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Nikolaus Hautsch

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Personal Details

First Name: Nikolaus
Middle Name:
Last Name: Hautsch
Suffix:

RePEc Short-ID: pha10

Email:
Homepage: http://homepage.univie.ac.at/nikolaus.hautsch/
Postal Address: Department of Statistics and Operations Research University of Vienna Oskar-Morgenstern-Platz 1 1090 Vienna Austria
Phone:

Affiliation

(90%) Department of Statistics and Operations Research
Fakultät für Wirtschaftswissenschaften
Universität Wien
Location: Wien, Austria
Homepage: http://isor.univie.ac.at/
Email:
Phone:
Fax:
Postal: Brünner Straße 72, 1210 Wien
Handle: RePEc:edi:isduwat (more details at EDIRC)
(10%) Center for Financial Studies
Location: Frankfurt, Germany
Homepage: http://www.ifk-cfs.de/
Email:
Phone: +49 (0)69 798-30050
Fax: +49 (0)69 798-30077
Postal: House of Finance, Grüneburgplatz 1, HPF H5, D-60323 Frankfurt am Main
Handle: RePEc:edi:ifkcfde (more details at EDIRC)

Works

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Working papers

  1. Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2013. "Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency," SFB 649 Discussion Papers SFB649DP2013-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2013. "Forecasting systemic impact in financial networks," SFB 649 Discussion Papers SFB649DP2013-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2013. "Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?," SFB 649 Discussion Papers SFB649DP2013-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  4. Taras Bodnar & Nikolaus Hautsch, 2012. "Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes," SFB 649 Discussion Papers SFB649DP2012-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  5. Nikolaus Hautsch & Julia Schuamburg & Melanie Schienle, 2012. "Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series," SFB 649 Discussion Papers SFB649DP2012-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  6. Nikolaus Hautsch & Ruihong Huang, 2012. "On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements," SFB 649 Discussion Papers SFB649DP2012-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  7. Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci, 2012. "Local Adaptive Multiplicative Error Models for High-Frequency Forecasts," SFB 649 Discussion Papers SFB649DP2012-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  8. Axel Groß-Klußmann & Nikolaus Hautsch, 2011. "Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models," SFB 649 Discussion Papers SFB649DP2011-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  9. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2011. "Financial Network Systemic Risk Contributions," SFB 649 Discussion Papers SFB649DP2011-072, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  10. Nikolaus Hautsch & Ruihong Huang, 2011. "Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data," SFB 649 Discussion Papers SFB649DP2011-056, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  11. Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2011. "The Merit of High-Frequency Data in Portfolio Allocation," SFB 649 Discussion Papers SFB649DP2011-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  12. Nikolaus Hautsch & Dieter Hess & David Veredas, 2010. "The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility," SFB 649 Discussion Papers SFB649DP2010-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  13. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2010. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," SFB 649 Discussion Papers SFB649DP2010-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  14. Nikolaus Hautsch & Mark Podolskij, 2010. "Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence," CREATES Research Papers 2010-29, School of Economics and Management, University of Aarhus.
  15. Nikolaus Hautsch & Fuyu Yang, 2010. "Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model," SFB 649 Discussion Papers SFB649DP2010-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  16. Nikolaus Hautsch & Ruihong Huang, 2009. "The Market Impact of a Limit Order," SFB 649 Discussion Papers SFB649DP2009-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  17. Axel Groß-Klußmann & Nikolaus Hautsch, 2009. "Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements," SFB 649 Discussion Papers SFB649DP2009-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  18. Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci, 2009. "Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics," SFB 649 Discussion Papers SFB649DP2009-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  19. Nikolaus Hautsch & Lada M. Kyj & Roel C.A. Oomen, 2009. "A blocking and regularization approach to high dimensional realized covariance estimation," SFB 649 Discussion Papers SFB649DP2009-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  20. Hautsch, Nikolaus & Ou, Yangguoyi, 2009. "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," CFS Working Paper Series 2009/03, Center for Financial Studies (CFS).
