Browsing All of EconStor by Author Hautsch, Nikolaus


Showing results 21 to 40 of 74
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Year of PublicationTitleAuthor(s)
2009The market impact of a limit orderHautsch, Nikolaus; Huang, Ruihong
2009A blocking and regularization approach to high dimensional realized covariance estimationHautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A.
2009Modelling and forecasting liquidity supply using semiparametric factor dynamicsHärdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija
2009A blocking and regularization approach to high dimensional realized covariance estimationHautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus
2009Quantifying high-frequency market reactions to real-time news sentiment announcementsGroß-Klußmann, Axel; Hautsch, Nikolaus
2009Quantifying high-frequency market reactions to real-time news sentiment announcementsGroß-Klußmann, Axel; Hautsch, Nikolaus
2009Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yieldsHautsch, Nikolaus; Ou, Yangguoyi
2009Modelling and forecasting liquidity supply using semiparametric factor dynamicsHärdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija
2009The market impact of a limit orderHautsch, Nikolaus; Huang, Ruihong
2010Bayesian inference in a stochastic volatility Nelson-Siegel ModelHautsch, Nikolaus; Yang, Fuyu
2010The impact of macroeconomic news on quote adjustments, noise, and informational volatilityHautsch, Nikolaus; Hess, Dieter E.; Veredas, David
2010Capturing the zero: A new class of zero-augmented distributions and multiplicative error processesHautsch, Nikolaus; Malec, Peter; Schienle, Melanie
2010Capturing the zero: A new class of zero-augmented distributions and multiplicative error processesHautsch, Nikolaus; Malec, Peter; Schienle, Melanie
2010Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidenceHautsch, Nikolaus; Podolskij, Mark
2010Bayesian Inference in a Stochastic Volatility Nelson-Siegel ModelYang, Fuyu; Hautsch, Nikolaus
2010Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidenceHautsch, Nikolaus; Podolskij, Mark
2010The impact of macroeconomic news on quote adjustments, noise, and informational volatilityHautsch, Nikolaus; Hess, Dieter E.; Veredas, David
2011Financial network systemic risk contributionsHautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie
2011Predicting bid-ask spreads using long memory autoregressive conditional poisson modelsGroß-Klußmann, Axel; Hautsch, Nikolaus
2011Capturing the zero: A new class of zero-augmented distributions and multiplicative error processesHautsch, Nikolaus; Malec, Peter; Schienle, Melanie