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Hautsch, Nikolaus
32  Ergebnisse:
E-Books X
Personensuche X
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1

Estimating the spot covariation of asset prices 

statistical theory and empirical evidence  SFB 649 discussion paper ; 2014-055
Bibinger, Markus ; Hautsch, Nikolaus ; Malec, Peter. , 2014
Link: http://hdl.handle.net/10..
 
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2

Efficient iterative maximum likelihood estimation of high-p.. 

SFB 649 discussion paper ; 2014-010
Hautsch, Nikolaus ; Ristig, Alexander , 2014
Link: http://hdl.handle.net/10..
 
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3

Estimating the quadratic covariation matrix from noisy obse.. 

local method of moments and efficiency  SFB 649 discussion paper ; 2013-017
Malec, Peter ; Bibinger, Markus ; Hautsch, Nikolaus. , 2013
Link: http://hdl.handle.net/10..
 
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4

Do high-frequency data improve high-dimensional portfolio a.. 

SFB 649 discussion paper ; 2013-014
Hautsch, Nikolaus ; Kyj, Lada. M. ; Malec, Peter - First version: September 2011, This version: February 2013 . , 2013
Link: http://hdl.handle.net/10..
 
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5

Forecasting systemic impact in financial networks 

SFB 649 discussion paper ; 2013-008
Hautsch, Nikolaus ; Schaumburg, Julia , 2013
Link: http://hdl.handle.net/10..
 
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6

On the dark side of the market 

identifying and analyzing hidden order placements  SFB 649 discussion paper ; 2012-014
Hautsch, Nikolaus - First Version: December 2010, This Version: January 2012 . , 2012
Link: http://hdl.handle.net/10..
 
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7

Local adaptive multiplicative error models for high-frequen.. 

SFB 649 discussion paper ; 2012-031
Härdle, Wolfgang ; Mihoci, Andrija , 2012
Link: http://hdl.handle.net/10..
 
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8

Copula-based dynamic conditional correlation multiplicative.. 

SFB 649 discussion paper ; 2012-044
Bodnar, Taras , 2012
Link: http://hdl.handle.net/10..
 
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9

Modeling time-varying dependencies between positive-valued .. 

SFB 649 discussion paper ; 2012-054
Hautsch, Nikolaus ; Ristig, Alexander , 2012
Link: http://hdl.handle.net/10..
 
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10

Financial network systemic risk contributions 

SFB 649 discussion paper ; 2012-053
Hautsch, Nikolaus ; Schaumburg, Julia , 2012
Link: http://hdl.handle.net/10..
 
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11

Financial network systemic risk contributions 

SFB 649 discussion paper ; 2011-072
Hautsch, Nikolaus ; Schaumburg, Julia , 2011
Link: http://hdl.handle.net/10..
 
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12

Limit order flow, market impact and optimal order sizes 

evidence from NASDAQ TotalView-ITCH data  SFB 649 discussion paper ; 2011-056
Hautsch, Nikolaus ; Huang, Ruihong , 2011
Link: http://hdl.handle.net/10..
 
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13

Predicting bid-ask spreads using long memory autoregressive.. 

SFB 649 discussion paper ; 2011-044
Groß-Klußmann, Axel - This version: July 2011 . , 2011
Link: http://hdl.handle.net/10..
 
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14

The merit of high-frequency data in portfolio allocation 

SFB 649 discussion paper ; 2011-059
Hautsch, Nikolaus ; Kyj, Lada M. ; Malec, Peter , 2011
Link: http://hdl.handle.net/10..
 
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15

Capturing the zero 

a new class of zero-augmented distributions and multiplicat...  SFB 649 discussion paper ; 2010-055
Hautsch, Nikolaus ; Malec, Peter , 2010
Link: http://hdl.handle.net/10..
 
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