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~subject:"Market microstructure"
~subject:"Theory"
~type_genre:"Aufsatz in Zeitschrift"
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Search: person:"Hautsch, Nikolaus"
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Market microstructure
Theory
Theorie
18
Estimation
16
Schätzung
16
Börsenkurs
15
Share price
15
Volatility
14
Volatilität
14
Marktmikrostruktur
7
Capital income
6
Handelsvolumen der Börse
6
Kapitaleinkommen
6
Securities trading
6
Trading volume
6
Wertpapierhandel
6
Estimation theory
5
Forecasting model
5
Prognoseverfahren
5
Schätztheorie
5
Time series analysis
5
Zeitreihenanalyse
5
ARCH model
4
ARCH-Modell
4
Bid-ask spread
4
Correlation
4
Geld-Brief-Spanne
4
Korrelation
4
Nichtparametrisches Verfahren
4
Nonparametric statistics
4
USA
4
United States
4
Ankündigungseffekt
3
Announcement effect
3
Australia
3
Australien
3
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3
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3
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3
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Article
21
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Aufsatz in Zeitschrift
Graue Literatur
62
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62
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61
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61
Article in journal
21
Aufsatz im Buch
5
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English
21
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Hautsch, Nikolaus
21
Hess, Dieter
3
Andersen, Torben
2
Archakov, Ilya
2
Cebiroglu, Gökhan
2
Härdle, Wolfgang
2
Malec, Peter
2
Mihoci, Andrija
2
Bauwens, Luc
1
Gerhard, Frank
1
Groß-Klußmann, Axel
1
Grund, Leon
1
Horst, Ulrich
1
Huang, Ruihong
1
Klotz, Stefan
1
Kyj, Lada M.
1
Li, Yifan
1
Manh Cuong Pham
1
Müller, Christoph
1
Nasekin, Sergey
1
Nolte, Ingmar
1
Ou, Yangguoyi
1
Podolskij, Mark
1
Pohlmeier, Winfried
1
Schienle, Melanie
1
Taylor, Stephen
1
Todorov, Viktor
1
Veredas, David
1
Voigt, Stefan
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Journal of applied econometrics
2
Journal of banking & finance
2
Journal of econometrics
2
Journal of economic dynamics & control
2
Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic behavior & organization : JEBO
1
Journal of empirical finance
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial econometrics
1
Journal of forecasting
1
Journal of international money and finance
1
Market microstructure and liquidity
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
21
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1
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
2
A descriptive study of high-frequency trade and quote option data
Andersen, Torben
;
Archakov, Ilya
;
Grund, Leon
;
Hautsch, …
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 128-177
Persistent link: https://www.econbiz.de/10012504324
Saved in:
3
Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?
Cebiroglu, Gökhan
;
Hautsch, Nikolaus
;
Horst, Ulrich
- In:
Market microstructure and liquidity
5
(
2019
)
1/4
,
pp. 1-52
Persistent link: https://www.econbiz.de/10012819933
Saved in:
4
Large-scale portfolio allocation under transaction costs and model uncertainty
Hautsch, Nikolaus
;
Voigt, Stefan
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 221-240
Persistent link: https://www.econbiz.de/10012303923
Saved in:
5
Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang
;
Hautsch, Nikolaus
;
Mihoci, Andrija
- In:
Journal of applied econometrics
30
(
2015
)
4
,
pp. 529-550
Persistent link: https://www.econbiz.de/10011332871
Saved in:
6
Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus
;
Kyj, Lada M.
;
Malec, Peter
- In:
Journal of applied econometrics
30
(
2015
)
2
,
pp. 263-290
Persistent link: https://www.econbiz.de/10011327609
Saved in:
7
Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus
;
Malec, Peter
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 89-121
Persistent link: https://www.econbiz.de/10010233604
Saved in:
8
Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus
;
Podolskij, Mark
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
2
,
pp. 165-183
Persistent link: https://www.econbiz.de/10009754008
Saved in:
9
Predicting bid-ask spreads using long-memory autoregressive conditional poisson models
Groß-Klußmann, Axel
;
Hautsch, Nikolaus
- In:
Journal of forecasting
32
(
2013
)
8
,
pp. 724-742
Persistent link: https://www.econbiz.de/10010344462
Saved in:
10
Analyzing interest rate risk : stochastic volatility in the term structure of government bond yields
Hautsch, Nikolaus
;
Ou, Yangguoyi
- In:
Journal of banking & finance
36
(
2012
)
11
,
pp. 2988-3007
Persistent link: https://www.econbiz.de/10009673006
Saved in:
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