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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
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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
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Econometric analysis of financial transaction data : Pitfalls and opportunities
Hautsch, Nikolaus; Pohlmeier, Winfried - In: Allgemeines statistisches Archiv : AStA ; journal of … 86 (2002) 1, pp. 5-30
Persistent link: https://www.econbiz.de/10001650462
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Estimating the neighborhood influence on decision makers : theory and an application on the analysis of innovation decisions
Hautsch, Nikolaus; Klotz, Stefan - In: Journal of economic behavior & organization : JEBO 52 (2003) 1, pp. 97-113
Persistent link: https://www.econbiz.de/10001789306
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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
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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - In: Journal of economic dynamics & control 36 (2012) 4, pp. 501-522
Persistent link: https://www.econbiz.de/10009554343
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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
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - In: Journal of banking & finance 35 (2011) 10, pp. 2733-2746
Persistent link: https://www.econbiz.de/10009273874
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Stochastic volatility estimation using Markov chain simulation
Hautsch, Nikolaus; Ou, Yangguoyi - In: Applied quantitative finance, (pp. 249-274). 2009
Persistent link: https://www.econbiz.de/10003746411
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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