Humboldt-Universität zu Berlin - Wirtschaftswissen\=schaftliche Fakultät

From all Staff Members since 2006

Publications

• Härdle, K.W., Hautsch, N. and Mihoci, A. (2012): "Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics", forthcoming Journal of Empirical Finance
• M. Schienle (joint with Enno Mammen and Christoph Rothe) (2012): "Nonparametric Regression with Nonparametrically Generated Regressors", forthcoming The Annals of Statistics
• Schaumburg J. (2012): "Predicting exteme VaR: Nonparametric quantile regression with refinements from extreme value theory", forthcoming Computational Statistics and Data Analysis
• Nikolaus Hautsch and Ruihong Huang (2012): "The Market Impact of a Limit Order", Journal of Economic Dynamics and Control, 2012
• Nikolaus Hautsch (2012): "Econometrics of Financial High Frequency Data", Springer, Berlin.
• Lottmann, F. (2012): "Spatial Dependencies in German Matching Functions", Regional Science and Urban Economics, 42, 27-41.
• Nikolaus Hautsch (2011): "Price Adjustment to News with Uncertain Precision" (with Dieter Hess and Christoph Müller), Journal of International Money and Finance, 2011
• Nikolaus Hautsch and Ruihong Huang (2011): "Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data", in: "Market Microstructure: Confronting Many Viewpoints - Conference Proceedings", F. Abergel, J.-P. Bouchard, T. Foucault, C. Lehal, M. Rosenbaum (eds.), Wiley Intersciences            
• Karaman-Örsal, D. and Droge, B. (2011): Corrigendum to "Likelihood-Based Cointegration Tests in Heterogeneous Panels", Econometrics Journal, 14, 121-125
• Nikolaus Hautsch, Dieter Hess and David Veredas (2011): “The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility”, Journal of Banking and Finance, 35 (10), 2733-2746
• Axel Groß-Klußmann and Nikolaus Hautsch (2011): "When machines Read the News: Using Automated Text Analytics to Quantify  High Frequency News-Implied Market Reactions", Journal of Empirical Finance, 18 (2), 321-340.
• Nikolaus Hautsch, Lada M. Kyj, Roel C.A. Oomen (2010): “A blocking and regularization approach to high dimensional realized covariance estimation”, Journal of Applied Econometrics, in press

• Hautsch, N. and Yang, F. (2010): "Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model", Computational Statistics and Data Analysis, in press

• Schienle, M., Grith, M. and Härdle, W. (2010): Nonparametric Estimation of Risk-Neutral Densities. in Handbook of Computational Finance, forthcoming
• Yang, F. and Leon-Gonzales, R. (2010). "Bayesian Estimation and Model Selection in the Generalized Stochastic Unit Root Model." Studies in Nonlinear Dynamics & Econometrics, 14 (4), Article 5

• Bauwens, L. and Hautsch, N. (2009). Modelling Financial High Frequency Data Using Point Processes. In: Handbook of Financial Time Series, T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch (eds), Springer.

• Winschel, V., Krätzig, M. (2009). Solving, Estimating and Selecting Ninlinear Dynamic Models without the Curse of Dimensionality, In: Econometrica, Vol. 78(2), 803-821

• Blaskowitz, O., Herwartz, H. (2008). Adaptive Forecasting of the EURIBOR Swap Term Structure. In: Journal of Forecasting, 28(7), 575-594.
• Blaskowitz, O., Herwartz, H. (2008). PCA Based Ex-Ante Forecasting of Swap Term Structures. In: International Journal of Theoretical and Applied Finance, 12(4), 465-489.
• Härdle, W., Hautsch, N. and Overbeck, L. (2008). Applied Quantitative Finance. 2nd ed., Springer, Berlin.
• Hautsch N. (2008). Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model. Journal of Economic Dynamics and Control, 32, 3978-4009.
• Hautsch, N. and Ou, Y. (2008). Modelling Financial Returns with Stochastic Volatility. In: Applied Quantitative Finance, 2nd, W.Härdle, N. Hautsch and L. Overbeck (eds)., Springer, Berlin.
• Örsal, D. D. K. (2008). Comparison of Panel Cointegration Tests. Economics Bulletin, Vol. 3(6), 1-20.
• Brüggemann, R. and Trenkler, C. (2007). Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary, and Poland. Applied Economics Letters, 14(4), 245-249.
• Gerhard, F. and Hautsch, N. (2007): "A Dynamic Semiparametric Proportional Hazard Model", Studies in Nonlinear Dynamics & Econometrics, 11(2), Article 1
• Hall, A. D. and Hautsch, N. (2007). Modelling the Buy and Sell Intensity in a Limit Order Book Market. Journal of Financial Markets, 10(3), 249-286.
• Hautsch, N. and Hess, D. (2007). Bayesian Learning in Financial Markets - Testing for the Relevance of Information Precision in Price Discovery. Journal of Financial and Quantitative Analysis, 42(1), 189-208.
• Bauwens, L. and Hautsch, N. (2006). Stochastic Conditional Intensity Processes. Journal of Financial Econometrics, 4, 450-493.
• Brüggemann, R., Lütkepohl, H. and Saikkonen, P. (2006). Residual Autocorrelation Testing for Vector Error Correction Models. Journal of Econometrics, 134(2), 579-604.
• Droge, B. (2006). Asymptotic Properties of Model Selection Procedures in Linear Regression. Statistics 40, 1-38.
• Droge, B. (2006). Minimax Regret Comparison of Hard and Soft Thresholding for Estimating a Bounded Normal Mean. Statistics & Probability Letters 76, 83-92.
• Hall, A. D. and Hautsch, N. (2006). Order Aggressiveness and Order Book Dynamics. Empirical Economics, 30, 973-1005.
• Krätzig, M. (2006). A Software Framework for Data Analysis. Computational Statistics and Data Analysis, Vol. 52(2), 618-634.
• Saikkonen, P. and Lütkepohl, H. and Trenkler, C. (2006). Break Date Estimation for VAR Processes with Level Shift with an Application to Cointegration Testing. Econometric Theory, 22(1), 15-68.

