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Auflistung nach Autor "Hautsch, Nikolaus"
Anzeige der Publikationen 21-30 von 30
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2012-02-09DiskussionspapierOn the Dark Side of the Market Hautsch, Nikolaus; Huang, RuihongTrading 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) ...
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2010-07-22DiskussionspapierPre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps Hautsch, Nikolaus; Podolskij, MarkThis paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible ...
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2011-07-12DiskussionspapierPredicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models Groß-Klußmann, Axel; Hautsch, NikolausWe introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading ...
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2008-03-11DiskussionspapierPrice Adjustment to News with Uncertain Precision Hautsch, Nikolaus; Hess, Dieter; Müller, ChristophBayesian 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 ...
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2009-12-09DiskussionspapierQuantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements Groß-Klußmann, Axel; Hautsch, NikolausWe examine intra-day market reactions to news in stock-specific sentiment disclosures. Using pre-processed data from an automated news analytics tool based on linguistic pattern recognition we extract information on the ...
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2008-12-02DiskussionspapierTesting Multiplicative Error Models Using Conditional Moment Tests Hautsch, NikolausWe suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean ...
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2010-01-13DiskussionspapierThe Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility Hautsch, Nikolaus; Hess, Dieter; Veredas, DavidWe study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ...
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2009-10-28DiskussionspapierThe Market Impact of a Limit Order Hautsch, Nikolaus; Huang, RuihongDespite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit ...
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2011-09-29DiskussionspapierThe Merit of High-Frequency Data in Portfolio Allocation Hautsch, Nikolaus; Kyj, Lada M.; Malec, PeterThis paper addresses the open debate about the effectiveness and practical relevance of highfrequency (HF) data in portfolio allocation. Our results demonstrate that when used with proper econometric models, HF data offers ...
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2008-07-31DiskussionspapierYield Curve Factors, Term Structure Volatility, and Bond Risk Premia Hautsch, Nikolaus; Ou, YangguoyiWe introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk ...