Items where Author is "Nolte, Ingmar"

Vasilas, Nikolas and Nolte, Ingmar and Nolte, Sandra and Kagkadis, Anastasios (2025) Essays on Factor Portfolios. PhD thesis, Lancaster University.

Liao, Shushu and Nolte, Ingmar and Pawlina, Grzegorz (2024) Can Capital Adjustment Costs Explain the Decline in Investment-Cash Flow Sensitivity? Journal of Financial and Quantitative Analysis, 59 (5). pp. 2399-2424. ISSN 0022-1090

Yu, Shifan and Nolte, Ingmar and Nolte, Sandra and Li, Yifan (2024) Statistical Inference with High-Frequency Financial Data : New Perspectives from Alternative Observation Schemes. PhD thesis, Accounting and Finance.

Li, Yifan and Nolte, Ingmar and Pham, Manh (2024) Parametric Risk-Neutral Density Estimation via Finite Lognormal-Weibull Mixtures. Journal of Econometrics, 241 (2): 105748. ISSN 0304-4076

Basic, Filip and Lohre, Harald and Martin Utrera, Alberto and Nolte, Ingmar and Nolte, Sandra (2024) Transaction Cost-Optimized Equity Factors Around the World. Journal of Portfolio Management, 50 (6). pp. 40-73. ISSN 0095-4918

Kagkadis, Anastasios and Nolte, Ingmar and Nolte, Sandra and Vasilas, Nikolas (2024) Factor Timing with Portfolio Characteristics. Review of Asset Pricing Studies, 14 (1). pp. 84-118. ISSN 2045-9920

Hong, Seok Young and Nolte, Ingmar and Taylor, Stephen and Zhao, Vera (2023) Volatility Estimation and Forecasts Based on Price Durations. Journal of Financial Econometrics, 21 (1). pp. 106-144. ISSN 1479-8409

Hizmeri, Rodrigo and Izzeldin, Marwan and Nolte, Ingmar and Pappas, Vasileios (2022) A Generalized Heterogeneous Autoregressive Model using the Market Index. Quantitative Finance, 22 (8). pp. 1513-1534. ISSN 1469-7688

Hizmeri, Rodrigo and Izzeldin, Marwan and Nolte, Ingmar and Pappas, Vasileios (2022) A generalized heterogeneous autoregressive model using market information. Quantitative Finance, 22 (8). pp. 1513-1534. ISSN 1469-7688

Li, Yifan and Nolte, Ingmar and Vasios, Michalis and Voev, Valeri and Xu, Qi (2022) Weighted Least Squares Realized Covariation Estimation. Journal of Banking and Finance, 137: 106420. ISSN 0378-4266

Happersberger, David and Nolte, Ingmar and Lohre, Harald (2022) Advancing Systematic and Factor Investing Strategies using Alternative Data and Machine Learning. PhD thesis, Lancaster University.

Li, Yifan and Nolte, Ingmar and Nolte, Sandra (2021) High-frequency volatility modelling : a Markov-switching autoregressive conditional intensity model. Journal of Economic Dynamics and Control, 124: 104077. ISSN 0165-1889

Andersen, Torben and Archakov, Ilya and Grund, Leon and Hautsch, Nikolaus and Li, Yifan and Nasekin, Sergey and Nolte, Ingmar and Pham, Manh and Taylor, Stephen and Todorov, Viktor (2021) A descriptive study of high-frequency trade and quote option data. Journal of Financial Econometrics, 19 (1). pp. 128-177. ISSN 1479-8409

Happersberger, David and Lohre, Harald and Nolte, Ingmar (2020) Estimating Portfolio Risk for Tail Risk Protection Strategies. European Financial Management, 26 (4). pp. 1107-1146. ISSN 1354-7798

Liao, Shushu and Nolte, Ingmar and Pawlina, Grzegorz (2020) Can Capital Adjustment Costs Explain the Decline in Investment-Cash Flow Sensitivity? Working Paper. UNSPECIFIED, Lancaster.

Nolte, Ingmar and Vasios, Michalis and Voev, Valeri and Xu, Qi (2019) A Least Squares Regression Realised Covariation Estimation. Working Paper. SSRN Working Paper.

Nolte, Ingmar and Nolte, Sandra and Pohlmeier, Winfried (2019) What determines forecasters’ forecasting errors? International Journal of Forecasting, 35 (1). pp. 11-24. ISSN 0169-2070

Liao, Shushu and Nolte, Ingmar and Pawlina, Grzegorz (2019) Three essays in corporate finance. PhD thesis, Lancaster University.

Nolte, Ingmar and Taylor, Stephen John and Zhao, Xiaolu (2018) High-frequency Covariance Matrix Estimation Using Price Durations. Working Paper. UNSPECIFIED.

Li, Yifan and Nolte, Ingmar and Nolte, Sandra (2018) Point process based high frequency volatility estimation : theory and applications. PhD thesis, Lancaster University.

