Browsing All of EconStor by Author Hautsch, Nikolaus


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