0 0 1 45 4 7 11 195
The market impact of a limit order 0 0 6 182 5 9 29 540
Volatility estimation on the basis of price intensities 0 0 0 55 3 5 7 197
When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions 0 1 7 285 1 5 24 701
Total Journal Articles 1 7 56 1,869 137 254 481 6,158

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 4 5 10 37
Total Books 0 0 1 3 4 5 10 37

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 4 7 11 20
Total Chapters 0 0 0 0 4 7 11 20

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Statistics updated 2026-02-12