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Nikolaus Hautsch
Nikolaus Hautsch
Professor of Finance and Statistics, University of Vienna, Austria
Bestätigte E-Mail-Adresse bei univie.ac.at - Startseite
Titel
Zitiert von
Zitiert von
Jahr
Financial network systemic risk contributions
N Hautsch, J Schaumburg, M Schienle
Review of Finance 19 (2), 685-738, 2015
4742015
When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions
A Groß-Klußmann, N Hautsch
Journal of Empirical Finance 18 (2), 321-340, 2011
3462011
Modelling financial high frequency data using point processes
L Bauwens, N Hautsch
Handbook of financial time series, 953-979, 2009
2842009
Econometrics of financial high-frequency data
N Hautsch
Springer Science & Business Media, 2011
2412011
The market impact of a limit order
N Hautsch, R Huang
Journal of Economic Dynamics and Control 36 (4), 501-522, 2012
1892012
Modelling irregularly spaced financial data: theory and practice of dynamic duration models
N Hautsch
Springer Science & Business Media, 2004
1592004
A blocking and regularization approach to high‐dimensional realized covariance estimation
N Hautsch, LM Kyj, RCA Oomen
Journal of Applied Econometrics 27 (4), 625-645, 2012
1462012
Systemic risk spillovers in the European banking and sovereign network
F Betz, N Hautsch, TA Peltonen, M Schienle
Journal of Financial Stability 25, 206-224, 2016
1272016
Order aggressiveness and order book dynamics
AD Hall, N Hautsch
Empirical Economics 30, 973-1005, 2006
1192006
Stochastic conditional intensity processes
L Bauwens, N Hautsch
Journal of Financial Econometrics 4 (3), 450-493, 2006
1152006
Preaveraging-based estimation of quadratic variation in the presence of noise and jumps: theory, implementation, and empirical evidence
N Hautsch, M Podolskij
Journal of Business & Economic Statistics 31 (2), 165-183, 2013
1132013
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
M Bibinger, N Hautsch, P Malec, M Reiß
1022014
Forecasting systemic impact in financial networks
N Hautsch, J Schaumburg, M Schienle
International Journal of Forecasting 30 (3), 781-794, 2014
982014
Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery
N Hautsch, D Hess
Journal of Financial and Quantitative Analysis 42 (1), 189-208, 2007
952007
Do high‐frequency data improve high‐dimensional portfolio allocations?
N Hautsch, LM Kyj, P Malec
Journal of Applied Econometrics 30 (2), 263-290, 2015
902015
Modelling the buy and sell intensity in a limit order book market
AD Hall, N Hautsch
Journal of financial markets 10 (3), 249-286, 2007
802007
Capturing the zero: a new class of zero-augmented distributions and multiplicative error processes
N Hautsch, P Malec, M Schienle
Journal of Financial Econometrics 12 (1), 89-121, 2014
622014
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
N Hautsch
Journal of Economic Dynamics and Control 32 (12), 3978-4015, 2008
612008
Estimating the spot covariation of asset prices—statistical theory and empirical evidence
M Bibinger, N Hautsch, P Malec, M Reiss
Journal of Business & Economic Statistics 37 (3), 419-435, 2019
592019
The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report
N Hautsch, D Hess
Review of Finance 6 (2), 133-161, 2002
592002
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