Nikolaus Hautsch

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., Hor­vath, A., forth­com­ing, How Ef­fect­ive Are Trad­ing Pauses?, Journal of Fin­an­cial Eco­nom­ics

• Bibinger, M., Hautsch, N., Ma­lec, P., Re­iss, M., forth­com­ing, Es­tim­at­ing the Spot Co­v­ari­ation of As­set Prices – Stat­ist­ical The­ory and Em­pir­ical Evid­ence, Journal of Busi­ness & Eco­nomic Stat­ist­ics

• Betz, F., Hautsch, N., Peltonen, TA., Schi­enle, M., 2016, Sys­temic Risk Spillovers in the European Bank­ing and Sov­er­eign Net­work, Journal of Fin­an­cial Sta­bil­ity 25, 206-224.

• 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.