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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
6272015
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
3862011
Modelling financial high frequency data using point processes
L Bauwens, N Hautsch
Handbook of financial time series, 953-979, 2009
3152009
Econometrics of financial high-frequency data
N Hautsch
Springer Science & Business Media, 2011
2872011
The market impact of a limit order
N Hautsch, R Huang
Journal of Economic Dynamics and Control 36 (4), 501-522, 2012
2272012
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
1802016
Modelling irregularly spaced financial data: theory and practice of dynamic duration models
N Hautsch
Springer Science & Business Media, 2011
1752011
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
1612012
Order aggressiveness and order book dynamics
AD Hall, N Hautsch
Empirical Economics 30, 973-1005, 2006
1312006
Stochastic conditional intensity processes
L Bauwens, N Hautsch
Journal of Financial Econometrics 4 (3), 450-493, 2006
1282006
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
1242013
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
M Bibinger, N Hautsch, P Malec, M Reiß
1132014
Forecasting systemic impact in financial networks
N Hautsch, J Schaumburg, M Schienle
International Journal of Forecasting 30 (3), 781-794, 2014
1062014
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
1052007
Do high‐frequency data improve high‐dimensional portfolio allocations?
N Hautsch, LM Kyj, P Malec
Journal of Applied Econometrics 30 (2), 263-290, 2015
1022015
Nonstandard errors
AJ Menkveld, A Dreber, F Holzmeister, J Huber, M Johannesson, ...
The Journal of Finance 79 (3), 2339-2390, 2024
942024
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
892007
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
772019
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
712014
Bayesian inference in a stochastic volatility Nelson–Siegel model
N Hautsch, F Yang
Computational Statistics & Data Analysis 56 (11), 3774-3792, 2012
682012
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