Nikolaus Hautsch

University of Vienna - Department of Statistics and Operations Research

Kolingasse 14

Vienna, A-1090

Austria

Center for Financial Studies (CFS)

Grüneburgplatz 1

Frankfurt am Main, 60323

Germany

Vienna Graduate School of Finance (VGSF)

Welthandelsplatz 1

Vienna, 1020

Austria

SCHOLARLY PAPERS

58

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172

CROSSREF CITATIONS

143

Scholarly Papers (58)

1.

On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements

Number of pages: 43 Posted: 13 Feb 2012
Nikolaus Hautsch and Ruihong Huang
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 1,187 (22,176)
Citation 13

Abstract:

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limit order market, hidden liquidity, high-frequency trading, non-display order, iceberg orders

2.

A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market

University of Copenhagen Finance Working Paper No. 2004/03
Number of pages: 38 Posted: 14 Jun 2005
Nikolaus Hautsch and Tony Hall
University of Vienna - Department of Statistics and Operations Research and affiliation not provided to SSRN
Downloads 1,039 (26,886)
Citation 2

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Buy and sell arrival process, order book information, market depth, bivariate

Optimal Hedging of the Currency Exchange Risk Exposure of Dynamically Balanced Strategic Asset Allocations

Number of pages: 29 Posted: 04 Mar 2002
Nikolaus Hautsch and Joachim Inkmann
University of Vienna - Department of Statistics and Operations Research and University of Melbourne - Department of Finance
Downloads 917 (31,692)
Citation 1

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Currency overlay management, optimal hedging, rebalancing, fixed-mix, DCC-GARCH

Optimal Hedging of the Currency Exchange Risk Exposure of Dynamically Balanced Strategic Asset Allocations

Journal of Asset Management, Vol. 4, No. 3, pp. 173-198, September 2003
Posted: 01 Nov 2008
Nikolaus Hautsch and Joachim Inkmann
University of Vienna - Department of Statistics and Operations Research and University of Melbourne - Department of Finance

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Currency overlay management, optimal hedging, rebalancing, fixed-mix, DCC-GARCH

Modelling Financial High Frequency Data Using Point Processes

CORE Discussion Paper No. 2006/80
Number of pages: 31 Posted: 19 Nov 2006
Nikolaus Hautsch and Luc Bauwens
University of Vienna - Department of Statistics and Operations Research and Université catholique de Louvain
Downloads 487 (72,977)
Citation 4

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Duration, intensity, point process, high frequency data, ACD models

Modelling Financial High Frequency Data Using Point Processes

CRC Discussion Paper No. 2007-066
Number of pages: 30 Posted: 06 Aug 2008
Luc Bauwens and Nikolaus Hautsch
Université catholique de Louvain and University of Vienna - Department of Statistics and Operations Research
Downloads 388 (95,580)
Citation 15

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Financial point processes, dynamic duration models, dynamic intensity models

Bayesian Learning in Financial Markets - Testing for the Relevance of Information Precision in Price Discovery

Centre for Financial Research (CFR), Working Paper 04-10
Number of pages: 37 Posted: 14 Jun 2005 Last Revised: 16 Sep 2010
Dieter Hess and Nikolaus Hautsch
University of Cologne - Department of Corporate Finance and University of Vienna - Department of Statistics and Operations Research
Downloads 747 (41,972)
Citation 4

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Bayesian learning, information precision, macroeconomic announcements, asymmetric price response, financial markets, high-frequency data

Bayesian Learning in Financial Markets - Testing for the Relevance of Information Precision in Price Discovery

Journal of Financial and Quantitative Analysis (JFQA), Vol. 42, No. 1, 2007
Posted: 01 Nov 2008
Nikolaus Hautsch and Dieter Hess
University of Vienna - Department of Statistics and Operations Research and University of Cologne - Department of Corporate Finance

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information quality, macroeconomic announcements, event studies, asymmetric price response, high-frequency data

6.
Downloads 719 ( 44,815)
Citation 5

Order Aggressiveness and Order Book Dynamics

University of Copenhagen Economics Working Paper No. 2005/04
Number of pages: 31 Posted: 14 Jun 2005
Nikolaus Hautsch and Tony Hall
University of Vienna - Department of Statistics and Operations Research and affiliation not provided to SSRN
Downloads 719 (44,197)
Citation 5

