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Browsing by Author "Hautsch, Nikolaus"
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2009-10-21DiskussionspapierA blocking and regularization approach to high dimensional realized covariance estimation Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A.We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we ...
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2010-01-13DiskussionspapierBayesian Inference in a Stochastic Volatility Nelson-Siegel Model Hautsch, Nikolaus; Yang, FuyuIn this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for ...
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2007-09-05DiskussionspapierCapturing Common Components in High-Frequency Financial Time Series Hautsch, NikolausWe introduce a multivariate multiplicative error model which is driven by component- specific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for ...
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2010-11-18DiskussionspapierCapturing the Zero Schienle, Melanie; Malec, Peter; Hautsch, NikolausWe propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, ...
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2012-07-12DiskussionspapierCopula-Based Dynamic Conditional Correlation Multiplicative Error Processes Bodnar, Taras; Hautsch, NikolausWe 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 ...
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2008-10-01DiskussionspapierDiscrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference Hautsch, Nikolaus; Ou, YangguoyiIn this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. ...
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2013-03-08DiskussionspapierDo High-Frequency Data Improve High-Dimensional Portfolio Allocations? Hautsch, Nikolaus; Kyj, Lada M.; Malec, PeterThis paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents ...
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2014-01-27DiskussionspapierEfficient Iterative Maximum Likelihood Estimation ofHigh-Parameterized Time Series Models Hautsch, Nikolaus; Okhrin, Ostap; Ristig, AlexanderWe propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient ...
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2013-04-25DiskussionspapierEstimating the Quadratic Covariation Matrix from Noisy Observations Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; Reiss, MarkusAn efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. ...
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2014-11-08DiskussionspapierEstimating the SpotCovariation of Asset Prices Bibinger, Markus; Reiss, Markus; Hautsch, Nikolaus; Malec, PeterWe propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed ...
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2012-08-31DiskussionspapierFinancial Network Systemic Risk Contributions Hautsch, Nikolaus; Schaumburg, Julia; Schienle, MelanieWe 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 ...
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2011-10-26DiskussionspapierFinancial Network Systemic Risk Contributions Hautsch, Nikolaus; Schaumburg, Julia; Schienle, MelanieWe 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 ...
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2013-01-30DiskussionspapierForecasting systemic impact in financial networks Hautsch, Nikolaus; Schaumburg, Julia; Schienle, MelanieWe propose a methodology for forecasting the systemic impact of financial institutions in interconnected systems. Utilizing a five-year sample including the 2008/9 financial crisis, we demonstrate how the approach can be ...
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2011-08-25DiskussionspapierLimit Order Flow, Market Impact and Optimal OrderSizes Hautsch, Nikolaus; Huang, RuihongIn 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 ...
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2012-04-27DiskussionspapierLocal Adaptive Multiplicative Error Models for High-Frequency Forecasts Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, AndrijaWe propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local ...
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2008-06-26DiskussionspapierMeasuring and Modeling Risk Using High-Frequency Data Härdle, Wolfgang Karl; Hautsch, Nikolaus; Pigorsch, UtaMeasuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, ...
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2012-09-12DiskussionspapierModeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series Hautsch, Nikolaus; Okhrin, Ostap; Ristig, AlexanderMultiplicative error models (MEM) became a standard tool for modeling conditional durations of intraday transactions, realized volatilities and trading volumes. The parametric estimation of the corresponding multivariate ...
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2009-09-16DiskussionspapierModelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, AndrijaWe model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding ...
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2007-12-10DiskussionspapierModelling Financial High Frequency Data Using Point Processes Bauwens, Luc; Hautsch, NikolausIn this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading ...
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2008-07-08DiskussionspapierModelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models Hautsch, Nikolaus; Jeleskovic, VahidinIn this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as trading costs in an electronic limit order book market. Using data from the Australian Stock Exchange we ...
