The following pages link to Nikolaus Hautsch (Q433358):
Displaying 23 items.
- The market impact of a limit order (Q433360) (← links)
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (Q464183) (← links)
- Modelling irregulary spaced financial data. Theory and practice of dynamic duration models. (Q1880662) (← links)
- Bayesian inference in a stochastic volatility Nelson-Siegel model (Q1927156) (← links)
- Local mispricing and microstructural noise: a parametric perspective (Q2172020) (← links)
- Large-scale portfolio allocation under transaction costs and model uncertainty (Q2323379) (← links)
- Econometric analysis of financial transaction data: pitfalls and opportunities (Q2567522) (← links)
- Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model (Q2654438) (← links)
- Corrigendum to ``Local mispricing and microstructural noise: a parametric perspective'' (Q2682969) (← links)
- Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series (Q2849527) (← links)
- (Q3089394) (← links)
- Stochastic Volatility Estimation Using Markov Chain Simulation (Q3542261) (← links)
- Measuring and Modeling Risk Using High-Frequency Data (Q3542262) (← links)
- High-Frequency Volatility and Liquidity (Q3542269) (← links)
- Modelling Financial High Frequency Data Using Point Processes (Q3646988) (← links)
- Financial Network Systemic Risk Contributions (Q4554731) (← links)
- Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models (Q4687355) (← links)
- The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report (Q4805364) (← links)
- Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading (Q4994680) (← links)
- A Dynamic Semiparametric Proportional Hazard Model (Q5452771) (← links)
- Building trust takes time: limits to arbitrage for blockchain-based assets (Q6629770) (← links)
- Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence (Q6634872) (← links)
- Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence (Q6666913) (← links)