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Order aggressiveness, multivariate intensity, open limit order book, order book dynamics

Order Aggressiveness and Order Book Dynamics

Empirical Economics, Forthcoming
Posted: 01 Dec 2005
Nikolaus Hautsch and Tony Hall
University of Vienna - Department of Statistics and Operations Research and affiliation not provided to SSRN

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open limit order book, aggressive market orders, aggressive limit orders and cancellations, multivariate intensity

7.

Modelling Intraday Trading Activity Using Box-Cox Acd Models

Number of pages: 25 Posted: 08 Nov 2001
Nikolaus Hautsch
University of Vienna - Department of Statistics and Operations Research
Downloads 675 (48,812)
Citation 9

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volume durations, liquidity concepts, Generalized F distribution, out-of-sample-forecasts

8.

The Market Impact of a Limit Order

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 45 Posted: 16 Sep 2010 Last Revised: 10 Oct 2011
Nikolaus Hautsch and Ruihong Huang
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 610 (55,804)
Citation 22

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price impact, limit order, impulse response function, high-frequency cointegration

Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities

CoFE Working Paper No. 01/05
Number of pages: 25 Posted: 09 Nov 2001
Nikolaus Hautsch and Winfried Pohlmeier
University of Vienna - Department of Statistics and Operations Research and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)
Downloads 590 (57,348)

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transaction data, autoregressive conditional duration models, ordered response and count models, electronic and floor trading

Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities

Posted: 19 Nov 2001
Nikolaus Hautsch and Winfried Pohlmeier
University of Vienna - Department of Statistics and Operations Research and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)

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Keywords: transaction data, autoregressive conditional duration models, ordered response and count models, electronic and floor tradingKeywords: transaction data, autoregressive conditional duration models, ordered response and count models, electronic and floor trading

Price Adjustment to News with Uncertain Precision

EFA 2009 Bergen Meetings Paper
Number of pages: 49 Posted: 04 Mar 2007 Last Revised: 29 Mar 2012
Dieter Hess, Nikolaus Hautsch and Christoph Müller
University of Cologne - Department of Corporate Finance, University of Vienna - Department of Statistics and Operations Research and University of Cologne
Downloads 564 (60,727)
Citation 1

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Bayesian learning, information quality, precision signals, macroeconomic announcements

Price Adjustment to News with Uncertain Precision

Journal of International Money and Finance, Vol. 31, No. 2, 2012
Posted: 09 Feb 2012 Last Revised: 15 Feb 2012
Nikolaus Hautsch, Dieter Hess and Christoph Müller
University of Vienna - Department of Statistics and Operations Research, University of Cologne - Department of Corporate Finance and University of Cologne

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Bayesian learning, Macroeconomic announcements, Information quality, Precision signals

11.

Local Mispricing and Microstructural Noise: A Parametric Perspective

Number of pages: 46 Posted: 23 Feb 2017 Last Revised: 29 Sep 2020
Northwestern University - Kellogg School of Management, University of Vienna - Faculty of Business, Economics and Statistics, University of Vienna, Faculty of Business and Economics and University of Vienna - Department of Statistics and Operations Research
Downloads 463 (78,347)
Citation 5

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Volatility estimation; market microstructure noise; price reversal; momentum trading; contrarian trading

12.

Yield Curve Factors, Yield Volatility, and the Predictability of Bond Excess Returns

Number of pages: 34 Posted: 08 Mar 2008
Nikolaus Hautsch and Yangguoyi Ou
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin - School of Business and Economics
Downloads 422 (87,473)
Citation 1

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term structure, factor volatilities, bond return premia

The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility

Number of pages: 44 Posted: 16 Feb 2009 Last Revised: 31 Mar 2012
Nikolaus Hautsch, Dieter Hess and David Veredas
University of Vienna - Department of Statistics and Operations Research, University of Cologne - Department of Corporate Finance and Vlerick Business School
Downloads 379 (98,205)
Citation 3

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Efficient return, macroeconomic announcements, microstructure noise, informational volatility

The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility

Journal of Banking and Finance, Vol. 35, No. 10, 2011
Posted: 20 Nov 2011 Last Revised: 31 Mar 2012
Nikolaus Hautsch, Dieter Hess and David Veredas
University of Vienna - Department of Statistics and Operations Research, University of Cologne - Department of Corporate Finance and Vlerick Business School

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Efficient return, Macroeconomic announcements, Microstructure noise, Informational volatility

14.

