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Publications

by members of

Universität Wien → Fakultät für Wirtschaftswissenschaften → Department of Statistics and Operations Research

University of Vienna → Faculty of Economics

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Books | Chapters |

Working papers

2025

  1. Yuan Chen & Nikolaus Hautsch & Jérémy Leymarie & Melanie Schienle, 2025, "Multivariate Inference for Dynamic Systemic Risk Measures," Working Papers, HAL, number halshs-05036934, Apr.

2024

  1. Markus Bibinger & Nikolaus Hautsch & Alexander Ristig, 2024, "Jump detection in high-frequency order prices," Papers, arXiv.org, number 2403.00819, Feb, revised Aug 2025.
  2. Taras Bodnar & Nikolaus Hautsch & Yarema Okhrin & Nestor Parolya, 2024, "Consistent Estimation of the High-Dimensional Efficient Frontier," Papers, arXiv.org, number 2409.15103, Sep.
  3. Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024, "Nonstandard errors," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123002, Jun.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024, "Nonstandard Errors," Journal of Finance, American Finance Association, volume 79, issue 3, pages 2339-2390, June, DOI: 10.1111/jofi.13337.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023, "Non-Standard Errors," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2023002, Jan.
    • Utz Weitzel & Michael Razen & Sebastian Neussüs & Michael Kirchler & Magnus Johannesson & Juergen Huber & Felix Holzmeister & Anna Dreber & Albert J. Menkveld & Javier Gil-Bazo, 2021, "Non-Standard Errors," Working Papers, Barcelona School of Economics, number 1303, Dec.
    • Gerardo Ferrara & Simon Jurkatis, 2021, "Non-standard errors," Bank of England Staff Working Paper series, Bank of England, number 955, Dec.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021, "Non-Standard Errors," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2182, Nov.
    • Albert J. et al. Menkveld, 2021, "Non-Standard Errors," CESifo Working Paper Series, CESifo, number 9453.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022, "Non-Standard Errors," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-09, Jan.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-Standard Errors," CEPR Discussion Papers, Centre for Economic Policy Research, number 16751, Nov.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-03500882, Nov.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-04676112, Apr, DOI: 10.1111/jofi.13337.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Post-Print, HAL, number halshs-03500882, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021, "Non-Standard Errors," Working Papers, Lund University, Department of Economics, number 2021:17, Nov.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021, "Non-Standard Errors," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2021-31.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021, "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 21033, Nov.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023, "Non-Standard Errors," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 385, Feb.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neus ss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Fr mmel & et al, 2021, "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1032, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Declerck, Fany & Moinas, Sophie, 2023, "Non-Standard Errors," TSE Working Papers, Toulouse School of Economics (TSE), number 23-1451, Jun.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021, "Non-standard errors," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1807, Dec.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 11/2021.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 327, DOI: 10.2139/ssrn.3961574.
  4. Benedikt M. Potscher, 2024, "Comments on B. Hansen's Reply to "A Comment on: `A Modern Gauss-Markov Theorem'", and Some Related Discussion," Papers, arXiv.org, number 2406.03971, Jun.
  5. Benedikt M. Potscher & David Preinerstorfer, 2024, "A Necessary and Sufficient Condition for Size Controllability of Heteroskedasticity Robust Test Statistics," Papers, arXiv.org, number 2412.17470, Dec, revised Jun 2026.

2022

  1. Rafael Reisenhofer & Xandro Bayer & Nikolaus Hautsch, 2022, "HARNet: A Convolutional Neural Network for Realized Volatility Forecasting," Papers, arXiv.org, number 2205.07719, May.
  2. Benedikt M. Potscher & David Preinerstorfer, 2022, "A Modern Gauss-Markov Theorem? Really?," Papers, arXiv.org, number 2203.01425, Mar, revised Oct 2023.

2021

  1. Benedikt M. Potscher & David Preinerstorfer, 2021, "Valid Heteroskedasticity Robust Testing," Papers, arXiv.org, number 2104.12597, Apr, revised Jul 2023.

2020

  1. Benedikt M. Potscher & David Preinerstorfer, 2020, "How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?," Papers, arXiv.org, number 2005.04089, May, revised Nov 2021.

2019

  1. Cebiroglu, Gökhan & Hautsch, Nikolaus & Walsh, Christopher, 2019, "Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect?," CFS Working Paper Series, Center for Financial Studies (CFS), number 625.

2018

  1. Nikolaus Hautsch & Christoph Scheuch & Stefan Voigt, 2018, "Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets," Papers, arXiv.org, number 1812.00595, Dec, revised Oct 2023.
  2. Hautsch, Nikolaus & Scheuch, Christoph & Voigt, Stefan, 2018, "Limits to arbitrage in markets with stochastic settlement latency," CFS Working Paper Series, Center for Financial Studies (CFS), number 616.
  3. Leeb, Hannes & Pötscher, Benedikt M. & Kivaranovic, Danijel, 2018, "Comment on "Model Confidence Bounds for Variable Selection" by Yang Li, Yuetian Luo, Davide Ferrari, Xiaonan Hu, and Yichen Qin," MPRA Paper, University Library of Munich, Germany, number 90655, Jul.

2017

  1. Nikolaus Hautsch & Stefan Voigt, 2017, "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty," Papers, arXiv.org, number 1709.06296, Sep, revised Jun 2018.
  2. Martin D. Gould & Nikolaus Hautsch & Sam D. Howison & Mason A. Porter, 2017, "Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading," Papers, arXiv.org, number 1709.08238, Sep, revised Jan 2021.
  3. Cebirogly, Gökhan & Hautsch, Nikolaus & Horst, Ulrich, 2017, "Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 28, Apr.
  4. Andersen, Torben G. & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2017, "Volatility, information feedback and market microstructure noise: A tale of two regimes," CFS Working Paper Series, Center for Financial Studies (CFS), number 569.
  5. Hautsch, Nikolaus & Horvath, Akos, 2017, "How effective are trading pauses?," CFS Working Paper Series, Center for Financial Studies (CFS), number 571.
  6. Hautsch, Nikolaus & Noé, Michael & Zhang, S. Sarah, 2017, "The ambivalent role of high-frequency trading in turbulent market periods," CFS Working Paper Series, Center for Financial Studies (CFS), number 580.
  7. Gould, Martin D. & Hautsch, Nikolaus & Howison, Sam D. & Porter, Mason A., 2017, "Counterparty credit limits: An effective tool for mitigating counterparty risk?," CFS Working Paper Series, Center for Financial Studies (CFS), number 581.
  8. Hautsch, Nikolaus & Voigt, Stefan, 2017, "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking, Verein für Socialpolitik / German Economic Association, number 168222.
  9. Pötscher, Benedikt M. & Preinerstorfer, David, 2017, "Further Results on Size and Power of Heteroskedasticity and Autocorrelation Robust Tests, with an Application to Trend Testing," MPRA Paper, University Library of Munich, Germany, number 81053.

