Search Results - "HAUTSCH, NIKOLAUS"

Estimating the Spot Covariation of Asset Prices-Statistical Theory and Empirical Evidence by Bibinger, Markus, Hautsch, Nikolaus, Malec, Peter, Reiss, Markus

“…We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semimartingale log asset price process, which is subject to noise…”
Get full text

ESTIMATING THE QUADRATIC COVARIATION MATRIX FROM NOISY OBSERVATIONS: LOCAL METHOD OF MOMENTS AND EFFICIENCY by Bibinger, Markus, Hautsch, Nikolaus, Malec, Peter, Reiss, Markus

“…An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy…”
Get full text

When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions by Groß-Klußmann, Axel, Hautsch, Nikolaus

“…We examine high-frequency market reactions to an intraday stock-specific news flow. Using unique pre-processed data from an automated news analytics tool based…”
Get full text

Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? by Hautsch, Nikolaus, Kyj, Lada M., Malec, Peter

“…This paper addresses the debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We construct global minimum variance…”
Get full text

A blocking and regularization approach to high-dimensional realized covariance estimation by Hautsch, Nikolaus, Kyj, Lada M., Oomen, Roel C. A.

“…We introduce a blocking and regularization approach to estimate high-dimensional covariances using high-frequency data. Assets are first grouped according to…”
Get full text

An updated concept of the polarization index enables the integration of three intensity zones in one number and identifies polarized training in an extended definition range by Treff, Gunnar, Staudner, Judith, Bayer, Xandro, Hautsch, Nikolaus, Möller, Thorsten, Petersen, Philipp

“…Introduction Polarized endurance training is an important and frequently discussed training intensity distribution (TID). The polarized TID is described as the…”
Get full text

Large-scale portfolio allocation under transaction costs and model uncertainty by Hautsch, Nikolaus, Voigt, Stefan

“…We theoretically and empirically study portfolio optimization under transaction costs and establish a link between turnover penalization and covariance…”
Get full text

How effective are trading pauses? by Hautsch, Nikolaus, Horvath, Akos

“…Exploiting Nasdaq order book data and difference-in-differences methodology, we identify the distinct effects of trading pause mechanisms introduced on…”
Get full text

The market impact of a limit order by Hautsch, Nikolaus, Huang, Ruihong

“…We quantify the short-run and long-run price effect of posting a limit order in an order book market by proposing a high-frequency cointegrated VAR model for…”
Get full text

Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence by Hautsch, Nikolaus, Podolskij, Mark

“…This article contributes to the theory for preaveraging estimators of the daily quadratic variation of asset prices and provides novel empirical evidence. We…”
Get full text

Multivariate dynamic intensity peaks‐over‐threshold models by Hautsch, Nikolaus, Herrera, Rodrigo

“…Summary We propose a multivariate dynamic intensity peaks‐over‐threshold model to capture extremes in multivariate return processes. The random occurrence of…”
Get full text

Financial Network Systemic Risk Contributions by Hautsch, N., Schaumburg, J., Schienle, M.

“…We propose the realized systemic risk beta as a measure of financial companies' contribution to systemic risk, given network interdependence between firms'…”
Get full text

Building trust takes time: limits to arbitrage for blockchain-based assets by Hautsch, Nikolaus, Scheuch, Christoph, Voigt, Stefan

“…Abstract A blockchain replaces central counterparties with time-consuming consensus protocols to record the transfer of ownership. This settlement latency…”
Get full text

Maximum-Likelihood Estimation Using the Zig-Zag Algorithm by Hautsch, Nikolaus, Okhrin, Ostap, Ristig, Alexander

“…Abstract We analyze the properties of the Maximum Likelihood (ML) estimator when the underlying log-likelihood function is numerically maximized with the…”
Get full text

Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions by Hautsch, Nikolaus, Klotz, Stefan

“…When making decisions, agents tend to make use of decisions others have made in similar situations. Ignoring this behavior in empirical models can be…”
Get full text

Bayesian inference in a Stochastic Volatility Nelson–Siegel model by Hautsch, Nikolaus, Yang, Fuyu

“…Bayesian inference is developed and applied for an extended Nelson–Siegel term structure model capturing interest rate risk. The so-called Stochastic…”
Get full text

Forecasting systemic impact in financial networks by Hautsch, Nikolaus, Schaumburg, Julia, Schienle, Melanie

“…We propose a methodology for forecasting the systemic impact of financial institutions in interconnected systems. Utilizing a five-year sample including the…”
Get full text

Order aggressiveness and order book dynamics by Hall, Anthony D., Hautsch, Nikolaus

“…In this paper, we study the determinants of order aggressiveness and traders' order submission strategy in an open limit order book market. Applying an order…”
Get full text

Dynamic conditional correlation multiplicative error processes by Bodnar, Taras, Hautsch, Nikolaus

“…We introduce a dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and…”
Get full text

Systemic risk spillovers in the European banking and sovereign network by Betz, Frank, Hautsch, Nikolaus, Peltonen, Tuomas A., Schienle, Melanie

“…•We present a framework for estimating and visualizing network-driven time-varying systemic risk contributions.•It explicitly links bank interconnectedness to…”
Get full text