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Publications by Nikolaus Hautsch

Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence

Journal of Business and Economic Statistics

Social Sciences

English

A Blocking and Regularization Approach to High-Dimensional Realized Covariance Estimation

Journal of Applied Econometrics

Social Sciences

English

Analyzing Interest Rate Risk: Stochastic Volatility in the Term Structure of Government Bond Yields

Journal of Banking and Finance

English

Financial Network Systemic Risk Contributions

SSRN Electronic Journal

English

Limit Order Flow, Market Impact, and Optimal Order Sizes: Evidence From NASDAQ TotalView-ITCH Data

English

Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions

Journal of Economic Behavior and Organization

Human Resource Management

Organizational Behavior

English

Modelling Financial High Frequency Data Using Point Processes

SSRN Electronic Journal

English

Semiparametric Autoregressive Conditional Proportional Hazard Models

SSRN Electronic Journal

English

Order Aggressiveness and Order Book Dynamics

SSRN Electronic Journal

English

Modelling Financial High Frequency Data Using Point Processes

English