Dynamic Latent Factor Models for Intensity Processes

CORE Discussion Paper No. 2003/103
Number of pages: 37 Posted: 14 Apr 2005
Luc Bauwens and Nikolaus Hautsch
Université catholique de Louvain and University of Vienna - Department of Statistics and Operations Research
Downloads 359 (105,214)
Citation 18

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Multivariate point process, latent factor, transaction durations, efficient importance sampling

15.

Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data

Number of pages: 29 Posted: 22 Aug 2011
Nikolaus Hautsch and Ruihong Huang
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 338 (112,590)
Citation 10

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price impact, limit order, impulse response function, cointegration, optimal order size

16.

A Descriptive Study of High-Frequency Trade and Quote Option Data

Number of pages: 80 Posted: 07 Sep 2019 Last Revised: 27 Aug 2020
Northwestern University - Kellogg School of Management, University of Vienna - Faculty of Business, Economics and Statistics, University of Vienna, University of Vienna - Department of Statistics and Operations Research, Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and FinanceMonash University - Department of Econometrics & Business Statistics, Lancaster University - Department of Accounting and Finance and Independent
Downloads 329 (115,930)
Citation 1

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Options Data, High Frequency Data, Market Microstructure

Volatility Estimation on the Basis of Price Intensities

Number of pages: 41 Posted: 15 Nov 2001
Nikolaus Hautsch and Frank Gerhard
University of Vienna - Department of Statistics and Operations Research and Barclays Investment Bank
Downloads 322 (117,956)

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High-frequency data, price durations, proportional hazard model, intraday and time-to-maturity seasonalities

Volatility Estimation on the Basis of Price Intensities

Posted: 19 Nov 2001
Nikolaus Hautsch and Frank Gerhard
University of Vienna - Department of Statistics and Operations Research and Barclays Investment Bank

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High-frequency data, price durations, proportional hazard model, intraday and time-to-maturity seasonalities

18.

A Blocking and Regularization Approach to High Dimensional Realized Covariance Estimation

Journal of Applied Econometrics, Forthcoming
Number of pages: 30 Posted: 18 Oct 2009 Last Revised: 22 Aug 2010
Nikolaus Hautsch, Lada M. Kyj and Roel C. A. Oomen
University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin and Deutsche Bank AG (London)
Downloads 320 (119,496)
Citation 8

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covariance estimation, blocking, realized kernel, regularization, microstructure noise, asynchronous trading

19.

The Latent Factor VAR Model: Testing for a Common Component in the Intraday Trading Process

University of Copenhagen Working Paper No. 2005/03
Number of pages: 37 Posted: 14 Jun 2005
Nikolaus Hautsch
University of Vienna - Department of Statistics and Operations Research
Downloads 319 (119,916)

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Observation vs. parameter driven dynamics, mixture-of-distribution hypothesis, VAR model

20.

Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference

Number of pages: 25 Posted: 01 Nov 2008
Nikolaus Hautsch and Yangguoyi Ou
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin - School of Business and Economics
Downloads 310 (123,567)
Citation 3

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Stochastic Volatility, Markov Chain Monte Carlo, Metropolis-Hastings algorithm, Jump Processes

21.

Yield Curve Factors, Factor Volatilities, and the Predictability of Bond Excess Returns

Number of pages: 44 Posted: 26 Mar 2008 Last Revised: 30 Oct 2008
Nikolaus Hautsch and Yangguoyi Ou
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin - School of Business and Economics
Downloads 292 (131,722)

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Term Structure Modelling; Yield Curve Risk; Stochastic Volatility; Factor Models; Macroeconomic Fundamentals

22.

