Nikolaus Hautsch 个人学术档案

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	总计	2019 年至今
引用	4734	1996
h 指数	35	21
i10 指数	64	41

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Luc BauwensProfessor of Economics, Université catholique de Louvain在 uclouvain.be 的电子邮件经过验证
Julia SchaumburgProfessor of Econometric Methods and Applications, Vrije Universiteit Amsterdam在 vu.nl 的电子邮件经过验证
Markus BibingerJulius-Maximilians-Universität Würzburg在 mathematik.uni-wuerzburg.de 的电子邮件经过验证
Wolfgang Karl HärdleHumboldt-Universität zu Berlin, Ladislaus von Bortkiewicz Professor of Statistics在 hu-berlin.de 的电子邮件经过验证
Torben G. AndersenProfessor of Finance, Kellogg School, Northwestern University在 northwestern.edu 的电子邮件经过验证
Mark PodolskijProfessor of Probability and Statistics, University of Luxembourg在 uni.lu 的电子邮件经过验证
Ostap OkhrinTechnische Universität Dresden在 tu-dresden.de 的电子邮件经过验证
Roel OomenDeutsche Bank在 db.com 的电子邮件经过验证
David VeredasVlerick Business School在 vlerick.com 的电子邮件经过验证
Prof. Dr. Ingmar NolteProfessor of Finance and Econometrics, Lancaster University Management School, Lancaster University在 lancaster.ac.uk 的电子邮件经过验证
S. Sarah ZhangAlliance Manchester Business School在 manchester.ac.uk 的电子邮件经过验证
Winfried PohlmeierProfessor of Economics and Econometrics, University of Konstanz在 uni-konstanz.de 的电子邮件经过验证
Martin GouldThe University of Oxford在 maths.ox.ac.uk 的电子邮件经过验证
Sam HowisonOxford University在 maths.ox.ac.uk 的电子邮件经过验证
Mason PorterUCLA在 math.ucla.edu 的电子邮件经过验证
Joachim InkmannDepartment of Finance, University of Melbourne在 unimelb.edu.au 的电子邮件经过验证
Erik E. LehmannUniversity of Augsburg, Germany在 wiwi.uni-augsburg.de 的电子邮件经过验证
Andrija MihociGerman University in Cairo, Berlin School of Economics and Law

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Nikolaus Hautsch

Professor of Finance and Statistics, University of Vienna, Austria

在 univie.ac.at 的电子邮件经过验证 - 首页

Financial Econometrics - High-Frequency Finance - Volatility - Liquidity - Systemic Risk


标题按引用次数排序按年份排序按标题排序	引用次数引用次数	年份
Financial network systemic risk contributions N Hautsch, J Schaumburg, M Schienle Review of Finance 19 (2), 685-738, 2015	582	2015
When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions A Groß-Klußmann, N Hautsch Journal of Empirical Finance 18 (2), 321-340, 2011	371	2011
Modelling financial high frequency data using point processes L Bauwens, N Hautsch Handbook of financial time series, 953-979, 2009	312	2009
Econometrics of financial high-frequency data N Hautsch Springer Science & Business Media, 2011	270	2011
The market impact of a limit order N Hautsch, R Huang Journal of Economic Dynamics and Control 36 (4), 501-522, 2012	214	2012
Modelling irregularly spaced financial data: theory and practice of dynamic duration models N Hautsch Springer Science & Business Media, 2004	175	2004
Systemic risk spillovers in the European banking and sovereign network F Betz, N Hautsch, TA Peltonen, M Schienle Journal of Financial Stability 25, 206-224, 2016	169	2016
A blocking and regularization approach to high‐dimensional realized covariance estimation N Hautsch, LM Kyj, RCA Oomen Journal of Applied Econometrics 27 (4), 625-645, 2012	158	2012
Order aggressiveness and order book dynamics AD Hall, N Hautsch High Frequency Financial Econometrics: Recent Developments, 133-165, 2008	128	2008
Stochastic conditional intensity processes L Bauwens, N Hautsch Journal of Financial Econometrics 4 (3), 450-493, 2006	127	2006
Preaveraging-based estimation of quadratic variation in the presence of noise and jumps: theory, implementation, and empirical evidence N Hautsch, M Podolskij Journal of Business & Economic Statistics 31 (2), 165-183, 2013	116	2013
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency M Bibinger, N Hautsch, P Malec, M Reiß	109	2014
Forecasting systemic impact in financial networks N Hautsch, J Schaumburg, M Schienle International Journal of Forecasting 30 (3), 781-794, 2014	103	2014
Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery N Hautsch, D Hess Journal of Financial and Quantitative Analysis 42 (1), 189-208, 2007	102	2007
Do high‐frequency data improve high‐dimensional portfolio allocations? N Hautsch, LM Kyj, P Malec Journal of Applied Econometrics 30 (2), 263-290, 2015	99	2015
Modelling the buy and sell intensity in a limit order book market AD Hall, N Hautsch Journal of financial markets 10 (3), 249-286, 2007	85	2007
Estimating the spot covariation of asset prices—statistical theory and empirical evidence M Bibinger, N Hautsch, P Malec, M Reiss Journal of Business & Economic Statistics 37 (3), 419-435, 2019	72	2019
Capturing the zero: a new class of zero-augmented distributions and multiplicative error processes N Hautsch, P Malec, M Schienle Journal of Financial Econometrics 12 (1), 89-121, 2014	67	2014
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model N Hautsch Journal of Economic Dynamics and Control 32 (12), 3978-4015, 2008	66	2008
Volatility estimation on the basis of price intensities F Gerhard, N Hautsch Journal of Empirical Finance 9 (1), 57-89, 2002	66	2002

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