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Multivariate dynamic intensity peaks‐over‐threshold models
Hautsch, Nikolaus
;
Herrera, Rodrigo
- In:
Journal of Applied Econometrics
35
(
2019
)
2
,
pp. 248-272
Persistent link: https://www.econbiz.de/10012082875
Saved in:
2
A dynamic semiparametric proportional hazard model
Gerhard, Frank
;
Hautsch, Nikolaus
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
11
(
2007
)
2
,
pp. 1-40
Persistent link: https://www.econbiz.de/10009513031
Saved in:
3
Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?
Cebiroglu, Gökhan
;
Hautsch, Nikolaus
;
Horst, Ulrich
- In:
Market microstructure and liquidity
5
(
2019
)
1/4
,
pp. 1-52
Persistent link: https://www.econbiz.de/10012819933
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4
Counterparty credit limits : the impact of a risk-mitigation measure on everyday trading
Gould, Martin
;
Hautsch, Nikolaus
;
Howison, Sam
;
Porter, …
- In:
Applied mathematical finance
27
(
2020
)
6
,
pp. 520-548
Persistent link: https://www.econbiz.de/10012516170
Saved in:
5
Dynamic conditional correlation multiplicative error processes
Bodnar, Taras
;
Hautsch, Nikolaus
- In:
Journal of empirical finance
36
(
2016
),
pp. 41-67
Persistent link: https://www.econbiz.de/10011662746
Saved in:
6
Large-scale portfolio allocation under transaction costs and model uncertainty
Hautsch, Nikolaus
;
Voigt, Stefan
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 221-240
Persistent link: https://www.econbiz.de/10012303923
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7
Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
3
,
pp. 419-435
Persistent link: https://www.econbiz.de/10012178185
Saved in:
8
How effective are trading pauses?
Hautsch, Nikolaus
;
Horvath, Akos
- In:
Journal of financial economics
131
(
2019
)
2
,
pp. 378-403
Persistent link: https://www.econbiz.de/10012131565
Saved in:
9
Measuring and modeling risk using high-frequency data
Härdle, Wolfgang
;
Hautsch, Nikolaus
;
Pigorsch, U.
- In:
Applied quantitative finance
,
(pp. 279-294)
.
2017
Persistent link: https://www.econbiz.de/10011794967
Saved in:
10
Systemic risk spillovers in the European banking and sovereign network
Betz, Frank
;
Hautsch, Nikolaus
;
Peltonen, Tuomo
; …
- In:
Journal of financial stability
25
(
2016
),
pp. 206-224
Persistent link: https://www.econbiz.de/10011704905
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