72 citations · 127 across the 7 of their papers we have counts for
8 papers
Consistent Estimation of the High-Dimensional Efficient Frontier
Taras Bodnar, Nikolaus Hautsch, Yarema Okhrin +1
In this paper, we analyze the asymptotic behavior of the main characteristics of the mean-variance efficient frontier employing random matrix theory. Our particular interest covers…
Jump detection in high-frequency order prices
Markus Bibinger, Nikolaus Hautsch, Alexander Ristig
We propose methods to infer jumps of a semi-martingale, which describes long-term price dynamics, based on discrete, noisy, high-frequency observations. Different to the classical…
HARNet: A Convolutional Neural Network for Realized Volatility Forecasting
Rafael Reisenhofer, Xandro Bayer, Nikolaus Hautsch
Despite the impressive success of deep neural networks in many application areas, neural network models have so far not been widely adopted in the context of volatility forecasting…
Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets
Nikolaus Hautsch, Christoph Scheuch, Stefan Voigt
A blockchain replaces central counterparties with time-consuming consensus protocols to record the transfer of ownership. This settlement latency slows cross-exchange trading, expo…
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading
Martin D. Gould, Nikolaus Hautsch, Sam D. Howison +1
A counterparty credit limit (CCL) is a limit that is imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. CCLs help institutions to…
Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty
Nikolaus Hautsch, Stefan Voigt
We theoretically and empirically study portfolio optimization under transaction costs and establish a link between turnover penalization and covariance shrinkage with the penalizat…
Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence
Markus Bibinger, Nikolaus Hautsch, Peter Malec +1
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous ob…
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
Markus Bibinger, Nikolaus Hautsch, Peter Malec +1
An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy and nonsynchronous obs…