2016

  1. Pötscher, Benedikt M. & Preinerstorfer, David, 2016, "Controlling the Size of Autocorrelation Robust Tests," MPRA Paper, University Library of Munich, Germany, number 75657, Nov.

2015

  1. Hautsch, Nikolaus & Herrera, Rodrigo, 2015, "Multivariate dynamic intensity peaks-over-threshold models," CFS Working Paper Series, Center for Financial Studies (CFS), number 516.
  2. Okhrin, Ostap & Ristig, Alexander & Sheen, Jeffrey R. & Trück, Stefan, 2015, "Conditional systemic risk with penalized copula," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-038.

2014

  1. Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2014, "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1464, Oct.
  2. Nikolaus Hautsch & Fuyu Yang, 2014, "Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth," University of East Anglia Applied and Financial Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK., number 056, Jan.
  3. Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander, 2014, "Efficient iterative maximum likelihood estimation of high-parameterized time series models," CFS Working Paper Series, Center for Financial Studies (CFS), number 450.
  4. Betz, Frank & Hautsch, Nikolaus & Peltonen, Tuomas A. & Schienle, Melanie, 2014, "Systemic risk spillovers in the European banking and sovereign network," CFS Working Paper Series, Center for Financial Studies (CFS), number 467.
  5. Leeb, Hannes & Pötscher, Benedikt M. & Ewald, Karl, 2014, "On various confidence intervals post-model-selection," MPRA Paper, University Library of Munich, Germany, number 52858.
  6. Preinerstorfer, David & Pötscher, Benedikt M., 2014, "On the Power of Invariant Tests for Hypotheses on a Covariance Matrix," MPRA Paper, University Library of Munich, Germany, number 55059, Mar.
  7. Bachoc, Francois & Leeb, Hannes & Pötscher, Benedikt M., 2014, "Valid confidence intervals for post-model-selection predictors," MPRA Paper, University Library of Munich, Germany, number 60643, Dec.

2013

  1. Bodnar, Taras & Hautsch, Nikolaus, 2013, "Copula-based dynamic conditional correlation multiplicative error processes," CFS Working Paper Series, Center for Financial Studies (CFS), number 2013/19.
  2. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2013, "Financial network systemic risk contributions," CFS Working Paper Series, Center for Financial Studies (CFS), number 2013/20.
  3. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2013, "Forecasting systemic impact in financial networks," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-008.
  4. Hautsch, Nikolaus & Kyj, Lada. M. & Malec, Peter, 2013, "Do high-frequency data improve high-dimensional portfolio allocations?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-014.
  5. Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2013, "Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-017.
  6. Preinerstorfer, David & Pötscher, Benedikt M., 2013, "On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests," MPRA Paper, University Library of Munich, Germany, number 45675, Jan.

2012

  1. Hautsch, Nikolaus & Huang, Ruihong, 2012, "On the dark side of the market: Identifying and analyzing hidden order placements," CFS Working Paper Series, Center for Financial Studies (CFS), number 2012/04.
  2. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012, "Local adaptive multiplicative error models for high-frequency forecasts," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-031.
  3. Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander, 2012, "Modeling time-varying dependencies between positive-valued high-frequency time series," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-054.
  4. Leeb, Hannes & Pötscher, Benedikt M., 2012, "Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values," MPRA Paper, University Library of Munich, Germany, number 41459.
  5. Alois Pichler, 2012, "Spectral Risk Measures, With Adaptions For Stochastic Optimization," Papers, arXiv.org, number 1209.3570, Sep.
  6. Alois Pichler & Alexander Shapiro, 2012, "Uniqueness of Kusuoka Representations," Papers, arXiv.org, number 1210.7257, Oct, revised Feb 2013.
  7. Okhrin, Ostap & Ristig, Alexander, 2012, "Hierarchical Archimedean copulae: The HAC package," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-036.

2011

  1. Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011, "The merit of high-frequency data in portfolio allocation," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/24.
  2. Groß-Klußmann, Axel & Hautsch, Nikolaus, 2011, "Predicting bid-ask spreads using long memory autoregressive conditional poisson models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-044.
  3. Hautsch, Nikolaus & Huang, Ruihong, 2011, "Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-056.
  4. Pötscher, Benedikt M., 2011, "On the Order of Magnitude of Sums of Negative Powers of Integrated Processes," MPRA Paper, University Library of Munich, Germany, number 28287, Jan.
  5. Pötscher, Benedikt M. & Schneider, Ulrike, 2011, "Distributional results for thresholding estimators in high-dimensional Gaussian regression models," MPRA Paper, University Library of Munich, Germany, number 31882, Jun.

2010

  1. Immanuel M. Bomze & Luigi Grippo & Laura Palagi, 2010, "Unconstrained formulation of standard quadratic optimization problems," DIS Technical Reports, Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza", number 2010-12.
  2. 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, Department of Economics and Business Economics, Aarhus University, number 2010-29, Jul.
  3. Nikolaus Hautsch & Dieter Hess & David Veredas, 2010, "The impact of macroeconomic news on quote adjustments, noise and informational volatility," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2010-004, Jan.
  4. Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2010, "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series, Center for Financial Studies (CFS), number 2010/19.
  5. Hautsch, Nikolaus & Yang, Fuyu, 2010, "Bayesian inference in a stochastic volatility Nelson-Siegel Model," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-004.
  6. Gach, Florian & Pötscher, Benedikt M., 2010, "Non-Parametric Maximum Likelihood Density Estimation and Simulation-Based Minimum Distance Estimators," MPRA Paper, University Library of Munich, Germany, number 27512, Dec.