Discussion Papers

• Lottmann, F. (2012): "Explaining regional unemployment differences in Germany", Discussion Paper 2012-026, CRC 649
• Hautsch, N., Schaumburg, J. and Schienle, M. (2011): "Financial Network Systemic
  Risk Contributions", Discussion Paper 2011-072, CRC 649
• Hautsch, N., Kyj, L. M. and Malec, P. (2011): "The Merit of High-Frequency Data in Portfolio Allocation"
• Hautsch, N. and Groß-Klußmann, A. (2011): "Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models", Discussion Paper 2011-044, CRC 649, Berlin.
• Schulze, F. (2010): "Spatial Dependencies in German Matching Functions", Discussion Paper 2010-054, CRC 649, Berlin.
• Hautsch, N., Malec, P. and Schienle, M. (2010): "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes", Discussion Paper 2010-055, CRC 649, Berlin.
• Karaman-Örsal, D. and Goldstein, J. (2010): "The Increasing Importance of Economic Conditions on Fertility, MPIDR Working Paper WP-2010-014, Max Planck Institute for Demographic Research
• Schaumburg, J. (2010): "Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory", Discussion Paper 2010-009, CRC 649

• Karaman-Örsal, D. and Droge, B. (2009). On the Existence of the Moments of the Asymptotic Trace Statistic. Discussion Paper 2009-012, Sonderforschungsbereich 649, Humboldt-Universität, Berlin.

• Karaman-Örsal, D. and Droge, B. (2009). Panel Cointegration Testing in the Presence of a Time Trend. Discussion Paper 2009-005, Sonderforschungsbereich 649, Humboldt-Universität, Berlin.

• Nikolaus Hautsch and Ruihong Huang (2009): “The Market Impact of a Limit Order”, Discussion Paper 2009-051, CRC 649, Berlin, and Working Paper 2009/23, Center for Financial Studies, Frankfurt.

