Nikolaus Hautsch

Contact Details:

Email: nikolaus.hautsch@univie.ac.at
Personal Homepage

Professor at the Department of Statistics and Operations Research, University of Vienna

Research Interests:
Financial econometrics, financial high-frequency data, market microstructure analysis, estimation of volatility and correlation, liquidity and order book modeling, systemic risk analysis, financial network analysis

Selected Publications:

"How Effective Are Trading Pauses?" (with Akos Horvath), Journal of Financial Economics, forthcoming

“Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence” (with Markus Bibinger, Peter Malec and Markus Reiss), Journal of Business & Economic Statistics, forthcoming.

"Systemic Risk Spillovers in the European Banking and Sovereign Network"  (with Frank Betz, Tuomas Peltonen and Melanie Schienle), Journal of Financial Stability, 25, 206-224, 2016.

"Financial Network Systemic Risk Contributions"  (with Julia Schaumburg and Melanie Schienle), Review of Finance, 19 (2), 685-738, 2015. 

"Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency"  (with Markus Bibinger, Peter Malec and Markus Reiß), Annals of Statistics, 42 (4), 1312-1346, 2014. 

"Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence" (with Mark Podolskij), Journal of Business & Economic Statistics, 31 (2), 165-183, 2013.