2009

  1. Hautsch, Nikolaus & Ou, Yangguoyi, 2009, "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/03.
  2. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2009, "Modelling and forecasting liquidity supply using semiparametric factor dynamics," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/18.
  3. Hautsch, Nikolaus & Kyj, Lada M. & Hautsch, Nikolaus, 2009, "A blocking and regularization approach to high dimensional realized covariance estimation," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/20.
  4. Hautsch, Nikolaus & Huang, Ruihong, 2009, "The market impact of a limit order," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/23.
  5. Groß-Klußmann, Axel & Hautsch, Nikolaus, 2009, "Quantifying high-frequency market reactions to real-time news sentiment announcements," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/31.
  6. Nickl, Richard & Pötscher, Benedikt M., 2009, "Efficient Simulation-Based Minimum Distance Estimation and Indirect Inference," MPRA Paper, University Library of Munich, Germany, number 16608, Mar.

2008

  1. Nikolaus Hautsch & Dieter Hess & Christoph Müller, 2008, "Price Adjustment to News with Uncertain Precision," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2008/01, Jun.
  2. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Pigorsch, Uta, 2008, "Measuring and modeling risk using high-frequency data," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-045.
  3. Hautsch, Nikolaus & Jeleskovic, Vahidin, 2008, "Modelling high-frequency volatility and liquidity using multiplicative error models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-047.
  4. Hautsch, Nikolaus & Ou, Yangguoyi, 2008, "Yield curve factors, term structure volatility, and bond risk premia," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-053.
  5. Hautsch, Nikolaus & Ou, Yangguoyi, 2008, "Discrete-time stochastic volatility models and MCMC-based statistical inference," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-063.
  6. Hautsch, Nikolaus, 2008, "Testing multiplicative error models using conditional moment tests," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-067.
  7. Pötscher, Benedikt M. & Schneider, Ulrike, 2008, "Confidence sets based on penalized maximum likelihood estimators," MPRA Paper, University Library of Munich, Germany, number 9062, Jun.

2007

  1. Hautsch, Nikolaus, 2007, "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," CFS Working Paper Series, Center for Financial Studies (CFS), number 2007/25.
  2. Pötscher, Benedikt M. & Leeb, Hannes, 2007, "On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding," MPRA Paper, University Library of Munich, Germany, number 5615, Oct.
  3. Pötscher, Benedikt M., 2007, "Confidence Sets Based on Sparse Estimators Are Necessarily Large," MPRA Paper, University Library of Munich, Germany, number 5677, Aug.
  4. Pötscher, Benedikt M. & Schneider, Ulrike, 2007, "On the distribution of the adaptive LASSO estimator," MPRA Paper, University Library of Munich, Germany, number 6913, Dec.

2006

  1. BAUWENS, Luc & HAUTSCH, Nikolaus, 2006, "Modelling financial high frequency data using point processes," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006080, Sep.
  2. BAUWENS, Luc & HAUTSCH, Nikolaus, 2006, "Stochastic conditional intensity processes," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1937, Jan, DOI: 10.1093/jjfinec/nbj013.
  3. Frank Gerhard & Nikolaus Hautsch, 2006, "A Dynamic Semiparametric Proportional Hazard Model," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2006/05, Oct.
  4. Nikolaus Hautsch, 2006, "Testing the Conditional Mean Function of Autoregressive Conditional Duration Models," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2006/06, Dec.
  5. Hannes Leeb, 2006, "The distribution of a linear predictor after model selection: Unconditional finite-sample distributions and asymptotic approximations," Papers, arXiv.org, number math/0611186, Nov.
  6. Pötscher, Benedikt M., 2006, "The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation," MPRA Paper, University Library of Munich, Germany, number 73, Mar, revised Jul 2006.

2005

  1. Nikolaus Hautsch, 2005, "The latent factor VAR model: Testing for a common component in the intraday trading process," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2005/03, Mar.
  2. Leeb, Hannes & Pötscher, Benedikt M., 2005, "Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?," MPRA Paper, University Library of Munich, Germany, number 72, Apr.
  3. Hannes Leeb & Benedikt M. Poetscher, 2005, "Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1500, Feb, revised Apr 2007.

2004

  1. Anthony D. Hall & Nikolaus Hautsch, 2004, "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Discussion Papers, University of Copenhagen. Department of Economics, number 04-07, Mar.
  2. Nikolaus Hautsch & Dieter Hess, 2004, "Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery," Discussion Papers, University of Copenhagen. Department of Economics, number 04-17, Sep.
  3. Anthony D. Hall & Nikolaus Hautsch, 2004, "Order Aggressiveness and Order Book Dynamics," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2005/04, Dec.

2003

  1. BAUWENS, Luc & HAUTSCH, Nikolaus, 2003, "Dynamic latent factor models for intensity processes," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003103, Dec.
  2. Hannes Leeb & Benedikt M. Pötscher, 2003, "Performance Limits for Estimators of the Risk or Distribution of Shrinkage-Type Estimators, and Some General Lower Risk-Bound Results," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0301, Jan.

2002

  1. Hautsch, Nikolaus, 2002, "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 02/05.
  2. Hautsch, Nikolaus & Hess, Dieter, 2002, "The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 02/06.

2001

  1. Hautsch, Nikolaus & Klotz, Stefan, 2001, "Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 01/04.
  2. Hautsch, Nikolaus & Pohlmeier, Winfried, 2001, "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 01/05.
  3. Hautsch, Nikolaus & Lehmann, Erik & Warning, Susanne & Frick, Bernd, 2001, "Shirking or mismatch? Coach-team separation in German professional soccer," Discussion Papers, Series I, University of Konstanz, Department of Economics, number 313.
  4. Hautsch, Nikolaus & Hess, Dieter E., 2001, "A mean variance king? Creation and resolution of uncertainty under the employment report's reign," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 01-60.
  5. Benedikt M. Pötscher, 2001, "Nonlinear Functions and Convergence to Brownian Motion: Beyond the Continuous Mapping Theorem," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0203, Nov.