• Wolfgang Karl Härdle, Nikolaus Hautsch, Andrija Mihoci (2009): “Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics”, Discussion Paper 2009-044, CRC 649, Berlin, and Working Paper 2009/18, Center for Financial Studies, Frankfurt am Main.
• Nikolaus Hautsch (2008): “Testing Multiplicative Error Models Using Conditional Moment Tests”, Discussion Paper 2008-067, CRC 649, Berlin.
• Blaskowitz, O., Herwartz, H. (2008). Testing for the Economic Value of Directional Forecasts in the Presence of Serial Correlation. SFB 649 Discussion Paper 2008-73, Sonderforschungsbereich 649, Humboldt-Universität zu Berlin, Germany, available at http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-073.pdf.
• Blaskowitz, O., Herwartz, H. (2008). A Note on the Model Selection Risk for ANOVA Based Adaptive Forecasting of the EURIBOR Swap Term Structure. SFB 649 Discussion Paper 2008-64, Sonderforschungsbereich 649, Humboldt-Universität zu Berlin, Germany, available at http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-064.pdf.
• Hautsch, N. and Ou, Y. (2008). Yield Curve Factors, Yield Volatility, and the Predictability of Bond Excess Returns. SFB 649 Discussion Paper 2008-053, Sonderforschungsbereich 649, Humboldt Universität zu Berlin, Germany, available at http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-053.pdf.
• Hautsch, N., and Jeleskovic, V. (2008). Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models. SFB 649 Discussion Paper 2008-047, Sonderforschungsbereich 649, Humboldt Universität zu Berlin, Germany, available at http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-047.pdf.
• Härdle, W., Hautsch, N. and Pigorsch, U. (2008). Measuring and Modeling Risk Using High-Frequency Data. SFB 649 Discussion Paper 2008-045,
  Sonderforschungsbereich 649, Humboldt Universität zu Berlin, Germany, available at http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-045.pdf.
• Winschel, V. and Krätzig, M. (2008). JBendge. An Object-Oriented System for Solving, Estimating and Selecting Nonlinear Dynamic Models. SFB 649 Discussion Paper 2008-034,
  Sonderforschungsbereich 649, Humboldt Universität zu Berlin, Germany, available at http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-034.pdf.
• Hautsch, N., Hess, D. and Müller, C. (2008). Price Adjustment to News with Uncertain Precision. SFB 649 Discussion Paper 2008-025,
  Sonderforschungsbereich 649, Humboldt Universität zu Berlin, Germany, available at http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-025.pdf.
• Winschel, V. and M. Krätzig (2008). Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality. SFB 649 Discussion Paper 2008-018,
  Sonderforschungsbereich 649, Humboldt Universität zu Berlin, Germany, available at http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-018.pdf.
• Blaskowitz, O. and Herwatz, H. (2008). Adaptive Forecasting of the EURIBOR Swap Term Structure. SFB 649 Discussion Paper 2008-017, 
  Sonderforschungsbereich 649, Humboldt Universität zu Berlin, Germany, available at http://sfb649.wiwi.huberlin.de/papers/pdf/SFB649DP2008-017.pdf.
• Hüttel, S., Mußhoff, O., Odening, M., Zinych, N. (2008). Estimating Investment Equations in Imperfect Capital Markets. SFB 649 Discussion Paper 2008-016. 
  Sonderforschungsbereich 649, Humboldt-Universität zu Berlin, Germany, available at http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-016.pdf.
• Bauwens, L. and N. Hautsch (2007). Modelling Financial High Frequency Data Using Point Processes. SFB 649 Discussion Paper 2007-066,
  Sonderforschungsbereich 649, Humboldt Universität zu Berlin, Germany, available at http://sfb649.wiwi.huberlin.de/papers/pdf/SFB649DP2007-066.pdf.
• Hautsch, N. (2007). Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model. SFB 649 Discussion Paper 2007-052, Sonderforschungsbereich 649, Humboldt Universität zu Berlin, Germany, available at http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2007-052.pdf.
• Örsal, D. D. K. (2007). Comparison of Panel Cointegration Tests. SFB 649 Discussion Paper 2007-029, Sonderforschungsbereich 649, Humboldt Universität zu Berlin, Germany, available at http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2007-029.pdf.
• Brüggemann, R. (2006). Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions. SFB 649 Discussion Paper 2006-021, Sonderforschungsbereich 649, Humboldt Universität zu Berlin, Germany, available at http://sfb649.wiwi.huberlin.de/papers/pdf/SFB649DP2006-021.pdf.
• Brüggemann, R., W. Härdle, J. Mungo, and C. Trenkler (2006). VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings. SFB 649 Discussion Paper 2006-011, Sonderforschungsbereich 649, Humboldt Universität zu Berlin, Germany, available at http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2006-011.pdf.
• Brüggemann, R., H. Lütkepohl, and M. Marcellino (2006). Forecasting Euro-Area Variables with German Pre-EMU Data. SFB 649 Discussion Paper 2006-065, Sonderforschungsbereich 649, Humboldt Universität zu Berlin, Germany, available at http://sfb649.wiwi.huberlin.de/papers/pdf/SFB649DP2006-065.pdf.
• Gerhard, F. and Hautsch, N. (2006). A Dynamic Semiparametric Proportional Hazard Model. Discussion Paper, 2006-05, Finance Research Unit, Department of Economics, University of Copenhagen.

• Hautsch, N. (2006). Testing the Conditional Mean Function of Autoregressive Conditional Duration Models. Discussion Paper, 2006-06, Finance Research Unit, Department of Economics, University of Copenhagen.
• Trenkler, C. (2006). Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms. SFB 649 Discussion Paper 2006-012, Sonderforschungsbereich 649, Humboldt Universität zu Berlin, Germany, available at http://sfb649.wiwi.huberlin.de/papers/pdf/SFB649DP2006-012.pdf.
• Trenkler, C., P. Saikkonen, and H. Lütkepohl (2006). Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break. SFB 649 Discussion Paper 2006-067, Sonderforschungsbereich 649, Humboldt Universität zu Berlin, Germany, available at http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2006-067.pdf.