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Humboldt-Universität zu Berlin -

Recent Publications and Discussion Papers

From Bernd Fitzenberger and Chair Members (Since 2005)

2018
2017
2016
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

 

From Nikolaus Hautsch and Chair Members (Since 2004)

Books
  • "Econometrics of Financial High-Frequency Data" (Nikolaus Hautsch), Springer, Berlin, 2012.
  • "Applied Quantitative Finance" (Nikolaus Hautsch, Wolfgang K. Härdle and Ludger Overbeck), 2nd ed., Springer, Berlin, 2008.
  • "Modelling Irregularly Spaced Financial Data – Theory and Practice of Dynamic Duration Models" (Nikolaus Hautsch), Lecture Notes in Economics and Mathematical Systems, Vol. 539, Springer, Berlin, 2004.
Articles in Journals
  • 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
  • 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.