2000

  1. Frank Gerhard & Nikolaus Hautsch, 2000, "Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1082, Aug.
  2. Gerhard, Frank & Hautsch, Nikolaus, 2000, "Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 00/20.
  3. Hannes Leeb & Benedikt M. Poetscher, 2000, "The Finite-Sample Distribution of Post-Model-Selection Estimators, and Uniform Versus Non-Uniform Approximations," Econometrics, University Library of Munich, Germany, number 0004001, Apr.

1999

  1. Nikolaus Hautsch, 1999, "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," Finance, University Library of Munich, Germany, number 9904002, Apr.
  2. Gerhard, Frank & Hautsch, Nikolaus, 1999, "Volatility Estimation on the Basis of Price Intensities," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 99/19.
  3. Hannes Leeb & Benedikt Poetscher, 1999, "The variance of an integrated process need not diverge to infinity," Econometrics, University Library of Munich, Germany, number 9907001, Jul.
  4. Benedikt M. Pötscher & Ingmar R. Prucha, 1999, "Basic Elements of Asymptotic Theory," Electronic Working Papers, University of Maryland, Department of Economics, number 99-001, Jan.
  5. Benedikt M. Pötscher, 1999, "Lower Risk Bounds and Properties of Confidence Sets For Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots,and Estimation of Long Memory Parameters," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0202, Sep.

1994

  1. Benedikt M. Potscher & Ingmar R. Prucha, 1994, "On the Formulation of Uniform Laws of Large Numbers: A Truncation Approach," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0085, Apr.

1990

  1. Bomze, I.M. & Van Damme, E.E.C., 1990, "A Dynamical Characterization Of Evolutionarity Stable States," Papers, Tilburg - Center for Economic Research, number 9045.

1987

  1. Potscher, Benedikt M. & Prucha, Ingmar R., 1987, "A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Process," Working Papers, C.V. Starr Center for Applied Economics, New York University, number 87-26.

Undated

  1. Frank Gerhard & Nikolaus Hautsch, undated, "Semiparametric autoregressive conditional proportional hazard models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2002-W2.

Journal articles

2026

  1. Bibinger, Markus & Hautsch, Nikolaus & Ristig, Alexander, 2026, "Jump detection in high-frequency order prices," Journal of Econometrics, Elsevier, volume 253, issue C, DOI: 10.1016/j.jeconom.2025.106133.
  2. Taras Bodnar & Nikolaus Hautsch & Yarema Okhrin & Nestor Parolya, 2026, "Consistent estimation of the high-dimensional efficient frontier," The European Journal of Finance, Taylor & Francis Journals, volume 32, issue 4-6, pages 482-509, April, DOI: 10.1080/1351847X.2025.2505043.

2025

  1. Pötscher, Benedikt M. & Preinerstorfer, David, 2025, "Valid Heteroskedasticity Robust Testing," Econometric Theory, Cambridge University Press, volume 41, issue 2, pages 249-301, April.

2024

  1. Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024, "Nonstandard Errors," Journal of Finance, American Finance Association, volume 79, issue 3, pages 2339-2390, June, DOI: 10.1111/jofi.13337.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023, "Non-Standard Errors," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2023002, Jan.
    • Utz Weitzel & Michael Razen & Sebastian Neussüs & Michael Kirchler & Magnus Johannesson & Juergen Huber & Felix Holzmeister & Anna Dreber & Albert J. Menkveld & Javier Gil-Bazo, 2021, "Non-Standard Errors," Working Papers, Barcelona School of Economics, number 1303, Dec.
    • Gerardo Ferrara & Simon Jurkatis, 2021, "Non-standard errors," Bank of England Staff Working Paper series, Bank of England, number 955, Dec.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021, "Non-Standard Errors," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2182, Nov.
    • Albert J. et al. Menkveld, 2021, "Non-Standard Errors," CESifo Working Paper Series, CESifo, number 9453.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022, "Non-Standard Errors," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-09, Jan.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-Standard Errors," CEPR Discussion Papers, Centre for Economic Policy Research, number 16751, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024, "Nonstandard errors," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123002, Jun.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-03500882, Nov.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-04676112, Apr, DOI: 10.1111/jofi.13337.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Post-Print, HAL, number halshs-03500882, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021, "Non-Standard Errors," Working Papers, Lund University, Department of Economics, number 2021:17, Nov.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021, "Non-Standard Errors," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2021-31.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021, "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 21033, Nov.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023, "Non-Standard Errors," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 385, Feb.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neus ss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Fr mmel & et al, 2021, "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1032, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Declerck, Fany & Moinas, Sophie, 2023, "Non-Standard Errors," TSE Working Papers, Toulouse School of Economics (TSE), number 23-1451, Jun.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021, "Non-standard errors," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1807, Dec.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 11/2021.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 327, DOI: 10.2139/ssrn.3961574.
  2. Nikolaus Hautsch & Christoph Scheu & Stefan Voigt, 2024, "Building trust takes time: limits to arbitrage for blockchain-based assets," Review of Finance, European Finance Association, volume 28, issue 4, pages 1345-1381.
  3. Benedikt M. Pötscher & Leopold Sögner & Martin Wagner, 2024, "Introduction to the Special Issue “High-Dimensional Time Series in Macroeconomics and Finance”," Econometrics, MDPI, volume 12, issue 1, pages 1-2, February.
  4. Benedikt M. Pötscher & David Preinerstorfer, 2024, "A Comment on: “A Modern Gauss–Markov Theorem”," Econometrica, Econometric Society, volume 92, issue 3, pages 913-924, May, DOI: 10.3982/ECTA20819.