The Merit of High-Frequency Data in Portfolio Allocation

Number of pages: 43 Posted: 12 Sep 2011
Nikolaus Hautsch, Lada M. Kyj and Peter Malec
University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin and University of Cambridge - Faculty of Economics
Downloads 265 (145,619)
Citation 7

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spectral decomposition, mixing frequencies, factor model, blocked realized kernel, covariance prediction, portfolio optimization

23.

Does Hidden Liquidity Harm Price Efficiency?

Number of pages: 57 Posted: 04 Aug 2013 Last Revised: 30 Aug 2014
Gökhan Cebiroglu, Nikolaus Hautsch and Ulrich Horst
University of Vienna, Faculty of Business and Economics, University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 259 (148,941)
Citation 2

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Liquidity Coordination, Signalling, Pre-announcements, Hidden Liquidity, Limit Order Books, Liquidity Externalities

24.

Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models

Number of pages: 16 Posted: 01 Nov 2008
Nikolaus Hautsch and Vahidin Jeleskovic
University of Vienna - Department of Statistics and Operations Research and affiliation not provided to SSRN
Downloads 248 (155,532)
Citation 2

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Multiplicative error models, volatility, liquidity, high-frequency data

Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence

CFS Working Paper, No. 477
Number of pages: 56 Posted: 09 Oct 2014
Markus Bibinger, Nikolaus Hautsch, Peter Malec and Markus Reiss
University of Mannheim, University of Vienna - Department of Statistics and Operations Research, University of Cambridge - Faculty of Economics and Humboldt University of Berlin
Downloads 149 (246,293)
Citation 16

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local method of moments, spot covariance, smoothing, intraday (co-)variation risk

Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence

Number of pages: 42 Posted: 08 Oct 2014 Last Revised: 03 Nov 2016
Markus Bibinger, Nikolaus Hautsch, Peter Malec and Markus Reiss
University of Mannheim, University of Vienna - Department of Statistics and Operations Research, University of Cambridge - Faculty of Economics and Humboldt University of Berlin
Downloads 95 (342,481)
Citation 5

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local method of moments, spot covariance, smoothing, intraday (co-)variation risk

26.

The Ambivalent Role of High-Frequency Trading in Turbulent Market Periods

CFS Working Paper, No. 580
Number of pages: 61 Posted: 23 Aug 2017 Last Revised: 28 Sep 2017
Nikolaus Hautsch, Michael Noé and S. Sarah Zhang
University of Vienna - Department of Statistics and Operations Research, Eurex Frankfurt AG - Derivatives Market Design and University of Manchester - Alliance Manchester Business School
Downloads 230 (167,195)
Citation 8

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High Frequency Trading, Market Making, News Releases, Futures Market, Brexit

27.

Financial Network Systemic Risk Contributions

Number of pages: 57 Posted: 26 Aug 2013
University of Vienna - Department of Statistics and Operations Research, VU University AmsterdamTinbergen Institute and Humboldt University of Berlin - School of Business and Economics
Downloads 212 (180,665)
Citation 45

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systemic risk contribution, systemic risk network, Value at Risk, network topology, two-step quantile regression, time-varying parameters

28.

Systemic Risk Spillovers in the European Banking and Sovereign Network

CFS Working Paper, No. 467
Number of pages: 33 Posted: 04 Oct 2014
European Union - European Investment Bank, University of Vienna - Department of Statistics and Operations Research, European Central Bank (ECB) and Karlsruhe Institute of Technology (KIT)
Downloads 211 (181,523)
Citation 5

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systemic risk contribution, tail dependence, network topology, sovereignbank linkages, Value-at-Risk

29.

