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Evidence on unemployment, market work and household production

Burda, Michael C.; Hamermesh, Daniel S. - 2009

Time-diary data from four countries suggest that differences in market time between the unemployed and employed represent additional leisure and personal maintenance rather than increased household production. U.S. data for 2003-2006 show that almost none of the reduction in market work in areas...

Persistent link: https://www.econbiz.de/10010270733

Monetary policy implementation and overnight rate persistence

Nautz, Dieter; Scheithauer, Jan - 2009

Overnight money market rates are the predominant operational target of monetary policy. As a consequence, central banks have redesigned the implementation of monetary policy to keep the deviations of the overnight rate from the key policy rate small and short-lived. This paper uses fractional...

Persistent link: https://www.econbiz.de/10010270829

Price adjustment to news with uncertain precision

Hautsch, Nikolaus; Hess, Dieter E.; Müller, Christoph - 2008

Bayesian learning provides a core concept of information processing in financial markets. Typically it is assumed that market participants perfectly know the quality of released news. However, in practice, news' precision is rarely disclosed. Therefore, we extend standard Bayesian learning...

Persistent link: https://www.econbiz.de/10010274280

Meteorological forecasts and the pricing of weather derivatives

Ritter, Matthias; Mußhoff, Oliver; Odening, Martin - 2010

In usual pricing approaches for weather derivatives, forward-looking information such as meteorological weather forecasts is not considered. Thus, important knowledge used by market participants is ignored in theory. By extending a standard model for the daily temperature, this paper allows the...

Persistent link: https://www.econbiz.de/10010281477

Financial network systemic risk contributions

Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - 2011

We propose the systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define the...

Persistent link: https://www.econbiz.de/10010281566

Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data

Hautsch, Nikolaus; Huang, Ruihong - 2011

In this paper, we provide new empirical evidence on order submission activity and price impacts of limit orders at NASDAQ. Employing NASDAQ TotalView-ITCH data, we find that market participants dominantly submit limit orders with sizes equal to a round lot. Most limit orders are canceled almost...

Persistent link: https://www.econbiz.de/10010281582

On the dark side of the market: Identifying and analyzing hidden order placements

Hautsch, Nikolaus; Huang, Ruihong - 2012

Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...

Persistent link: https://www.econbiz.de/10010281585

Copula-based dynamic conditional correlation multiplicative error processes

Bodnar, Taras; Hautsch, Nikolaus - 2012

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables' conditional mean processes using a multiplicative error model we map the resulting...

Persistent link: https://www.econbiz.de/10010318750

Modeling time-varying dependencies between positive-valued high-frequency time series

Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - 2012

, realized volatilities and trading volumes. The parametric estimation of the corresponding multivariate model, the so … distribution functions on Rd + defined via a copula. Maximum likelihood estimation is based on the assumption of constant copula … identified intervals of homogenous dependence. This paper summarizes the important aspects of (V)MEM, its estimation and a …

Persistent link: https://www.econbiz.de/10010318757

Financial network systemic risk contributions

Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - 2012

We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we...

Persistent link: https://www.econbiz.de/10010318787