Nikolaus Hautsch
Universität Wien
H-index: 35
Europe-Austria
Top articles of Nikolaus Hautsch
Title | Journal | Author(s) | Publication Date |
---|---|---|---|
Jump detection in high-frequency order prices | arXiv preprint arXiv:2403.00819 | Markus Bibinger Nikolaus Hautsch Alexander Ristig | 2024/2/26 |
Building trust takes time: limits to arbitrage for blockchain-based assets | Review of Finance (forthcoming) | Nikolaus Hautsch Christoph Scheuch Stefan Voigt | 2024 |
Maximum-likelihood estimation using the zig-zag algorithm | Journal of Financial Econometrics | Nikolaus Hautsch Ostap Okhrin Alexander Ristig | 2023/12/1 |
Corrigendum to “Local mispricing and microstructural noise: A parametric perspective”[J. Econometrics 230 (2022) 510–534,(S0304407621001780),(10.1016/j. jeconom. 2021.06. 006)] | Journal of Econometrics | Torben G Andersen Ilya Archakov Gökhan Cebiroglu Nikolaus Hautsch | 2023/2 |
Local mispricing and microstructural noise: A parametric perspective | Journal of Econometrics | Torben G Andersen Ilya Archakov Gökhan Cebiroglu Nikolaus Hautsch | 2022/10/1 |
Harnet: A convolutional neural network for realized volatility forecasting | arXiv preprint arXiv:2205.07719 | Rafael Reisenhofer Xandro Bayer Nikolaus Hautsch | 2022/5/16 |
A descriptive study of high-frequency trade and quote option data | Journal of Financial Econometrics | Torben G Andersen Ilya Archakov Leon Eric Grund Nikolaus Hautsch Yifan Li | 2021/1/6 |
Counterparty credit limits: The impact of a risk-mitigation measure on everyday trading | Applied Mathematical Finance | Martin D Gould Nikolaus Hautsch Sam D Howison Mason A Porter | 2020/11/1 |
Multivariate dynamic intensity peaks‐over‐threshold models | Journal of Applied Econometrics | Nikolaus Hautsch Rodrigo Herrera | 2020/3 |