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Browsing All of EconStor by Author Hautsch, Nikolaus
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Showing results 41 to 60 of 74
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Year of Publication
Title
Author(s)
2011
The merit of high-frequency data in portfolio allocation
Hautsch, Nikolaus
;
Kyj, Lada M.
;
Malec, Peter
2011
Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data
Hautsch, Nikolaus
;
Huang, Ruihong
2011
Price adjustment to news with uncertain precision
Hautsch, Nikolaus
;
Hess, Dieter
;
Müller, Christoph
2011
The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus
;
Hess, Dieter E.
;
Veredas, David
2011
The merit of high-frequency data in portfolio allocation
Hautsch, Nikolaus
;
Kyj, Lada M.
;
Malec, Peter
2012
On the dark side of the market: Identifying and analyzing hidden order placements
Hautsch, Nikolaus
;
Huang, Ruihong
2012
Financial network systemic risk contributions
Hautsch, Nikolaus
;
Schaumburg, Julia
;
Schienle, Melanie
2012
Copula-based dynamic conditional correlation multiplicative error processes
Bodnar, Taras
;
Hautsch, Nikolaus
2012
Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang Karl
;
Hautsch, Nikolaus
;
Mihoci, Andrija
2012
On the dark side of the market: Identifying and analyzing hidden order placements
Hautsch, Nikolaus
;
Huang, Ruihong
2012
Modeling time-varying dependencies between positive-valued high-frequency time series
Hautsch, Nikolaus
;
Okhrin, Ostap
;
Ristig, Alexander
2013
Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus
;
Kyj, Lada. M.
;
Malec, Peter
2013
Forecasting systemic impact in financial networks
Hautsch, Nikolaus
;
Schaumburg, Julia
;
Schienle, Melanie
2013
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
;
Reiss, Markus
2013
Copula-based dynamic conditional correlation multiplicative error processes
Bodnar, Taras
;
Hautsch, Nikolaus
2013
Financial network systemic risk contributions
Hautsch, Nikolaus
;
Schaumburg, Julia
;
Schienle, Melanie
2014
Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?
Cebiroglu, Gökhan
;
Hautsch, Nikolaus
;
Horst, Ulrich
2014
Efficient iterative maximum likelihood estimation of high-parameterized time series models
Hautsch, Nikolaus
;
Okhrin, Ostap
;
Ristig, Alexander
2014
Systemic risk spillovers in the European banking and sovereign network
Betz, Frank
;
Hautsch, Nikolaus
;
Peltonen, Tuomas A.
;
Schienle, Melanie
2014
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
;
Reiss, Markus