Sandra Nolte (Lechner)

Lancaster University Management School

Lecturer in Finance

Lancaster, Lancashire LA1 4YX

United Kingdom

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 15,952

SSRN RANKINGS

Top 15,952

in Total Papers Downloads

4,573

SSRN CITATIONS

7

CROSSREF CITATIONS

4

Scholarly Papers (25)

1.

Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform

Number of pages: 46 Posted: 15 Jun 2006 Last Revised: 20 Jul 2009
Sandra Nolte (Lechner) and Ingmar Nolte
Lancaster University Management School and Lancaster University - Department of Accounting and Finance
Downloads 473 (87,174)

Abstract:

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Customer Dataset, Order Flow, Price Changes, Foreign Exchange Market

2.

Factor Timing with Portfolio Characteristics

Number of pages: 44 Posted: 08 Nov 2021
Anastasios Kagkadis, Ingmar Nolte, Sandra Nolte (Lechner) and Nikolaos Vasilas
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University - Lancaster University Management School
Downloads 390 (109,099)

Abstract:

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Return Predictability, Factor Portfolios, Dimension Reduction, Factor Timing, Anomalies

3.

How Do Individual Investors Trade?

Number of pages: 35 Posted: 20 Jan 2010 Last Revised: 18 Feb 2010
Ingmar Nolte and Sandra Nolte (Lechner)
Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 367 (116,788)
Citation 3

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Trading Activity Dataset, Order Flow, Foreign Exchange Market, Monitoring Effect

4.

High-Frequency Volatility Modelling: A Markov-Switching Autoregressive Conditional Intensity Model

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 52 Posted: 27 May 2016 Last Revised: 25 Jan 2021
Yifan Li, Yifan Li, Ingmar Nolte and Sandra Nolte (Lechner)
Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 355 (121,214)

Abstract:

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Regime Switch, Intensity Modelling, Invariance, Stock Return Volatility.

5.

Diversifying away the Risk of War and Cross-Border Political Crisis

Number of pages: 56 Posted: 21 Nov 2012 Last Revised: 26 Feb 2016
Ayman Omar, Tomasz Piotr Wisniewski and Sandra Nolte (Lechner)
University of Leicester, Open University, UK and Lancaster University Management School
Downloads 310 (140,097)
Citation 4

Abstract:

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Crude Oil Price, Safe Haven, International Crises, Wars

6.

High-Frequency Volatility Estimation and the Relative Importance of Market Microstructure Variables

Number of pages: 63 Posted: 26 Sep 2015 Last Revised: 27 May 2018
Yifan Li, Yifan Li, Ingmar Nolte and Sandra Nolte (Lechner)
Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 303 (143,513)

Abstract:

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High-Frequency Volatility Estimation, Market Microstructure Variables, ACD Model, Best Subset Regression.

7.

Where Do the Joneses Go on Vacation? Social Distance and the Influence of Online Reviews on Product Sales

Number of pages: 45 Posted: 03 Sep 2011 Last Revised: 27 Oct 2011
Leif Brandes, Ingmar Nolte and Sandra Nolte (Lechner)
University of Lucerne, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 298 (145,964)
Citation 3

Abstract:

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social distance, online word of mouth, heuristic processing, hotel bookings

8.

Entrepreneur's Wealth, Firm Performance and Cost of Capital: A Bayesian Approach to the Capital Structure of Entrepreneurial Ventures

Number of pages: 39 Posted: 04 Dec 2011 Last Revised: 11 Nov 2016
Andrea Moro, Sandra Nolte (Lechner) and Alexandra Diaz
Cranfield University - School of Management, Lancaster University Management School and University of Leicester
Downloads 256 (170,279)
Citation 1

Abstract:

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SMEs, Expected Return on Equity, Entrepreneur

9.

What Determines Forecasters’ Forecasting Errors?

Number of pages: 34 Posted: 26 Jan 2010 Last Revised: 21 Jul 2018
Ingmar Nolte, Sandra Nolte (Lechner) and Winfried Pohlmeier
Lancaster University - Department of Accounting and Finance, Lancaster University Management School and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)
Downloads 218 (198,634)
Citation 4

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Expectations, Tendency Survey, Forecasting Errors, Misclassification, GLARMA

10.

The Information Content of Retail Investors' Order Flow

Number of pages: 35 Posted: 18 Jul 2012 Last Revised: 18 Nov 2013
Ingmar Nolte and Sandra Nolte (Lechner)
Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 208 (207,421)
Citation 1

Abstract:

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Retail Investors, Trading Activity Dataset, Information Processing, Order Flow, Foreign Exchange Market

11.

Multiplicative Measurement Error and the Simulation Extrapolation Method

Number of pages: 24 Posted: 09 May 2008
Elena Biewen, Sandra Nolte (Lechner) and Martin Rosemann
Institute for Applied Economic Research (IAW), Lancaster University Management School and ISG Institut für Sozialforschung und Gesellschaftspolitik
Downloads 192 (222,905)
Citation 1

Abstract:

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Errors-in-variables in nonlinear models, disclosure limitation methods, multiplicative error

12.

The Multiplicative Simulation-Extrapolation Approach

Number of pages: 22 Posted: 10 Mar 2007 Last Revised: 11 Nov 2007
Sandra Nolte (Lechner)
Lancaster University Management School
Downloads 190 (224,972)

Abstract:

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multiplicative error-in-variables, SIMEX, disclosure limitation

13.

