Members - Nikolaus Hautsch

POSITION AT CILS

PI

 

DISCIPLINES / RESEARCH AREAS

Econometrics: linear and nonlinear time series models, multivariate point processes, dynamic duration and intensity models, latent factor models, econometric models for financial transaction data

Empirical Finance: market microstructure analysis, analysis of limit order book markets, volatility and liquidity estimation, information processing on financial markets, event studies, price discovery, hedging, asset pricing

 

OTHER AFFILIATIONS

School of Business and Economics, Humboldt-Universität zu Berlin

Center of Applied Statistics and Economics, Humboldt-Universität zu Berlin

Center for Financial Studies, Goethe-Universität Frankfurt

Quantitative Products Laboratory, Berlin

 

FELLOWSHIPS / AWARDS

  • Invited Speaker, 3rd Annual Conference of Society for Financial Econometrics (SoFiE), Melbourne (2010)
  • Invited Speaker, FERC Conference, Warwick Business School (2009)
  • Visiting Professor, University of Technology, Sydney, Australia (2010)
  • Visiting Fellow, University of Technology, Sydney, Australia (2005)
  • Visiting Fellow, Institute of Mathematical Sciences, National University of Singapore (2004)
  • Visiting Fellow, Center of Operations Research and Econometrics, Belgium (2002)
  • Visiting Fellow, University of Technology, Sydney, Australia (2002)

 

  • Listed in Marquis Who’s Who in the World (since 2010)
  • Dornier Dissertation Research Prize (2004)
  • Doctoral Research Prize, Universität Konstanz (2001)

 

EDITORSHIPS / MEMBERSHIPS

  • Editorial Board, Empirical Economics

 

  • Member, Econometric Society
  • Member, German Economic Association
  • Member, German Statistical Association
  • Member, Society of Financial Econometrics

 

SELECTED PUBLICATIONS

  • Nikolaus Hautsch, Lada M. Kyj and Roel Oomen (2010): “A blocking and regularization approach to high dimensional realized covariance estimation”, Journal of Applied Econometrics, forthcoming (Working Paper Version)
  • Nikolaus Hautsch and Fuyu Yang (2010): “Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model”, Computational Statistics and Data Analysis, forthcoming (Working Paper Version)
  • Nikolaus Hautsch (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.
  • Anthony D. Hall and Nikolaus Hautsch (2007): “Modelling the Buy and Sell Intensity in a Limit Order Book Market”, Journal of Financial Markets, 10 (3), 249-286.
  • Nikolaus Hautsch and Dieter Hess (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.
  • Luc Bauwens and Nikolaus Hautsch (2006): “Stochastic Conditional Intensity Processes”, Journal of Financial Econometrics, 4, 450-493.
  • Nikolaus Hautsch (2003): “Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities”, Journal of Financial Econometrics, 1(2), 189-215.
  • Nikolaus Hautsch and Stefan Klotz (2003): "Estimating the Neighborhood Influence on Decision Makers: Theory and Application on the Analysis of Innovation Decisions", Journal of Economic Behavior and Organisation, 52, 97-113.
  • Nikolaus Hautsch and Dieter Hess (2002): "The Processing of non-anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report", Review of Finance, 6, 133-161.