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A descriptive study of high-frequency trade and quote option data

Andersen, Torben; Archakov, Ilya; Grund, Leon; Hautsch, … - In: Journal of financial econometrics 19 (2021) 1, pp. 128-177

Persistent link: https://www.econbiz.de/10012504324

The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report

Hautsch, Nikolaus; Hess, Dieter - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2002

differences of opinion is left, and hence volatility is decreased. …

Persistent link: https://www.econbiz.de/10005146753

Volatility estimation on the basis of price intensities

Gerhard, Frank; Hautsch, Nikolaus - 1999

Persistent link: https://www.econbiz.de/10004587795

Econometrics of Financial High-Frequency Data

Hautsch, Nikolaus - 2012

Error Models -- 8 Modelling High-Frequency Volatility -- 9 Estimating Market Liquidity -- 10 Semiparametric Dynamic … settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure … driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal …