← All authors Nikolaus Hautsch University of Vienna (from arXiv:2205.07719, 2022) · ORCID · OpenAlex
40 papers in scope · 39 published · 2 on the econ.EM arXiv · 2,021 citations · h-index 24 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Jasper Rennspies Sina Streicher Jeannine Polivka Roxana Halbleib Rafael Reisenhofer Xandro Bayer Timo Dimitriadis Yasin Şimşek Andrew J. Patton Yannick Hoga Tobias Fissler Julie Schnaitmann Xiaochun Liu Marius Puke Aygul Zagidullina Winfried Pohlmeier Johanna F. Ziegel Oğuzhan Akgün Alain Pirotte Zhenlin Yang Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 40)
Jump detection in high-frequency order prices
published 2025 · Journal of Econometrics · 1 citations · first circulated 2024
with Markus Bibinger, Alexander Ristig
Consistent estimation of the high-dimensional efficient frontier
published 2025 · European Journal of Finance · 3 citations · first circulated 2024
with Taras Bodnar, Yarema Okhrin, Nestor Parolya
Building trust takes time: limits to arbitrage for blockchain-based assets
published 2024 · European Finance Review · 33 citations · first circulated 2018
with Christoph Scheuch, Stefan Voigt
working paper 2022 · arXiv · 21 citations
Maximum-Likelihood Estimation Using the Zig-Zag Algorithm
published 2022 · Journal of Financial Econometrics · 6 citations
Local mispricing and microstructural noise: A parametric perspective” [J. Econometrics 230 (2022) 510–534
published 2021 · Journal of Econometrics · 22 citations
published 2020 · Applied Mathematical Finance · 1 citations · first circulated 2017
A Descriptive Study of High-Frequency Trade and Quote Option Data*
published 2020 · Journal of Financial Econometrics · 29 citations · first circulated 2019
Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?
published 2019 · Market Microstructure and Liquidity · 3 citations · first circulated 2014
with Gökhan Cebiroğlu, Ulrich Horst, GGkhan Cebiroglu
Multivariate dynamic intensity peaks‐over‐threshold models
published 2019 · Journal of Applied Econometrics · 3 citations · first circulated 2015
with Rodrigo Herrera
Large-scale portfolio allocation under transaction costs and model uncertainty
published 2019 · Journal of Econometrics · 47 citations · first circulated 2017
with Stefan Voigt
How effective are trading pauses?
published 2018 · Journal of Financial Economics · first circulated 2016
with Ákos Horváth
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
published 2017 · Journal of Business and Economic Statistics · 23 citations · first circulated 2014
with Markus Bibinger, Peter Malec, Markus Reiß
Dynamic conditional correlation multiplicative error processes
published 2015 · Journal of Empirical Finance · 17 citations · first circulated 2012
with Taras Bodnar
Systemic risk spillovers in the European banking and sovereign network
published 2015 · Journal of Financial Stability · 144 citations · first circulated 2014
Financial Network Systemic Risk Contributions
published 2014 · European Finance Review · 131 citations · first circulated 2013
Local Adaptive Multiplicative Error Models for High-Frequency Forecasts
published 2014 · Journal of Applied Econometrics · 45 citations · first circulated 2012
Forecasting systemic impact in financial networks
published 2014 · International Journal of Forecasting · 66 citations · first circulated 2013
Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
published 2013 · Journal of Applied Econometrics · 82 citations
with Lada M. Kyj, Peter Malec
Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models
published 2013 · Journal of Forecasting · 30 citations · first circulated 2011
with Axel Groß-Klußmann
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes
published 2013 · Journal of Financial Econometrics · 21 citations · first circulated 2011
Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
published 2013 · Journal of Business and Economic Statistics · 113 citations
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields
published 2012 · Journal of Banking & Finance · 27 citations · first circulated 2009
with Yangguoyi Ou
Modelling and forecasting liquidity supply using semiparametric factor dynamics
published 2012 · Journal of Empirical Finance · 38 citations · first circulated 2009
The market impact of a limit order
published 2011 · Journal of Economic Dynamics and Control · 150 citations · first circulated 2009
with Ruihong Huang
Price adjustment to news with uncertain precision
published 2011 · Journal of International Money and Finance · 12 citations · first circulated 2008
with Dieter Hess, Christoph Müller
The impact of macroeconomic news on quote adjustments, noise, and informational volatility
published 2011 · Journal of Banking & Finance · 63 citations · first circulated 2010
with Dieter Hess, David Veredas
When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions
published 2010 · Journal of Empirical Finance · 281 citations · first circulated 2009
with Axel Groß-Klußmann
A blocking and regularization approach to high‐dimensional realized covariance estimation
published 2010 · Journal of Applied Econometrics · 132 citations · first circulated 2009
with Lada M. Kyj, Roel C. A. Oomen
Bayesian inference in a Stochastic Volatility Nelson–Siegel model
published 2010 · Computational Statistics & Data Analysis · 54 citations
with Fuyu Yang
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
published 2008 · Journal of Economic Dynamics and Control · 57 citations · first circulated 2007
Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery
published 2007 · Journal of Financial and Quantitative Analysis · 23 citations · first circulated 2004
with Dieter Hess
Modelling the buy and sell intensity in a limit order book market
published 2007 · Journal of Financial Markets · 77 citations
with Anthony Hall, Tony Hall
A Dynamic Semiparametric Proportional Hazard Model
published 2007 · Studies in Nonlinear Dynamics and Econometrics · 11 citations · first circulated 2006
with Frank Gerhard
Order aggressiveness and order book dynamics
published 2005 · Empirical Economics · 90 citations · first circulated 2004
with Anthony Hall, Tony Hall
Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations
published 2003 · Journal of Asset Management · 7 citations · first circulated 2002
with Joachim Inkmann
Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities
published 2003 · Journal of Financial Econometrics · 39 citations
Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions
published 2002 · 26 citations · first circulated 2001
with Stefan Klotz
The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report
published 2002 · European Finance Review · 42 citations
with Dieter Hess
Volatility estimation on the basis of price intensities
published 2002 · Journal of Empirical Finance · 51 citations · first circulated 1999
with Frank Gerhard
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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