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

• Ander­sen, T. G., Archakov, I., Ce­biro­glu, G., Hautsch, N. (2022): Local Mis­pri­cing and Mi­cro­struc­tural Noise: A Para­met­ric Per­spect­ive". Journal of Econo­met­rics, 230 (2), 510-534, 2022

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

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

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

• 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.