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~person:"Hautsch, Nikolaus"
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Börsenkurs
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Cointegration
4
Wertpapierhandel
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cointegration
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impulse response function
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limit order
4
price impact
4
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Impulse Response Function
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Impulse response function
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Limit Order
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Hautsch, Nikolaus
Mirdala, Rajmund
36
Inoue, Atsushi
26
Kilian, Lutz
26
Gupta, Rangan
18
Jalles, João Tovar
16
Lütkepohl, Helmut
16
Antonakakis, Nikolaos
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Afonso, António
14
MIRDALA, Rajmund
14
Caporale, Guglielmo Maria
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Karanassou, Marika
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Moneta, Alessio
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Sheng, Xin
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Wolters, Jürgen
11
Brenner, Thomas
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Castelnuovo, Efrem
8
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Huang, Ruihong
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Kim, Hyeongwoo
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Mitze, Timo
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7
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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1
Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data
Hautsch, Nikolaus
;
Huang, Ruihong
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2011
, only very few market orders walk through the book, i.e., directly move the best ask or bid quote. Estimates of
impulse-response
…
Persistent link: https://www.econbiz.de/10009275679
Saved in:
2
Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data
Hautsch, Nikolaus
;
Huang, Ruihong
-
2011
, only very few market orders walk through the book, i.e., directly move the best ask or bid quote. Estimates of
impulse-response
…
Persistent link: https://www.econbiz.de/10010281582
Saved in:
3
The market impact of a limit order
Hautsch, Nikolaus
;
Huang, Ruihong
-
Center for Financial Studies
-
2009
estimated by means of appropriate
impulse
response
functions. Analyzing order book data of 30 stocks traded at Euronext …
Persistent link: https://www.econbiz.de/10010958747
Saved in:
4
The market impact of a limit order
Hautsch, Nikolaus
;
Huang, Ruihong
-
2009
estimated by means of appropriate
impulse
response
functions. Analyzing order book data of 30 stocks traded at Euronext …
Persistent link: https://www.econbiz.de/10010270722
Saved in:
5
The market impact of a limit order
Hautsch, Nikolaus
;
Huang, Ruihong
-
2009
estimated by means of appropriate
impulse
response
functions. Analyzing order book data of 30 stocks traded at Euronext …
Persistent link: https://www.econbiz.de/10010303710
Saved in:
6
The Market Impact of a Limit Order
Hautsch, Nikolaus
;
Huang, Ruihong
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2009
estimated by means of appropriate
impulse
response
functions. Analyzing order book data of 30 stocks traded at Euronext …
Persistent link: https://www.econbiz.de/10008577794
Saved in:
7
The market impact of a limit order
Hautsch, Nikolaus
;
Huang, Ruihong
- In:
Journal of Economic Dynamics and Control
36
(
2012
)
4
,
pp. 501-522
high-frequency cointegrated VAR model for quotes and order book depth. Estimating
impulse
response
functions based on data …
Persistent link: https://www.econbiz.de/10010574002
Saved in:
8
The market impact of a limit order
Hautsch, Nikolaus
;
Huang, Ruihong
- In:
Journal of economic dynamics & control
36
(
2012
)
4
,
pp. 501-522
Persistent link: https://www.econbiz.de/10009554343
Saved in:
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