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Nikolaus Hautsch

Prof. of Finance and Statistics
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
  • Hautsch, N., Voigt, S., Large-S­cale Port­fo­lio Al­loc­a­tion un­der Trans­ac­tion Costs and Model Un­cer­tainty, Journal of Econo­met­rics, 212, 221-240, 2019.

  • Hautsch, N., Hor­vath, A., How Ef­fect­ive Are Trad­ing Pauses?, Journal of Fin­an­cial Eco­nom­ics, 131, 378-403, 2019.

  • Bibinger, M., Hautsch, N., Ma­lec, P., Re­iss, M., Es­tim­at­ing the Spot Co­v­ari­ation of As­set Prices – Stat­ist­ical The­ory and Em­pir­ical Evid­ence, Journal of Busi­ness & Eco­nomic Stat­ist­ics, 37(3), 419-435, 2019.

  • Hautsch, N., Schaum­burg, J., Schi­enle, M., 2015, Fin­an­cial Net­work Sys­temic Risk Con­tri­bu­tions, Re­view of Fin­ance 19(2), 685-738.

  • Bibinger, M., Hautsch, N., Ma­lec, P., Reiß, M., 2014, Es­tim­at­ing the quad­ratic co­v­ari­ation mat­rix from noisy ob­ser­va­tions: local method of mo­ments and ef­fi­ciency, An­nals of Stat­ist­ics 42(4), 1312-1346.

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

Rainer Jankowitsch
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