Nikolaus Hautsch

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Département des Sciences Économiques de l'Université catholique de Louvain Modelling Financial High Frequency Data Using Point Processes

Luc Bauwens, Nikolaus Hautsch, L. Bauwens, 2019 .

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

Torben G. Andersen, Nikolaus Hautsch, Ilya Archakov, 2020, SSRN Electronic Journal.

Dynamic Latent Factor Models for Intensity Processes

Luc Bauwens, Nikolaus Hautsch, L. Bauwens, 2004 .

Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty

Stefan Voigt, Nikolaus Hautsch, 2017 .

When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions

Nikolaus Hautsch, Axel Groß-Klußmann, N. Hautsch, 2011 .

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

Nikolaus Hautsch, Yangguoyi Ou, N. Hautsch, 2008 .

Autoregressive Conditional Duration Models

Nikolaus Hautsch, 2004 .

Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty

Stefan Voigt, Nikolaus Hautsch, N. Hautsch, 2017, Journal of Econometrics.

Stochastic Volatility Estimation Using Markov Chain Simulation

Nikolaus Hautsch, Yangguoyi Ou, N. Hautsch, 2009 .

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

Nikolaus Hautsch, Stefan Klotz, N. Hautsch, 2003 .

Empirical Properties of High-Frequency Data

Nikolaus Hautsch, 2012 .

Financial Point Processes

Nikolaus Hautsch, N. Hautsch, 2012 .

Shirking or mismatch? Coach-team separation in German professional soccer

Nikolaus Hautsch, Bernd Frick, Erik E. Lehmann, 2001 .

Modelling Irregularly Spaced Financial Data

Nikolaus Hautsch, N. Hautsch, 2004 .

Local Adaptive Multiplicative Error Models for High-Frequency Forecasts: LOCAL ADAPTIVE MULTIPLICATIVE ERROR MODELS

Nikolaus Hautsch, Wolfgang Karl Härdle, Andrija Mihoci, 2015 .

Bayesian Inference in a Stochastic Volatility Nelson–Siegel Model

Nikolaus Hautsch, Fuyu Yang, 2012, Comput. Stat. Data Anal..

Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions

Nikolaus Hautsch, N. Hautsch, 1999 .

Local mispricing and microstructural noise: A parametric perspective

Nikolaus Hautsch, Torben G. Andersen, Ilya Archakov, 2021, Journal of Econometrics.

Order aggressiveness and order book dynamics

Nikolaus Hautsch, Anthony D. Hall, N. Hautsch, 2004 .

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

Nikolaus Hautsch, 2003 .

Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence

Mark Podolskij, Nikolaus Hautsch, M. Podolskij, 2013 .

Financial Network Systemic Risk Contributions

Nikolaus Hautsch, Melanie Schienle, Julia Schaumburg, 2013 .

2012-053 Financial Network Systemic Risk Contributions

Nikolaus Hautsch, Melanie Schienle, Julia Schaumburg, 2011 .

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

Ruihong Huang, Nikolaus Hautsch, N. Hautsch, 2012 .

Forecasting Systemic Impact in Financial Networks

Nikolaus Hautsch, Melanie Schienle, Julia Schaumburg, 2013 .

Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models

Nikolaus Hautsch, N. Hautsch, 2004 .

Stochastic Conditional Intensity Processes

Luc Bauwens, Nikolaus Hautsch, L. Bauwens, 2006 .

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

Nikolaus Hautsch, Peter Malec, Melanie Schienle, 2012 .

Volatility Estimation on the Basis of Price Intensities

Nikolaus Hautsch, Frank Gerhard, N. Hautsch, 2001 .

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

Nikolaus Hautsch, Peter Malec, Markus Bibinger, 2013, 1303.6146.

The Market Impact of a Limit Order

Ruihong Huang, Nikolaus Hautsch, N. Hautsch, 2011 .

A Blocking and Regularization Approach to High Dimensional Realized Covariance Estimation

Nikolaus Hautsch, R. Oomen, N. Hautsch, 2010 .

Systemic Risk Spillovers in the European Banking and Sovereign Network

Nikolaus Hautsch, Melanie Schienle, Tuomas A. Peltonen, 2014 .

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

Nikolaus Hautsch, Anthony D. Hall, N. Hautsch, 2007 .

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

Nikolaus Hautsch, N. Hautsch, Tony Hall, 2004 .

Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements

Nikolaus Hautsch, Axel Groß-Klußmann, 2009 .

The Merit of High-Frequency Data in Portfolio Allocation

Nikolaus Hautsch, Peter Malec, N. Hautsch, 2011 .

Econometrics of Financial High-Frequency Data

Nikolaus Hautsch, N. Hautsch, 2011 .

Modelling Financial High Frequency Data Using Point Processes

Luc Bauwens, Nikolaus Hautsch, L. Bauwens, 2007 .

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

Nikolaus Hautsch, David Veredas, D. Veredas, 2010 .

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

Nikolaus Hautsch, N. Hautsch, 2008 .

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

Nikolaus Hautsch, Peter Malec, Melanie Schienle, 2014 .

Testing the Conditional Mean Function of Autoregressive Conditional Duration Models

Nikolaus Hautsch, N. Hautsch, 2006 .

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

Nikolaus Hautsch, Peter Malec, Markus Bibinger, 2014, 1707.02419.

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

Nikolaus Hautsch, Peter Malec, Markus Bibinger, 2013 .

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

Ruihong Huang, Nikolaus Hautsch, 2011 .