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Forecasting financial market volatility : sample frequency vis-à-vis forecast horizon
Andersen, Torben; Bollerslev, Tim; Lange, Steve - In: Journal of empirical finance 6 (1999) 5, pp. 457-477
Persistent link: https://www.econbiz.de/10001505784
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Volatility estimation on the basis of price intensities
Gerhard, Frank; Hautsch, Nikolaus - In: Journal of empirical finance 9 (2002) 1, pp. 57-90
Persistent link: https://www.econbiz.de/10007237013
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - In: Journal of empirical finance 19 (2012) 4, pp. 610-626
Persistent link: https://www.econbiz.de/10009996259
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When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions
Groß-Klußmann, Axel; Hautsch, Nikolaus - In: Journal of empirical finance 18 (2011) 2, pp. 321-341
Persistent link: https://www.econbiz.de/10008849035
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When machines read the news : using automated text analytics to quantify high frequency news-implied market reactions
Groß-Klußmann, Axel; Hautsch, Nikolaus - In: Journal of empirical finance 18 (2011) 2, pp. 321-340
Persistent link: https://www.econbiz.de/10009301114
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - In: Journal of empirical finance 19 (2012) 4, pp. 610-625
Persistent link: https://www.econbiz.de/10009615658
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Dynamic conditional correlation multiplicative error processes
Bodnar, Taras; Hautsch, Nikolaus - In: Journal of empirical finance 36 (2016), pp. 41-67
Persistent link: https://www.econbiz.de/10011662746