  21. Nikolaus Hautsch & Yangguoyi Ou, 2008. "Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia," SFB 649 Discussion Papers SFB649DP2008-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  22. Wolfgang Härdle & Nikolaus Hautsch & Uta Pigorsch, 2008. "Measuring and Modeling Risk Using High-Frequency Data," SFB 649 Discussion Papers SFB649DP2008-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  23. Nikolaus Hautsch & Yangguoyi Ou, 2008. "Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference," SFB 649 Discussion Papers SFB649DP2008-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  24. Nikolaus Hautsch & Dieter Hess & Christoph Müller, 2008. "Price Adjustment to News with Uncertain Precision," SFB 649 Discussion Papers SFB649DP2008-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  25. Nikolaus Hautsch & Vahidin Jeleskovic, 2008. "Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models," SFB 649 Discussion Papers SFB649DP2008-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  26. Nikolaus Hautsch, 2008. "Testing Multiplicative Error Models Using Conditional Moment Tests," SFB 649 Discussion Papers SFB649DP2008-067, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  27. Nikolaus Hautsch, 2007. "Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model," SFB 649 Discussion Papers SFB649DP2007-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  28. Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques) 2006039, Université catholique de Louvain, Département des Sciences Economiques.
  29. Nikolaus Hautsch, 2006. "Testing the Conditional Mean Function of Autoregressive Conditional Duration Models," FRU Working Papers 2006/06, University of Copenhagen. Department of Economics. Finance Research Unit.
  30. Frank Gerhard & Nikolaus Hautsch, 2006. "A Dynamic Semiparametric Proportional Hazard Model," FRU Working Papers 2006/05, University of Copenhagen. Department of Economics. Finance Research Unit.
  31. Nikolaus Hautsch, 2005. "The latent factor VAR model: Testing for a common component in the intraday trading process," FRU Working Papers 2005/03, University of Copenhagen. Department of Economics. Finance Research Unit.
  32. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Research Paper Series 121, Quantitative Finance Research Centre, University of Technology, Sydney.
  33. Nikolaus Hautsch & Dieter Hess, 2004. "Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery," Discussion Papers 04-17, University of Copenhagen. Department of Economics.
  34. Anthony D. Hall & Nikolaus Hautsch, 2004. "Order Aggressiveness and Order Book Dynamics," FRU Working Papers 2005/04, University of Copenhagen. Department of Economics. Finance Research Unit.
  35. BAUWENS, Luc & HAUTSCH, Nikolaus, 2003. "Dynamic latent factor models for intensity processes," CORE Discussion Papers 2003103, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  36. Nikolaus Hautsch, 2002. "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Paper 02-05, Center of Finance and Econometrics, University of Konstanz.
  37. Nikolaus Hautsch & Dieter Hess, 2002. "The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report," CoFE Discussion Paper 02-06, Center of Finance and Econometrics, University of Konstanz.
  38. Nikolaus Hautsch & Stefan Klotz, 2001. "Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions," CoFE Discussion Paper 01-04, Center of Finance and Econometrics, University of Konstanz.
  39. Nikolaus Hautsch & Winfried Pohlmeier, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Paper 01-05, Center of Finance and Econometrics, University of Konstanz.
  40. Hautsch, Nikolaus & Hess, Dieter E., 2001. "A mean variance king? Creation and resolution of uncertainty under the employment report's reign," ZEW Discussion Papers 01-60, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  41. Hautsch, Nikolaus & Lehmann, Erik & Warning, Susanne & Frick, Bernd, 2001. "Shirking or mismatch? Coach-team separation in German professional soccer," Discussion Papers, Series 1 313, University of Konstanz, Department of Economics.
  42. Frank Gerhard & Nikolaus Hautsch, 2000. "Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model," CoFE Discussion Paper 00-20, Center of Finance and Econometrics, University of Konstanz.
  43. Frank Gerhard & Nikolaus Hautsch, 2000. "Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models," Econometric Society World Congress 2000 Contributed Papers 1082, Econometric Society.
  44. Nikolaus Hautsch, 1999. "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," CoFE Discussion Paper 99-03, Center of Finance and Econometrics, University of Konstanz.
  45. Frank Gerhard & Nikolaus Hautsch, 1999. "Volatility Estimation on the Basis of Price Intensities," CoFE Discussion Paper 99-19, Center of Finance and Econometrics, University of Konstanz.

    RePEc:cor:louvrp:1937 is not listed on IDEAS
  46. BAUWENS, Luc & HAUTSCH, Nikolaus, . "Stochastic conditional intensity processes," CORE Discussion Papers RP -1937, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    RePEc:cor:louvrp:2123 is not listed on IDEAS
  47. Frank Gerhard & Nikolaus Hautsch, . "Semiparametric autoregressive conditional proportional hazard models," Economics Papers 2002-W2, Economics Group, Nuffield College, University of Oxford.