2023

  1. Nikolaus Hautsch & Ostap Okhrin & Alexander Ristig, 2023, "Maximum-Likelihood Estimation Using the Zig-Zag Algorithm," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 4, pages 1346-1375.
  2. Pötscher, Benedikt M. & Preinerstorfer, David, 2023, "How Reliable Are Bootstrap-Based Heteroskedasticity Robust Tests?," Econometric Theory, Cambridge University Press, volume 39, issue 4, pages 789-847, August.

2022

  1. Andersen, Torben G. & Archakov, Ilya & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2022, "Local mispricing and microstructural noise: A parametric perspective," Journal of Econometrics, Elsevier, volume 230, issue 2, pages 510-534, DOI: 10.1016/j.jeconom.2021.06.006.

2021

  1. Torben Andersen & Ilya Archakov & Leon Grund & Nikolaus Hautsch & Yifan Li & Sergey Nasekin & Ingmar Nolte & Manh Cuong Pham & Stephen Taylor & Viktor Todorov, 2021, "A Descriptive Study of High-Frequency Trade and Quote Option Data
    [Stealth Trading in Options Markets]    ," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 1, pages 128-177.

2020

  1. Martin D. Gould & Nikolaus Hautsch & Sam D. Howison & Mason A. Porter, 2020, "Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading," Applied Mathematical Finance, Taylor & Francis Journals, volume 27, issue 6, pages 520-548, November, DOI: 10.1080/1350486X.2021.1893770.
  2. Nikolaus Hautsch & Rodrigo Herrera, 2020, "Multivariate dynamic intensity peaks‐over‐threshold models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 35, issue 2, pages 248-272, March, DOI: 10.1002/jae.2741.

2019

  1. Hautsch, Nikolaus & Voigt, Stefan, 2019, "Large-scale portfolio allocation under transaction costs and model uncertainty," Journal of Econometrics, Elsevier, volume 212, issue 1, pages 221-240, DOI: 10.1016/j.jeconom.2019.04.028.
  2. Hautsch, Nikolaus & Horvath, Akos, 2019, "How effective are trading pauses?," Journal of Financial Economics, Elsevier, volume 131, issue 2, pages 378-403, DOI: 10.1016/j.jfineco.2017.12.011.
  3. Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2019, "Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 37, issue 3, pages 419-435, July, DOI: 10.1080/07350015.2017.1356728.
  4. Hannes Leeb & Benedikt M. Pötscher & Danijel Kivaranovic, 2019, "Discussion on “Model confidence bounds for variable selection” by Yang Li, Yuetian Luo, Davide Ferrari, Xiaonan Hu, and Yichen Qin," Biometrics, The International Biometric Society, volume 75, issue 2, pages 407-410, June, DOI: 10.1111/biom.13021.

2018

  1. Immanuel M. Bomze & Vaithilingam Jeyakumar & Guoyin Li, 2018, "Extended trust-region problems with one or two balls: exact copositive and Lagrangian relaxations," Journal of Global Optimization, Springer, volume 71, issue 3, pages 551-569, July, DOI: 10.1007/s10898-018-0607-4.
  2. Immanuel M. Bomze, 2018, "Building a completely positive factorization," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, volume 26, issue 2, pages 287-305, June, DOI: 10.1007/s10100-017-0499-2.
  3. Immanuel Bomze & Karl F. Dörner & Richard F. Hartl & Ulrike Leopold-Wildburger & Georg Pflug & Marion Rauner & Christian Stummer & Gernot Tragler & Tina Wakolbinger, 2018, "Emerging and innovative OR applications: a special issue in honor of Walter J. Gutjahr," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, volume 26, issue 2, pages 259-263, June, DOI: 10.1007/s10100-018-0541-z.
  4. Pötscher, Benedikt M. & Preinerstorfer, David, 2018, "Controlling the size of autocorrelation robust tests," Journal of Econometrics, Elsevier, volume 207, issue 2, pages 406-431, DOI: 10.1016/j.jeconom.2018.08.005.

2017

  1. Laengle, Sigifredo & Merigó, José M. & Miranda, Jaime & Słowiński, Roman & Bomze, Immanuel & Borgonovo, Emanuele & Dyson, Robert G. & Oliveira, José Fernando & Teunter, Ruud, 2017, "Forty years of the European Journal of Operational Research: A bibliometric overview," European Journal of Operational Research, Elsevier, volume 262, issue 3, pages 803-816, DOI: 10.1016/j.ejor.2017.04.027.
  2. Preinerstorfer, David & Pötscher, Benedikt M., 2017, "On The Power Of Invariant Tests For Hypotheses On A Covariance Matrix," Econometric Theory, Cambridge University Press, volume 33, issue 1, pages 1-68, February.

2016

  1. Bodnar, Taras & Hautsch, Nikolaus, 2016, "Dynamic conditional correlation multiplicative error processes," Journal of Empirical Finance, Elsevier, volume 36, issue C, pages 41-67, DOI: 10.1016/j.jempfin.2015.12.002.
  2. Betz, Frank & Hautsch, Nikolaus & Peltonen, Tuomas A. & Schienle, Melanie, 2016, "Systemic risk spillovers in the European banking and sovereign network," Journal of Financial Stability, Elsevier, volume 25, issue C, pages 206-224, DOI: 10.1016/j.jfs.2015.10.006.
  3. Preinerstorfer, David & Pötscher, Benedikt M., 2016, "On Size And Power Of Heteroskedasticity And Autocorrelation Robust Tests," Econometric Theory, Cambridge University Press, volume 32, issue 2, pages 261-358, April.

2015

  1. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2015, "Financial Network Systemic Risk Contributions," Review of Finance, European Finance Association, volume 19, issue 2, pages 685-738.
  2. Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2015, "Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 2, pages 263-290, March.
  3. Wolfgang K. Härdle & Nikolaus Hautsch & Andrija Mihoci, 2015, "Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 4, pages 529-550, June.

2014

  1. Immanuel Bomze & Stefan Gollowitzer & E. Yıldırım, 2014, "Rounding on the standard simplex: regular grids for global optimization," Journal of Global Optimization, Springer, volume 59, issue 2, pages 243-258, July, DOI: 10.1007/s10898-013-0126-2.
  2. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2014, "Forecasting systemic impact in financial networks," International Journal of Forecasting, Elsevier, volume 30, issue 3, pages 781-794, DOI: 10.1016/j.ijforecast.2013.09.004.

