Nikolaus Hautsch

Available identifiers

zbMath Open hautsch.nikolausWikidataQ30074764 ScholiaQ30074764MaRDI QIDQ433358

List of research outcomes

Publication	Date of Publication	Type
Corrigendum to ``Local mispricing and microstructural noise: a parametric perspective	2023-02-01	Paper
Local mispricing and microstructural noise: a parametric perspective	2022-09-14	Paper
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading	2021-06-21	Paper
Large-scale portfolio allocation under transaction costs and model uncertainty	2019-09-02	Paper
Financial Network Systemic Risk Contributions	2018-11-09	Paper
Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models	2018-10-11	Paper
Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence	2017-07-08	Paper
Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency	2014-10-17	Paper
Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series	2013-09-20	Paper
Bayesian inference in a stochastic volatility Nelson-Siegel model	2012-12-30	Paper
The market impact of a limit order	2012-07-13	Paper
https://portal.mardi4nfdi.de/entity/Q3089394	2011-08-25	Paper
Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model	2010-01-19	Paper
Modelling Financial High Frequency Data Using Point Processes	2009-11-27	Paper
Stochastic Volatility Estimation Using Markov Chain Simulation	2008-12-01	Paper
Measuring and Modeling Risk Using High-Frequency Data	2008-12-01	Paper
High-Frequency Volatility and Liquidity	2008-12-01	Paper
A Dynamic Semiparametric Proportional Hazard Model	2008-04-04	Paper
Econometric analysis of financial transaction data: pitfalls and opportunities	2005-10-11	Paper
Modelling irregulary spaced financial data. Theory and practice of dynamic duration models.	2004-09-30	Paper
The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report	2003-05-14	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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MaRDI profile type	MaRDI person profile
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