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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …
Persistent link: https://www.econbiz.de/10003770817
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Applied quantitative finance
Härdle, Wolfgang (ed.); Hautsch, Nikolaus (ed.);  … - 2009 - 2. ed.
Persistent link: https://www.econbiz.de/10003719524
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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
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Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
Hautsch, Nikolaus - 2013
models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …
Persistent link: https://www.econbiz.de/10013085726
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Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus; Kyj, Lada. M.; Malec, Peter - 2013 - First version: September 2011, This version: February 2013
models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …
Persistent link: https://www.econbiz.de/10009714536
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Does Hidden Liquidity Harm Price Efficiency?
Cebiroglu, Gökhan - 2014
We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Large investors can trade in either the primary market or the off-exchange market and induce liquidity externalities. Liquidity suppliers in the primary market face a trade-off between...
Persistent link: https://www.econbiz.de/10013063352
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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus; Ou, Yangguoyi - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and …
Persistent link: https://www.econbiz.de/10010263750
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The processing of non-anticipated information in financial markets : analyzing the impact of surprises in the employment report
Hautsch, Nikolaus; Hess, Dieter - 2002
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10011544322
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A mean variance king? : creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus; Hess, Dieter - 2001
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10011446937
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How effective are trading pauses?
Hautsch, Nikolaus; Horvath, Akos - 2017 - This draft: April 2017
have a "cool off" effect on markets, but rather accelerate volatility and bid-ask spreads. This implies a regulatory trade …
Persistent link: https://www.econbiz.de/10011642607