2013

  1. Alexander Engau & Miguel Anjos & Immanuel Bomze, 2013, "Constraint selection in a build-up interior-point cutting-plane method for solving relaxations of the stable-set problem," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 78, issue 1, pages 35-59, August, DOI: 10.1007/s00186-013-0431-z.
  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, Oxford University Press, volume 12, issue 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, volume 31, issue 2, pages 165-183, April, DOI: 10.1080/07350015.2012.754313.
  4. Axel Groß‐KlußMann & Nikolaus Hautsch, 2013, "Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models," Journal of Forecasting, John Wiley & Sons, Ltd., volume 32, issue 8, pages 724-742, December.
  5. Pötscher, Benedikt M., 2013, "On The Order Of Magnitude Of Sums Of Negative Powers Of Integrated Processes," Econometric Theory, Cambridge University Press, volume 29, issue 3, pages 642-658, June.

2012

  1. Immanuel Bomze & Chen Ling & Liqun Qi & Xinzhen Zhang, 2012, "Standard bi-quadratic optimization problems and unconstrained polynomial reformulations," Journal of Global Optimization, Springer, volume 52, issue 4, pages 663-687, April, DOI: 10.1007/s10898-011-9710-5.
  2. Immanuel Bomze & Werner Schachinger & Gabriele Uchida, 2012, "Think co(mpletely)positive ! Matrix properties, examples and a clustered bibliography on copositive optimization," Journal of Global Optimization, Springer, volume 52, issue 3, pages 423-445, March, DOI: 10.1007/s10898-011-9749-3.
  3. Bomze, Immanuel M., 2012, "Copositive optimization – Recent developments and applications," European Journal of Operational Research, Elsevier, volume 216, issue 3, pages 509-520, DOI: 10.1016/j.ejor.2011.04.026.
  4. Immanuel Bomze & Luigi Grippo & Laura Palagi, 2012, "Unconstrained formulation of standard quadratic optimization problems," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, volume 20, issue 1, pages 35-51, April, DOI: 10.1007/s11750-010-0166-4.
  5. Hautsch, Nikolaus & Yang, Fuyu, 2012, "Bayesian inference in a Stochastic Volatility Nelson–Siegel model," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3774-3792, DOI: 10.1016/j.csda.2010.07.003.
  6. Hautsch, Nikolaus & Huang, Ruihong, 2012, "The market impact of a limit order," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 4, pages 501-522, DOI: 10.1016/j.jedc.2011.09.012.
  7. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012, "Modelling and forecasting liquidity supply using semiparametric factor dynamics," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 610-625, DOI: 10.1016/j.jempfin.2012.04.002.
  8. Hautsch, Nikolaus & Ou, Yangguoyi, 2012, "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 2988-3007, DOI: 10.1016/j.jbankfin.2012.06.020.
  9. Hautsch, Nikolaus & Hess, Dieter & Müller, Christoph, 2012, "Price adjustment to news with uncertain precision," Journal of International Money and Finance, Elsevier, volume 31, issue 2, pages 337-355, DOI: 10.1016/j.jimonfin.2011.11.013.
  10. 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., volume 27, issue 4, pages 625-645, June.
  11. Pflug, Georg Ch. & Pichler, Alois & Wozabal, David, 2012, "The 1/N investment strategy is optimal under high model ambiguity," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 410-417, DOI: 10.1016/j.jbankfin.2011.07.018.

2011

  1. Rota Bulò, Samuel & Bomze, Immanuel M., 2011, "Infection and immunization: A new class of evolutionary game dynamics," Games and Economic Behavior, Elsevier, volume 71, issue 1, pages 193-211, January.
  2. 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, volume 18, issue 2, pages 321-340, March.
  3. Hautsch, Nikolaus & Hess, Dieter & Veredas, David, 2011, "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," Journal of Banking & Finance, Elsevier, volume 35, issue 10, pages 2733-2746, October.

2010

  1. Georg Pflug & Nancy Wozabal, 2010, "Asymptotic distribution of law-invariant risk functionals," Finance and Stochastics, Springer, volume 14, issue 3, pages 397-418, September, DOI: 10.1007/s00780-009-0121-0.

2009

  1. Pötscher, Benedikt M. & Leeb, Hannes, 2009, "On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding," Journal of Multivariate Analysis, Elsevier, volume 100, issue 9, pages 2065-2082, October.
  2. Wozabal, Nancy, 2009, "Uniform limit theorems for functions of order statistics," Statistics & Probability Letters, Elsevier, volume 79, issue 12, pages 1450-1455, June.
  3. David Wozabal & Nancy Wozabal, 2009, "Asymptotic consistency of risk functionals," Journal of Nonparametric Statistics, Taylor & Francis Journals, volume 21, issue 8, pages 977-990, DOI: 10.1080/10485250903060592.

2008

  1. 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, volume 32, issue 12, pages 3978-4015, December.
  2. Leeb, Hannes & Potscher, Benedikt M., 2008, "Sparse estimators and the oracle property, or the return of Hodges' estimator," Journal of Econometrics, Elsevier, volume 142, issue 1, pages 201-211, January.
  3. Leeb, Hannes & Pötscher, Benedikt M., 2008, "Can One Estimate The Unconditional Distribution Of Post-Model-Selection Estimators?," Econometric Theory, Cambridge University Press, volume 24, issue 2, pages 338-376, April.

