Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
Hautsch, Nikolaus, Kyj, Lada M., Malec, Peter
Published in Journal of applied econometrics (Chichester, England) (01.03.2015)
Published in Journal of applied econometrics (Chichester, England) (01.03.2015)
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Journal Article
Multivariate dynamic intensity peaks‐over‐threshold models
Hautsch, Nikolaus, Herrera, Rodrigo
Published in Journal of applied econometrics (Chichester, England) (01.03.2020)
Published in Journal of applied econometrics (Chichester, England) (01.03.2020)
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Journal Article
Maximum-Likelihood Estimation Using the Zig-Zag Algorithm
Hautsch, Nikolaus, Okhrin, Ostap, Ristig, Alexander
Published in Journal of financial econometrics (31.08.2023)
Published in Journal of financial econometrics (31.08.2023)
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Journal Article
Forecasting systemic impact in financial networks
Hautsch, Nikolaus, Schaumburg, Julia, Schienle, Melanie
Published in International journal of forecasting (01.07.2014)
Published in International journal of forecasting (01.07.2014)
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Journal Article
Systemic risk spillovers in the European banking and sovereign network
Betz, Frank, Hautsch, Nikolaus, Peltonen, Tuomas A., Schienle, Melanie
Published in Journal of financial stability (01.08.2016)
Published in Journal of financial stability (01.08.2016)
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Journal Article
Local mispricing and microstructural noise: A parametric perspective
Andersen, Torben G., Archakov, Ilya, Cebiroglu, Gökhan, Hautsch, Nikolaus
Published in Journal of econometrics (01.10.2022)
Published in Journal of econometrics (01.10.2022)
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Journal Article