Articles

  1. Axel Groß‐KlußMann & Nikolaus Hautsch, 2013. "Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(8), pages 724-742, December.
  2. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 89-121, December.
  3. Nikolaus Hautsch & Mark Podolskij, 2013. "Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 165-183, April.
  4. Hautsch, Nikolaus & Yang, Fuyu, 2012. "Bayesian inference in a Stochastic Volatility Nelson–Siegel model," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3774-3792.
  5. Hautsch, Nikolaus & Huang, Ruihong, 2012. "The market impact of a limit order," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 501-522.
  6. Hautsch, Nikolaus & Ou, Yangguoyi, 2012. "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2988-3007.
  7. Hautsch, Nikolaus & Hess, Dieter & Müller, Christoph, 2012. "Price adjustment to news with uncertain precision," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 337-355.
  8. Nikolaus Hautsch & Lada M. Kyj & Roel C. A. Oomen, 2012. "A blocking and regularization approach to high‐dimensional realized covariance estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(4), pages 625-645, 06.
  9. Hautsch, Nikolaus & Hess, Dieter & Veredas, David, 2011. "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2733-2746, October.
  10. Groß-Klußmann, Axel & Hautsch, Nikolaus, 2011. "When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 321-340, March.
  11. Hautsch, Nikolaus, 2008. "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3978-4015, December.
  12. Hautsch, Nikolaus & Hess, Dieter, 2007. "Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(01), pages 189-208, March.
  13. Hall, Anthony D. & Hautsch, Nikolaus, 2007. "Modelling the buy and sell intensity in a limit order book market," Journal of Financial Markets, Elsevier, vol. 10(3), pages 249-286, August.
  14. Gerhard Frank & Hautsch Nikolaus, 2007. "A Dynamic Semiparametric Proportional Hazard Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(2), pages 1-42, May.
  15. Anthony Hall & Nikolaus Hautsch, 2006. "Order aggressiveness and order book dynamics," Empirical Economics, Springer, vol. 30(4), pages 973-1005, January.
  16. Luc Bauwens & Nikolaus Hautsch, 2006. "Stochastic Conditional Intensity Processes," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(3), pages 450-493.
  17. Nikolaus Hautsch, 2003. "Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(2), pages 189-215.
  18. Hautsch, Nikolaus & Klotz, Stefan, 2003. "Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions," Journal of Economic Behavior & Organization, Elsevier, vol. 52(1), pages 97-113, September.
  19. Gerhard, Frank & Hautsch, Nikolaus, 2002. "Volatility estimation on the basis of price intensities," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 57-89, January.

Editor

  1. FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit.

NEP Fields

43 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (4) 2011-11-07 2012-09-09 2013-02-08 2013-11-22
  2. NEP-CBA: Central Banking (2) 2008-03-15 2008-09-20
  3. NEP-CFN: Corporate Finance (3) 2004-04-18 2009-12-19 2013-02-08
  4. NEP-ECM: Econometrics (23) 1999-08-04 2000-02-28 2000-08-02 2002-03-04 2005-04-16 2006-11-25 2006-12-16 2006-12-22 2008-07-05 2008-07-20 2008-08-14 2008-10-07 2008-12-07 2009-10-31 2010-01-23 2010-07-31 2010-08-28 2010-11-27 2011-07-21 2012-05-08 2012-07-23 2012-11-17 2013-05-05. Author is listed
  5. NEP-ETS: Econometric Time Series (17) 2000-02-28 2002-04-08 2005-04-16 2006-11-25 2006-12-16 2006-12-22 2007-09-09 2008-07-05 2008-10-07 2009-10-31 2010-01-23 2010-08-28 2011-07-21 2012-05-08 2012-07-23 2012-11-17 2013-11-22. Author is listed
  6. NEP-FIN: Finance (2) 2004-06-02 2004-11-07
  7. NEP-FMK: Financial Markets (5) 2000-08-02 2004-04-04 2004-06-02 2008-08-14 2009-12-19. Author is listed
  8. NEP-FOR: Forecasting (5) 2009-09-26 2011-07-21 2012-05-08 2013-02-08 2013-03-16. Author is listed
  9. NEP-MAC: Macroeconomics (3) 2008-03-15 2008-08-14 2008-09-20
  10. NEP-MST: Market Microstructure (25) 2006-11-25 2006-12-16 2006-12-22 2007-09-09 2008-03-15 2008-07-05 2008-07-20 2008-09-20 2009-09-26 2009-10-31 2009-10-31 2009-12-19 2010-01-23 2010-07-31 2010-08-28 2011-04-23 2011-07-21 2011-09-05 2012-03-08 2012-05-08 2012-07-23 2012-11-17 2013-03-16 2013-05-05 2013-06-04. Author is listed
  11. NEP-NET: Network Economics (4) 2011-11-07 2012-09-09 2013-02-08 2013-11-22
  12. NEP-ORE: Operations Research (7) 2008-08-14 2008-10-07 2009-10-31 2010-01-23 2012-11-17 2013-03-16 2013-05-05. Author is listed
  13. NEP-REG: Regulation (1) 2011-11-07
  14. NEP-RMG: Risk Management (7) 2004-04-04 2008-07-05 2011-11-07 2012-07-23 2012-09-09 2013-02-08 2013-11-22. Author is listed
  15. NEP-UPT: Utility Models & Prospect Theory (1) 2008-07-05

Statistics

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