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., 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.