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Nikolaus Hautsch

Global rank #4738 94%

Institution: Universität Wien

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://homepage.univie.ac.at/nikolaus.hautsch/

First Publication: 2002

Most Recent: 2024

RePEc ID: pha10 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.51 0.67 0.00 1.69
Last 10 Years 0.00 3.02 1.68 0.00 7.72
All Time 0.00 4.03 13.41 0.00 21.46

Publication Statistics

Raw Publications 21
Coauthorship-Adjusted Count 17.51

Publications (21)

Year Article Journal Tier Authors
2024 Nonstandard Errors Journal of Finance A 343
2024 Building trust takes time: limits to arbitrage for blockchain-based assets Review of Finance B 3
2022 Local mispricing and microstructural noise: A parametric perspective Journal of Econometrics A 4
2020 Multivariate dynamic intensity peaks‐over‐threshold models Journal of Applied Econometrics B 2
2019 Large-scale portfolio allocation under transaction costs and model uncertainty Journal of Econometrics A 2
2019 How effective are trading pauses? Journal of Financial Economics A 2
2019 Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence Journal of Business & Economic Statistics A 4
2015 Financial Network Systemic Risk Contributions Review of Finance B 3
2015 Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations? Journal of Applied Econometrics B 3
2015 Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts Journal of Applied Econometrics B 3
2014 Forecasting systemic impact in financial networks International Journal of Forecasting B 3
2013 Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence Journal of Business & Economic Statistics A 2
2012 The market impact of a limit order Journal of Economic Dynamics and Control B 2
2012 Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields Journal of Banking & Finance B 2
2012 Price adjustment to news with uncertain precision Journal of International Money and Finance B 3
2012 A blocking and regularization approach to high‐dimensional realized covariance estimation Journal of Applied Econometrics B 3
2011 The impact of macroeconomic news on quote adjustments, noise, and informational volatility Journal of Banking & Finance B 3
2008 Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model Journal of Economic Dynamics and Control B 1
2007 Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery Journal of Financial and Quantitative Analysis B 2
2003 Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions Journal of Economic Behavior and Organization B 2
2002 The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report Review of Finance B 2