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Humboldt-Universität zu Berlin -

Recent Publications and Discussion Papers

From Bernd Fitzenberger and Chair Members (Since 2005)



From Nikolaus Hautsch and Chair Members (Since 2004)

  • "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.