Nikolaus Hautsch
University of Vienna(AT)
Publications by Year
Research Areas
Financial Risk and Volatility Modeling, Financial Markets and Investment Strategies, Complex Systems and Time Series Analysis, Monetary Policy and Economic Impact, Market Dynamics and Volatility
Most-Cited Works
- → When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions(2010)278 cited
- → Econometrics of Financial High-Frequency Data(2011)193 cited
- → Modelling Financial High Frequency Data Using Point Processes(2009)181 cited
- → The market impact of a limit order(2011)149 cited
- → Systemic risk spillovers in the European banking and sovereign network(2015)143 cited
- → A blocking and regularization approach to high‐dimensional realized covariance estimation(2010)130 cited
- → Financial Network Systemic Risk Contributions(2013)130 cited
- → Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence(2013)112 cited
- → Modelling Irregularly Spaced Financial Data(2004)103 cited
- → Order aggressiveness and order book dynamics(2005)90 cited