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Modelling financial high frequency data using point processes

Bauwens, Luc; Hautsch, Nikolaus - In: Handbook of financial time series, (pp. 953-979). 2009

Persistent link: https://www.econbiz.de/10003834275

Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model

Hautsch, Nikolaus - In: Journal of economic dynamics & control 32 (2008) 12, pp. 3978-4015

Persistent link: https://www.econbiz.de/10003804813

Do high-frequency data improve high-dimensional portfolio allocations?

Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - In: Journal of applied econometrics 30 (2015) 2, pp. 263-290

Persistent link: https://www.econbiz.de/10011327609

Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence

Hautsch, Nikolaus; Podolskij, Mark - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 165-183

Persistent link: https://www.econbiz.de/10009754008

Predicting bid-ask spreads using long-memory autoregressive conditional poisson models

Groß-Klußmann, Axel; Hautsch, Nikolaus - In: Journal of forecasting 32 (2013) 8, pp. 724-742

Persistent link: https://www.econbiz.de/10010344462

Measuring and modeling risk using high-frequency data

Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - In: Applied quantitative finance, (pp. 275-293). 2009

Persistent link: https://www.econbiz.de/10003746412

Non-parametric estimation of intraday spot volatility : disentangling Instantaneous Trend and Seasonality

Vatter, Thibault; Wu, Hau-tieng; Chavez-Demoulin, Valérie - In: Econometrics : open access journal 3 (2015) 4, pp. 864-887

We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...

Persistent link: https://www.econbiz.de/10011411344

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