Measuring and Modeling Risk Using High-Frequency Data

Number of pages: 23 Posted: 01 Nov 2008
Wolfgang K. Härdle, Nikolaus Hautsch and Uta Pigorsch
Blockchain Research Center, University of Vienna - Department of Statistics and Operations Research and University of Mannheim
Downloads 208 (183,905)
Citation 2

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Realized Volatility, Realized Betas, Volatility Modeling

A Dynamic Semiparametric Proportional Hazard Model

U of Copenhagen Finance Working Paper No. 2006/05
Number of pages: 34 Posted: 16 Nov 2006
Frank Gerhard and Nikolaus Hautsch
Barclays Investment Bank and University of Vienna - Department of Statistics and Operations Research
Downloads 204 (187,028)

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autoregressive duration models, dynamic ordered response models, generalized residuals, censoring

A Dynamic Semiparametric Proportional Hazard Model

Studies in Nonlinear Dynamics and Econometrics, Vol. 11, No. 2, 2007
Posted: 01 Nov 2008
Frank Gerhard and Nikolaus Hautsch
Barclays Investment Bank and University of Vienna - Department of Statistics and Operations Research

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buy and sell arrival process, order book information, market depth, bivariate autoregressive intensity model, net buy pressure

31.

Semiparametric Autoregressive Conditional Proportional Hazard Models

Number of pages: 23 Posted: 08 Nov 2001
Nikolaus Hautsch and Frank Gerhard
University of Vienna - Department of Statistics and Operations Research and Barclays Investment Bank
Downloads 204 (187,210)
Citation 1

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autoregressive duration models, dynamic ordered response models, generalised residuals, censoring

32.

Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?

Number of pages: 44 Posted: 05 Mar 2013
Nikolaus Hautsch, Lada M. Kyj and Peter Malec
University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin and University of Cambridge - Faculty of Economics
Downloads 198 (195,060)
Citation 9

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portfolio optimization, spectral decomposition, regularization, blocked realized kernel, covariance prediction

33.

Building Trust Takes Time: Limits to Arbitrage in Blockchain-Based Markets

CFS Working Paper, No. 616, 2018
Number of pages: 55 Posted: 02 Jan 2019 Last Revised: 29 Jan 2021
Nikolaus Hautsch, Christoph Scheuch and Stefan Voigt
University of Vienna - Department of Statistics and Operations Research, wikifolio Financial Technologies AG and University of Copenhagen
Downloads 182 (207,446)
Citation 8

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Arbitrage, Blockchain, Market Frictions

34.

Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions

Number of pages: 23 Posted: 08 Nov 2001
Nikolaus Hautsch and Stefan Klotz
University of Vienna - Department of Statistics and Operations Research and University of Konstanz - Department of Economics
Downloads 176 (213,543)
Citation 1

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decision models, discrete choice, spatial econometrics, social space, Euclidean measure

35.

Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes

Number of pages: 29 Posted: 12 Sep 2012
Taras Bodnar and Nikolaus Hautsch
Europa-Universitaet Viadrina and University of Vienna - Department of Statistics and Operations Research
Downloads 173 (216,677)
Citation 4

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multiplicative error model, trading processes, copula, DCC-GARCH, liquidity risk

36.

Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty

CFS Working Paper, No. 582
Number of pages: 62 Posted: 28 Sep 2017 Last Revised: 23 Aug 2019
Nikolaus Hautsch and Stefan Voigt
University of Vienna - Department of Statistics and Operations Research and University of Copenhagen
Downloads 171 (220,009)
Citation 6

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portfolio choice, transaction costs, model uncertainty, regularization, high frequency data

37.

Testing the Conditional Mean Function of Autoregressive Conditional Duration Models

University of Copenhagen Discussion Paper
Number of pages: 36 Posted: 13 Dec 2006
Nikolaus Hautsch
University of Vienna - Department of Statistics and Operations Research
Downloads 168 (222,197)
Citation 14

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Augmented ACD models, semiparametric ACD models, news impact function, Lagrange multiplier tests, (integrated) conditional moment tests

38.

Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?

CFS Working Paper, No. 468
Number of pages: 60 Posted: 04 Oct 2014
Gökhan Cebiroglu, Nikolaus Hautsch and Ulrich Horst
University of Vienna, Faculty of Business and Economics, University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 162 (229,095)

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liquidity externalities, order flow, trade signaling, limit order book

39.

Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models

Number of pages: 42 Posted: 15 Jul 2011
Axel Groß-Klußmann and Nikolaus Hautsch
Humboldt Universität zu Berlin and University of Vienna - Department of Statistics and Operations Research
Downloads 151 (243,004)
Citation 2

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Bid-ask Spreads, Forecasting, High-Frequency Data, Stock Market Liquidity, Count Data Time Series, Long Memory Poisson Autoregression

40.

Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes

Number of pages: 36 Posted: 19 Nov 2010 Last Revised: 08 Aug 2012
Nikolaus Hautsch, Peter Malec and Melanie Schienle
University of Vienna - Department of Statistics and Operations Research, University of Cambridge - Faculty of Economics and Humboldt University of Berlin - School of Business and Economics
Downloads 132 (270,221)
Citation 11

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High-Frequency Data, Point-Mass Mixture, Multiplicative Error Model, Excess Zeros, Semiparametric Specification Test, Market Microstructure

41.

Multivariate Dynamic Intensity Peaks-Over-Threshold Models

CFS Working Paper No. 516
Number of pages: 43 Posted: 22 Sep 2015
Nikolaus Hautsch and Rodrigo Herrera
University of Vienna - Department of Statistics and Operations Research and University of Talca
Downloads 120 (290,089)

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Extreme value theory, Value-at-Risk, Expected shortfall, Self-exciting point process, Conditional intensity

42.

Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading

CFS Working Paper, WP No. 581
Number of pages: 29 Posted: 27 Sep 2017 Last Revised: 23 Jan 2021
Martin Gould, Nikolaus Hautsch, Sam Howison and Mason A. Porter
University of Oxford - Mathematical Institute, University of Vienna - Department of Statistics and Operations Research, University of Oxford and California Institute of Technology
Downloads 112 (304,529)
Citation 2

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Counterparty Credit Limits; Counterparty Credit Risk; Price Formation; Market Design; Foreign Exchange

43.

Bayesian Inference in a Stochastic Volatility Nelson–Siegel Model

Computational Statistics & Data Analysis, Forthcoming
Number of pages: 19 Posted: 25 Aug 2010
Nikolaus Hautsch and Fuyu Yang
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 89 (354,011)
Citation 2

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Term structure of interest rates, Stochastic volatility, Dynamic factor model, Markov chain Monte Carlo

44.

Forecasting Systemic Impact in Financial Networks

Number of pages: 28 Posted: 26 Aug 2013
University of Vienna - Department of Statistics and Operations Research, VU University AmsterdamTinbergen Institute and Humboldt University of Berlin - School of Business and Economics
Downloads 87 (359,006)
Citation 4

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forecasting systemic risk contributions, time-varying systemic risk network, model selection with regularization in quantiles

45.

Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series

SFB 649 Discussion Paper No. 2012-054
Number of pages: 16 Posted: 25 Aug 2013
Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig
University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin - School of Business and Economics and University of Vienna - Department of Statistics and Operations Research
Downloads 69 (410,156)

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vector multiplicative error model, copula, time-varying copula, high-frequency data

46.

Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency

Number of pages: 39 Posted: 26 Aug 2013
Markus Bibinger, Nikolaus Hautsch, Peter Malec and Markus Reiss
University of Mannheim, University of Vienna - Department of Statistics and Operations Research, University of Cambridge - Faculty of Economics and Humboldt University of Berlin
Downloads 61 (436,985)
Citation 13

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adaptive estimation, asymptotic equivalence, asynchronous observations, integrated covolatility matrix, quadratic covariation, semiparametric efficiency, microstructure noise, spectral estimation

47.

Revisiting the Stealth Trading Hypothesis: Does Time-Varying Liquidity Explain the Size-Effect?

CFS Working Paper, No. 625, 2019
Number of pages: 58 Posted: 07 Sep 2019
Gökhan Cebiroglu, Nikolaus Hautsch and Christopher Walsh
University of Vienna, Faculty of Business and Economics, University of Vienna - Department of Statistics and Operations Research and TU Dortmund University
Downloads 52 (470,509)
Citation 2

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stealth trading, price impact, liquidity elasticity, limit order book

48.

Systemic Risk Spillovers in the European Banking and Sovereign Network

Number of pages: 30 Posted: 01 Oct 2014
European Union - European Investment Bank, University of Vienna - Department of Statistics and Operations Research, European Central Bank (ECB) and Karlsruhe Institute of Technology (KIT)
Downloads 50 (478,652)

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systemic risk contribution; tail dependence; network topology; sovereign-bank linkages; Value-at-Risk

49.

Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models

Number of pages: 32 Posted: 01 Oct 2014
Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig
University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin - School of Business and Economics and University of Vienna - Department of Statistics and Operations Research
Downloads 41 (518,227)
Citation 1

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Multi-Step estimation, Sparse estimation, Multivariate time series, Maximum likelihood estimation, Copula

50.

Local Adaptive Multiplicative Error Models for High- Frequency Forecasts

SFB 649 Discussion Paper No. 2012-031
Number of pages: 33 Posted: 25 Aug 2013
Wolfgang K. Härdle, Nikolaus Hautsch and Andrija Mihoci
Blockchain Research Center, University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics
Downloads 39 (527,835)
Citation 8

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multiplicative error model, local adaptive modeling, high-frequency processes, trading volume, forecasting

51.

Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics

CFS Working Paper, No. 2009/18
Number of pages: 35 Posted: 20 Sep 2009 Last Revised: 06 Jun 2016
Nikolaus Hautsch, Wolfgang K. Härdle and Andrija Mihoci
University of Vienna - Department of Statistics and Operations Research, Blockchain Research Center and Brandenburg University of Technology (BTU)
Downloads 30 (575,520)
Citation 6

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Limit Order Book, Liquidity Risk, Semiparametric Model, Factor Structure, Prediction

52.

How Effective are Trading Pauses?

Journal of Financial Economics (JFE), Vol. 131, No. 2, 2019
Posted: 09 Jul 2016 Last Revised: 26 Oct 2020
Nikolaus Hautsch and Akos Horvath
University of Vienna - Department of Statistics and Operations Research and Board of Governors of the Federal Reserve System

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trading pause, magnet effect, price discovery, volatility, liquidity

53.

When Machines Read the News: Using Automated Text Analytics to Quantify High Frequency News Impacts

Posted: 19 Jan 2010 Last Revised: 03 Mar 2011
Axel Groß-Klußmann and Nikolaus Hautsch
Humboldt Universität zu Berlin and University of Vienna - Department of Statistics and Operations Research

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firm-specific news, news sentiment, high-frequency data, volatility, liquidity, abnormal returns

54.

Modelling the Buy and Sell Intensity in a Limit Order Book Market

Journal of Financial Markets, Vol. 10, No. 3, 2007
Posted: 01 Nov 2008
Tony Hall and Nikolaus Hautsch
affiliation not provided to SSRN and University of Vienna - Department of Statistics and Operations Research

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buy and sell arrival process, order book information, market depth, bivariate autoregressive intensity model, net buy pressure

Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model

CRC Discussion Paper No. 649
Posted: 06 Aug 2008
Nikolaus Hautsch
University of Vienna - Department of Statistics and Operations Research

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Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model

Journal of Economic Dynamics and Control, Vol. 32, 2008
Posted: 01 Nov 2008
Nikolaus Hautsch
University of Vienna - Department of Statistics and Operations Research

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Multiplicative error model, common factor, efficient importance sampling, intra-day trading process

56.

Stochastic Conditional Intensity Processes

Journal of Financial Econometrics, Vol. 4, Issue 3, pp. 450-493, 2006
Posted: 29 Feb 2008
Nikolaus Hautsch and Luc Bauwens
University of Vienna - Department of Statistics and Operations Research and Université catholique de Louvain

Abstract:

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conditional intensity function, efficient importance sampling, multivariate point processes, parameter-driven and observation-driven models, price intensities

57.

Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities

Journal of Financial Econometrics, Vol. 1, pp. 189-215, 2003
Posted: 29 Feb 2008
Nikolaus Hautsch
University of Vienna - Department of Statistics and Operations Research

Abstract:

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58.

The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report

Posted: 14 Jun 2005
Dieter Hess and Nikolaus Hautsch
University of Cologne - Department of Corporate Finance and University of Vienna - Department of Statistics and Operations Research

Abstract:

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Trading process, volatility, macroeconomic announcements, treasury bond futures, high-frequency data