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Information about:
Nikolaus Hautsch

Personal Details | Affiliation | Works
This is information that was supplied by Nikolaus Hautsch in registering through RePEc. If you are Nikolaus Hautsch , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

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

RePEc Short-ID: pha10

Email:
Homepage: http://www2.hu-berlin.de/oekonometrie/
Postal Address: Institute for Statistics and Econometrics School of Business and Economics Humboldt-Universität zu Berlin Spandauer Str. 1 D-10178 Berlin
Phone:

Affiliation

(in no particular order)

Works

| Working papers | Articles | Editor | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. 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. [Downloadable!]

  2. Nikolaus Hautsch, 2007. "Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model," CFS Working Paper Series 2007/25, Center for Financial Studies. [Downloadable!]
    Other versions:

  3. Luc Bauwens & Nikolaus Hautsch, 2007. "In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of sp," SFB 649 Discussion Papers SFB649DP2007-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]

  4. Nikolaus Hautsch, 2006. "Testing the Conditional Mean Function of Autoregressive Conditional Duration Models," FRU Working Papers 2006/06, University of Copenhagen. Department of Economics (formerly Institute of Economics). Finance Research Unit. [Downloadable!]

  5. Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Université catholique de Louvain, Département des Sciences Economiques Working Paper 2006039, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]

  6. Frank Gerhard & Nikolaus Hautsch, 2006. "A Dynamic Semiparametric Proportional Hazard Model," FRU Working Papers 2006/05, University of Copenhagen. Department of Economics (formerly Institute of Economics). Finance Research Unit. [Downloadable!]
    Published as:

  7. 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 (formerly Institute of Economics). Finance Research Unit. [Downloadable!]

  8. Anthony D. Hall & Nikolaus Hautsch, 2004. "Order Aggressiveness and Order Book Dynamics," FRU Working Papers 2005/04, University of Copenhagen. Department of Economics (formerly Institute of Economics). Finance Research Unit. [Downloadable!]
    Published as:

  9. 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 (formerly Institute of Economics). [Downloadable!]
    Other versions:

  10. 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. [Downloadable!]
    Other versions:

  11. 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. [Downloadable!]

  12. 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. [Downloadable!]

  13. 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. [Downloadable!]

  14. 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. [Downloadable!]

  15. 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. [Downloadable!]
    Published as:

  16. 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. [Downloadable!]

  17. 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. [Downloadable!]

  18. 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. [Downloadable!]
    Other versions:

  19. 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. [Downloadable!]
    Published as:

  20. Frank Gerhard & Nikolaus Hautsch, . "Semiparametric autoregressive conditional proportional hazard models," Economics Papers 2002-W2, Economics Group, Nuffield College, University of Oxford. [Downloadable!]

Articles

  1. Frank Gerhard & Nikolaus Hautsch, 2007. "A Dynamic Semiparametric Proportional Hazard Model," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(2), pages 1377-1377. [Downloadable!] (restricted)
    Other versions:

  2. 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. [Downloadable!] (restricted)

  3. Luc Bauwens & Nikolaus Hautsch, 2006. "Stochastic Conditional Intensity Processes," Journal of Financial Econometrics, Oxford University Press, vol. 4(3), pages 450-493. [Downloadable!] (restricted)

  4. Anthony Hall & Nikolaus Hautsch, 2006. "Order aggressiveness and order book dynamics," Empirical Economics, Springer, vol. 30(4), pages 973-1005, January. [Downloadable!] (restricted)
    Other versions:

  5. 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. [Downloadable!] (restricted)
    Other versions:

  6. Nikolaus Hautsch, 2003. "Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities," Journal of Financial Econometrics, Oxford University Press, vol. 1(2), pages 189-215.

  7. 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. [Downloadable!] (restricted)
    Other versions:

Editor

  1. FRU Working Papers, University of Copenhagen. Department of Economics (formerly Institute of Economics). Finance Research Unit.

NEP Fields

14 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2008-03-15
  2. NEP-CFN: Corporate Finance (1) 2004-04-18
  3. NEP-ECM: Econometrics (9) 1999-08-04 2000-02-28 2000-08-02 2002-03-04 2005-04-16 2006-11-25 2006-12-16 2006-12-22 2007-09-16 Author is listed
  4. NEP-ETS: Econometric Time Series (8) 2000-02-28 2002-04-08 2005-04-16 2006-11-25 2006-12-16 2006-12-22 2007-09-09 2007-09-16 Author is listed
  5. NEP-FIN: Finance (2) 2004-06-02 2004-11-07
  6. NEP-FMK: Financial Markets (3) 2000-08-02 2004-04-04 2004-06-02
  7. NEP-IFN: International Finance (1) 2007-09-16
  8. NEP-MAC: Macroeconomics (1) 2008-03-15
  9. NEP-MST: Market Microstructure (6) 2006-11-25 2006-12-16 2006-12-22 2007-09-09 2007-09-16 2008-03-15 Author is listed
  10. NEP-RMG: Risk Management (1) 2004-04-04
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This page was last updated on 2008-5-6.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.