2007

  1. Gerhard Frank & Hautsch Nikolaus, 2007, "A Dynamic Semiparametric Proportional Hazard Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 2, pages 1-42, May, DOI: 10.2202/1558-3708.1377.
  2. 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, volume 42, issue 1, pages 189-208, March.
  3. Hall, Anthony D. & Hautsch, Nikolaus, 2007, "Modelling the buy and sell intensity in a limit order book market," Journal of Financial Markets, Elsevier, volume 10, issue 3, pages 249-286, August.
  4. Pötscher, Benedikt M., 2007, "THE ET INTERVIEW: PROFESSOR MANFRED DEISTLER: Interviewed by Benedikt M. Pötscher," Econometric Theory, Cambridge University Press, volume 23, issue 4, pages 711-748, August.
  5. Richard Nickl & Benedikt M. Pötscher, 2007, "Bracketing Metric Entropy Rates and Empirical Central Limit Theorems for Function Classes of Besov- and Sobolev-Type," Journal of Theoretical Probability, Springer, volume 20, issue 2, pages 177-199, June, DOI: 10.1007/s10959-007-0058-1.

2006

  1. Luc Bauwens & Nikolaus Hautsch, 2006, "Stochastic Conditional Intensity Processes," Journal of Financial Econometrics, Oxford University Press, volume 4, issue 3, pages 450-493.
  2. Anthony Hall & Nikolaus Hautsch, 2006, "Order aggressiveness and order book dynamics," Empirical Economics, Springer, volume 30, issue 4, pages 973-1005, January, DOI: 10.1007/s00181-005-0008-7.
  3. Kabaila, Paul & Leeb, Hannes, 2006, "On the Large-Sample Minimal Coverage Probability of Confidence Intervals After Model Selection," Journal of the American Statistical Association, American Statistical Association, volume 101, pages 619-629, June.
  4. Leeb, Hannes & Pötscher, Benedikt M., 2006, "Performance Limits For Estimators Of The Risk Or Distribution Of Shrinkage-Type Estimators, And Some General Lower Risk-Bound Results," Econometric Theory, Cambridge University Press, volume 22, issue 1, pages 69-97, February.

2005

  1. Bomze, Immanuel M., 2005, "Optimization of functions with rank-two variation over a box," European Journal of Operational Research, Elsevier, volume 161, issue 3, pages 598-617, March.
  2. Leeb, Hannes & Pötscher, Benedikt M., 2005, "Model Selection And Inference: Facts And Fiction," Econometric Theory, Cambridge University Press, volume 21, issue 1, pages 21-59, February.

2004

  1. Leonid Churilov & Immanuel M. Bomze & Moshe Sniedovich & Daniel Ralph, 2004, "Hyper Sensitivity Analysis Of Portfolio Optimization Problems," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., volume 21, issue 03, pages 297-317, DOI: 10.1142/S0217595904000175.
  2. Pötscher, Benedikt M., 2004, "Nonlinear Functions And Convergence To Brownian Motion: Beyond The Continuous Mapping Theorem," Econometric Theory, Cambridge University Press, volume 20, issue 1, pages 1-22, February.
  3. Potscher, Benedikt M. & Prucha, Ingmar R., 2004, "Contributions to econometrics, time-series analysis, and systems identification: a Festschrift in honor of Manfred Deistler," Journal of Econometrics, Elsevier, volume 118, issue 1-2, pages 1-5.
  4. Findley, David F. & Potscher, Benedikt M. & Wei, Ching-Zong, 2004, "Modeling of time series arrays by multistep prediction or likelihood methods," Journal of Econometrics, Elsevier, volume 118, issue 1-2, pages 151-187.

2003

  1. 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, volume 52, issue 1, pages 97-113, September.
  2. Nikolaus Hautsch, 2003, "Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities," Journal of Financial Econometrics, Oxford University Press, volume 1, issue 2, pages 189-215.
  3. Nikolaus Hautsch & Joachim Inkmann, 2003, "Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations," Journal of Asset Management, Palgrave Macmillan, volume 4, issue 3, pages 173-198, September, DOI: 10.1057/palgrave.jam.2240102.
  4. Leeb, Hannes & Pötscher, Benedikt M., 2003, "The Finite-Sample Distribution Of Post-Model-Selection Estimators And Uniform Versus Nonuniform Approximations," Econometric Theory, Cambridge University Press, volume 19, issue 1, pages 100-142, February.

2002

  1. Gerhard, Frank & Hautsch, Nikolaus, 2002, "Volatility estimation on the basis of price intensities," Journal of Empirical Finance, Elsevier, volume 9, issue 1, pages 57-89, January.
  2. Nikolaus Hautsch & Dieter Hess, 2002, "The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report," Review of Finance, European Finance Association, volume 6, issue 2, pages 133-161.
  3. Benedikt M. Poetscher, 2002, "Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots, and Estimation of Long Memory Parameters," Econometrica, Econometric Society, volume 70, issue 3, pages 1035-1065, May.

2001

  1. Leeb, Hannes & Pötscher, Benedikt M., 2001, "The Variance Of An Integrated Process Need Not Diverge To Infinity, And Related Results On Partial Sums Of Stationary Processes," Econometric Theory, Cambridge University Press, volume 17, issue 4, pages 671-685, August.

1999

  1. I.M. Bomze & V. Stix, 1999, "Genetic engineering via negative fitness:Evolutionary dynamics for global optimization," Annals of Operations Research, Springer, volume 89, issue 0, pages 297-318, January, DOI: 10.1023/A:1018935925761.
  2. Erhard Reschenhofer & Benedikt M. Pötscher & Michael A. Hauser, 1999, "Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures," Empirical Economics, Springer, volume 24, issue 2, pages 243-269.

1995

  1. Bomze Immanuel M. & Burger Reinhard, 1995, "Stability by Mutation in Evolutionary Games," Games and Economic Behavior, Elsevier, volume 11, issue 2, pages 146-172, November.
  2. Bomze Immanuel M. & Weibull Jorgen W., 1995, "Does Neutral Stability Imply Lyapunov Stability?," Games and Economic Behavior, Elsevier, volume 11, issue 2, pages 173-192, November.
  3. I. Bomze & W. Gutjahr, 1995, "Estimating qualifications in a self-evaluating group," Quality & Quantity: International Journal of Methodology, Springer, volume 29, issue 3, pages 241-250, August, DOI: 10.1007/BF01101972.
  4. Pötscher, B.M., 1995, "Comment on “The Effect of Model Selection on Confidence Regions and Prediction Regions” by P. Kabaila," Econometric Theory, Cambridge University Press, volume 11, issue 3, pages 550-559, June.
  5. Potscher, Benedikt M., 1995, "Comment on 'Adaptive estimation in time series regression models' by D.G. Steigerwald," Journal of Econometrics, Elsevier, volume 66, issue 1-2, pages 123-129.