Zhao, Xiaolu and Taylor, Stephen and Nolte, Ingmar (2017) Essays on financial econometrics : variance and covariance estimation using price durations. PhD thesis, Lancaster University.

Krueger, Fabian and Nolte, Ingmar (2016) Disagreement versus uncertainty : evidence from distribution forecasts. Journal of Banking and Finance, 72 (Suppl.). pp. 172-186. ISSN 0378-4266

Li, Yifan and Nolte, Ingmar and Nolte, Sandra (2016) High-frequency volatility modelling : a Markov-switching autoregressive conditional intensity model. Working Paper. UNSPECIFIED.

Nolte, Ingmar and Salmon, Mark and Adcock, Chris (2016) High frequency trading and limit order book dynamics. Taylor and Francis. ISBN 9781138829381

Nolte, Ingmar and Nolte, Sandra (2016) How do individual investors trade? In: High Frequency Trading and Limit Order Book Dynamics :. Taylor and Francis Inc., pp. 189-215. ISBN 9781138829381

Nolte, Ingmar and Salmon, Mark (2016) Introduction. In: High Frequency Trading and Limit Order Book Dynamics :. Taylor and Francis Inc., pp. 1-4. ISBN 9781138829381

Nolte, Ingmar (2016) A detailed investigation of the disposition effect and individual trading behavior : A panel survival approach. In: High Frequency Trading and Limit Order Book Dynamics :. Taylor and Francis Inc., pp. 153-187. ISBN 9781138829381

Zhao, Xiaolu and Taylor, Stephen John and Nolte, Ingmar (2016) More accurate volatility estimation and forecasts using price durations. Working Paper. UNSPECIFIED.

Nolte, Ingmar and Nolte, Sandra (2016) The information content of retail investors' order flow. European Journal of Finance, 22 (2). pp. 80-104. ISSN 1351-847X

Nolte, Ingmar and Xu, Qi (2015) The economic value of volatility timing with realized jumps. Journal of Empirical Finance, 34. pp. 45-59. ISSN 0927-5398

Li, Yifan and Nolte, Ingmar and Nolte, Sandra (2015) High-frequency volatility estimation and the relative importance of market microstructure variables. Working Paper. UNSPECIFIED.

Duygun, Meryem and Nolte, Ingmar and Sá, Filipa and Shaban, Mohamed (2014) The search for financial stability : Models, policies and prospects. Journal of Banking and Finance, 49. pp. 323-325. ISSN 0378-4266

Nolte, Ingmar and Nolte, Sandra and Vasios, Michalis (2014) Sell-side analysts' career concerns during banking stresses. Journal of Banking and Finance, 49. pp. 424-441. ISSN 0378-4266

Nolte, Ingmar and Nolte, Sandra (2014) How do individual investors trade? In: High frequency trading and limit order book dynamics :. Routledge, London, pp. 189-215. ISBN 9781138829381

Nolte, Ingmar and Nolte, Sandra (2012) How do individual investors trade? European Journal of Finance, 18 (10). pp. 921-947. ISSN 1351-847X

Nolte, Ingmar and Voev, Valeri (2012) Least Squares inference on integrated volatility and the relationship between efficient Prices and noise. Journal of Business and Economic Statistics, 30 (1). pp. 94-108. ISSN 0735-0015

Nolte, Ingmar (2012) A detailed investigation of the disposition effect and individual trading behavior : a panel survival approach. European Journal of Finance, 18 (10). pp. 885-919. ISSN 1351-847X

Adam-Müller, Axel and Nolte, Ingmar (2011) Cross hedging under multiplicative basis risk. Journal of Banking and Finance, 35 (11). pp. 2956-2964. ISSN 0378-4266

Britten-Jones, Mark and Neuberger, Anthony and Nolte, Ingmar (2011) Improved inference in regression with overlapping observations. Journal of Business Finance and Accounting, 38 (5-6). pp. 657-683. ISSN 0306-686X

Bien, Katarzyna and Nolte, Ingmar and Pohlmeier, Winfried (2011) An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics. Journal of Applied Econometrics, 26 (4). pp. 669-707. ISSN 0883-7252

Nolte, Ingmar and Voev, Valeri (2011) Trading dynamics in the foreign exchange market : a latent factor panel intensity approach. Journal of Financial Econometrics, 9 (4). pp. 685-716. ISSN 1479-8409

Nolte, Ingmar (2008) Modeling a multivariate transaction process. Journal of Financial Econometrics, 6 (1). pp. 143-170. ISSN 1479-8409

Nolte, Ingmar and Pohlmeier, Winfried (2007) Using forecasts of forecasters to forecast. International Journal of Forecasting, 23 (1). pp. 15-28. ISSN 0169-2070

Liesenfeld, Roman and Nolte, Ingmar and Pohlmeier, Winfried (2006) Modelling financial transaction price movements : a dynamic integer count data model. Empirical Economics, 30 (4). pp. 795-825. ISSN 0377-7332