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.