1994

  1. Potscher, Benedikt M. & Prucha, Ingmar R., 1994, "Generic uniform convergence and equicontinuity concepts for random functions : An exploration of the basic structure," Journal of Econometrics, Elsevier, volume 60, issue 1-2, pages 23-63.

1992

  1. B. Arnold & W. Wertz & B. Pötscher & D. Voss & R. Shimizu & R. Dahlhaus & M. Leitner & O. Krafft & G. Pflug, 1992, "Book reviews," Metrika: International Journal for Theoretical and Applied Statistics, Springer, volume 39, issue 1, pages 56-66, December, DOI: 10.1007/BF02613982.

1991

  1. Pötscher, B.M., 1991, "Effects of Model Selection on Inference," Econometric Theory, Cambridge University Press, volume 7, issue 2, pages 163-185, June.
  2. Pötscher, B.M., 1991, "Noninvertibility and Pseudo-Maximum Likelihood Estimation of Misspecified ARMA Models," Econometric Theory, Cambridge University Press, volume 7, issue 4, pages 435-449, December.

1990

  1. B. M. Pötscher, 1990, "Estimation Of Autoregressive Moving‐Average Order Given An Infinite Number Of Models And Approximation Of Spectral Densities," Journal of Time Series Analysis, Wiley Blackwell, volume 11, issue 2, pages 165-179, March, DOI: 10.1111/j.1467-9892.1990.tb00049.x.

1989

  1. Potscher, Benedikt M & Prucha, Ingmar R, 1989, "A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Processes," Econometrica, Econometric Society, volume 57, issue 3, pages 675-683, May.

1988

  1. Bomze, Immanuel M, 1988, "A Note on Aspirations in Non-transferable Utility Games," International Journal of Game Theory, Springer;Game Theory Society, volume 17, issue 3, pages 193-200.
  2. B. M. Pötscher & E. Reschenhofer, 1988, "Discriminating Between Two Spectral Densities In Case Of Replicated Observations," Journal of Time Series Analysis, Wiley Blackwell, volume 9, issue 3, pages 221-224, May, DOI: 10.1111/j.1467-9892.1988.tb00466.x.
  3. Pötscher, B.M., 1988, "Nonlinear Statistical Models by A. Ronald Gallant John Wiley & Sons, 1986," Econometric Theory, Cambridge University Press, volume 4, issue 1, pages 183-186, April.

1987

  1. Pötscher, B. M., 1987, "Convergence results for maximum likelihood type estimators in multivariable ARMA models," Journal of Multivariate Analysis, Elsevier, volume 21, issue 1, pages 29-52, February.

1986

  1. Potscher, Benedikt M. & Prucha, Ingmar R., 1986, "A class of partially adaptive one-step m-estimators for the non-linear regression model with dependent observations," Journal of Econometrics, Elsevier, volume 32, issue 2, pages 219-251, July.

1985

  1. B. Pötscher, 1985, "The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, volume 32, issue 1, pages 129-150, December, DOI: 10.1007/BF01897808.

1984

  1. M. Deistler & B. Pötscher & J. Schrader, 1984, "The uniqueness of the transfer function of linear systems from input-output observations," Metrika: International Journal for Theoretical and Applied Statistics, Springer, volume 31, issue 1, pages 157-181, December, DOI: 10.1007/BF01915197.

Books

2012

  1. Nikolaus Hautsch, 2012, "Econometrics of Financial High-Frequency Data," Springer Books, Springer, number 978-3-642-21925-2, ISBN: ARRAY(0x71cd8c68), DOI: 10.1007/978-3-642-21925-2.

2008

  1. Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), 2008, "Applied Quantitative Finance," Springer Books, Springer, number 978-3-540-69179-2, edition 2, ISBN: ARRAY(0x72cf60d0), DOI: 10.1007/978-3-540-69179-2.

Chapters

2025

  1. Stefan Voigt & Nikolaus Hautsch & Christoph Scheuch, 2025, "Limits to Arbitrage for Blockchain-Based Assets," Springer Books, Springer, chapter 0, in: Daniel Liebau & Simon Trimborn, "The Blockchain Scholars Book", DOI: 10.1007/978-981-95-2844-8_13.

2009

  1. Nikolaus Hautsch & Yangguoyi Ou, 2009, "Stochastic Volatility Estimation Using Markov Chain Simulation," Springer Books, Springer, chapter 12, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck, "Applied Quantitative Finance", DOI: 10.1007/978-3-540-69179-2_12.
  2. Wolfgang Härdle & Nikolaus Hautsch & Uta Pigorsch, 2009, "Measuring and Modeling Risk Using High-Frequency Data," Springer Books, Springer, chapter 13, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck, "Applied Quantitative Finance", DOI: 10.1007/978-3-540-69179-2_13.
  3. Nikolaus Hautsch & Vahidin Jeleskovic, 2009, "High-Frequency Volatility and Liquidity," Springer Books, Springer, chapter 19, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck, "Applied Quantitative Finance", DOI: 10.1007/978-3-540-69179-2_19.
  4. Luc Bauwens & Nikolaus Hautsch, 2009, "Modelling Financial High Frequency Data Using Point Processes," Springer Books, Springer, chapter 41, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen, "Handbook of Financial Time Series", DOI: 10.1007/978-3-540-71297-8_41.
  5. Hannes Leeb & Benedikt M. Pötscher, 2009, "Model Selection," Springer Books, Springer, chapter 39, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen, "Handbook of Financial Time Series", DOI: 10.1007/978-3-540-71297-8_39.

2008

  1. Anthony D. Hall & Nikolaus Hautsch, 2008, "Order aggressiveness and order book dynamics," Studies in Empirical Economics, Springer, in: Luc Bauwens & Winfried Pohlmeier & David Veredas, "High Frequency Financial Econometrics", DOI: 10.1007/978-3-7908-1992-2_7.

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