Items where Author is "Nolte, Sandra"

Journal Article

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

Swade, Alexander and Lohre, Harald and Nolte, Sandra and Shackleton, Mark and Swinkels, Laurens (2024) A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies through the Cycles. Journal of Portfolio Management, 50 (5). pp. 37-56. ISSN 0095-4918

Lohre, Harald and Nolte, Sandra and Ranganathan, Ananthalakshmi and Rother, Carsten and Steiner, Margit (2023) ControversyBERT : Detecting Social Controversies and their Impact on Stock Returns. Journal of Impact & ESG Investing. ISSN 2693-1982

Ranganathan, Ananthalakshmi and Lohre, Harald and Nolte, Sandra and Braham, Houssem (2023) An integrated approach to currency factor investing. Journal of Systematic Investing, 3 (1). pp. 1-25.

Swade, Alexander and Nolte, Sandra and Shackleton, Mark and Lohre, Harald (2023) Why do equally weighted portfolios beat value-weighted ones? Journal of Portfolio Management, 49 (5). pp. 167-187. ISSN 0095-4918

Swade, Alexander and Lohre, Harald and Shackleton, Mark and Nolte, Sandra and Hixon, Scott and Raol, Jay (2022) Macro Factor Investing with Style. Journal of Portfolio Management, 48 (2). pp. 80-104. ISSN 0095-4918

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

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

Omar, Ayman and Wisniewski, Tomasz and Nolte, Sandra (2017) Diversifying away the risk of war and cross-border political crisis. Energy Economics, 64. pp. 494-510. ISSN 0140-9883

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

Wood, Stephen and Nolte, Sandra and Burridge, Mark and Rudloff, Daniela and Green, William (2015) Dimensions and location of high-involvement management : fresh evidence from the UK Commission's 2011 Employer Skills Survey. Human Resource Management Journal, 25 (2). pp. 166-183. ISSN 0954-5395

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

Nolte, Sandra and Flossmann, Anton (2008) Make assurance double sure: combination of two disclosure limitation methods and estimation of general regression models. AStA Advances in Statistical Analysis, 92 (4). pp. 405-422. ISSN 1863-8171

Biewen, Elena and Nolte, Sandra and Rosemann, Martin (2008) Perturbation by multiplicative noise and the Simulation Extrapolation method. AStA Advances in Statistical Analysis, 92 (4). pp. 375-389. ISSN 1863-8171

Contribution in Book/Report/Proceedings

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

Wood, Stephen and Burridge, Mark and Green, William and Nolte, Sandra and Rudloff, Daniela and Ni Luanaigh, Aoife (2013) High Performance Working in the Employer Skills Surveys : Evidence Report 71. In: High Performance Working in the Employer Skills Surveys :. UNSPECIFIED, pp. 1-86. ISBN 978-1-908418-50-0

Monograph

Swade, Alexander and Nolte, Sandra and Shackleton, Mark and Lohre, Harald (2022) Why do equally weighted portfolios beat value-weighted ones? Working Paper. Portfolio Management Research. (In Press)

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

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

Book/Report/Proceedings

Nolte, Sandra (2010) Measurement error in nonlinear models : an application to disclosure limitation techniques. Lit Verlag, Berlin. ISBN 978-3643900463

Thesis

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

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.

Swade, Alexander and Shackleton, Mark and Nolte, Sandra (2024) Essays in Factor Investing. PhD thesis, Lancaster University.

Ranganathan, Ananthalakshmi and Nolte, Sandra and Lohre, Harald (2023) Multi-Asset Factor Investing Strategies and Controversy Screening using Natural Language Processing. PhD thesis, Lancaster University.

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