Renewal Based Volatility Estimation

Number of pages: 41 Posted: 22 Feb 2018 Last Revised: 25 Sep 2019
Yifan Li, Yifan Li, Ingmar Nolte and Sandra Nolte (Lechner)
Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 182 (233,571)
Citation 1

Abstract:

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High-Frequency Volatility Estimation, Realized Volatility, Renewal Theory

14.

Industry Survival Rate, Entrepreneur Historical Performance and Personal Wealth: A Probabilistic Model for Optimizing SMEs Capital Structure

Number of pages: 31 Posted: 14 Mar 2012
Andrea Moro and Sandra Nolte (Lechner)
Cranfield University - School of Management and Lancaster University Management School
Downloads 161 (259,102)

Abstract:

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15.

The risk of falling short: Implementation Shortfall variance in portfolio construction

Number of pages: 29 Posted: 30 Jan 2022
Filip Basic, Alberto Martin-Utrera, Ingmar Nolte and Sandra Nolte (Lechner)
Lancaster University - Department of Accounting and Finance, Iowa State University, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 133 (301,514)

Abstract:

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Portfolio optimization, Implementation Shortfall, Time-series models.

16.

A Model of the Anchoring Effect in Dichotomous Choice Valuation with Follow-Up

University of Strasbourg Working Paper No. 2003-07
Number of pages: 18 Posted: 17 Jul 2006
Sandra Nolte (Lechner), Anne Rozan and Francois Laisney
Lancaster University Management School, BETA-UMR, Universite Louis Pasteur, Strasbourg and ZEW – Leibniz Centre for European Economic Research
Downloads 119 (327,217)
Citation 1

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Contingent valuation, willingness-to-pay, binary-choice, anchoring effect

17.

Sell-Side Analysts' Career Concerns During Banking Stresses

Journal of Banking and Finance, Volume 49, December 2014, Pages 424–441
Number of pages: 64 Posted: 08 Mar 2014 Last Revised: 10 Jan 2015
Ingmar Nolte, Sandra Nolte (Lechner) and Michalis Vasios
Lancaster University - Department of Accounting and Finance, Lancaster University Management School and European Securities and Markets Authority
Downloads 114 (337,355)

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Sell-side Analysts, News Flows, Career Concerns, Financial Crisis

18.

Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times

Number of pages: 71 Posted: 14 Nov 2021 Last Revised: 09 Jun 2022
Yifan Li, Yifan Li, Ingmar Nolte, Sandra Nolte (Lechner) and Shifan Yu
Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University - Department of Accounting and Finance
Downloads 112 (341,553)

Abstract:

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high-frequency data, jump test, market microstructure noise, stochastic sampling scheme, first exit time, price staleness

19.

Direct Portfolio Weight Estimator: Mitigating Specification Risk with Realized Utility

Number of pages: 31 Posted: 11 Mar 2022 Last Revised: 17 May 2022
Ekaterina Kazak, Yifan Li, Yifan Li, Ingmar Nolte and Sandra Nolte (Lechner)
University of Manchester, Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 82 (416,273)

Abstract:

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portfolio allocation, high-frequency finance, realized measures, forecasting

20.

Combining Blanking and Noise Addition as a Data Disclosure Limitation Method

Number of pages: 14 Posted: 12 Sep 2006
Anton Flossmann and Sandra Nolte (Lechner)
University of Konstanz - Department of Economics and Lancaster University Management School
Downloads 65 (472,198)
Citation 1

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disclosure limitation technique, error-in-variables, blanking, SIMEX, IPW

21.

Make Assurance Double Sure: Combination of Two Disclosure Limitation Methods and Estimation of General Regression Models

Number of pages: 25 Posted: 09 May 2008 Last Revised: 25 Sep 2008
Anton Flossmann and Sandra Nolte (Lechner)
University of Konstanz - Department of Economics and Lancaster University Management School
Downloads 45 (556,931)

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Disclosure limitation technique, Multiplicative measurement error, Blanking, Simulation-Extrapolation, Inverse Probability Weighting

22.

Macro Factor Investing with Style

Journal of Portfolio Management, 2022 Quantitative Special Issue, forthcoming
Posted: 28 Sep 2021 Last Revised: 08 Feb 2022
Lancaster University - Department of Accounting and Finance, Robeco Quantitative Investments, Lancaster University - Department of Accounting and Finance, Lancaster University Management School, affiliation not provided to SSRN and Invesco

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Macro Factors, Factor Investing, Diversification, Factor Completion

23.

Bicameral Conflict Resolution in the European Union: An Empirical Analysis of Conciliation Committee Bargains

British Journal of Political Science, Forthcoming
Posted: 19 Jul 2006
Winfried Pohlmeier, Sandra Nolte (Lechner), Thomas E. König and Björn Hörl
University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE), Lancaster University Management School, affiliation not provided to SSRN and affiliation not provided to SSRN

Abstract:

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24.

Data Masking by Noise Addition and the Estimation of Nonparametric Regression Models

Journal of Economics and Statistics, Vol. 225, No. 5, pp. 517-528, 2005
Posted: 17 Jul 2006
Sandra Nolte (Lechner) and Winfried Pohlmeier
Lancaster University Management School and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)

Abstract:

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data masking, errors-in-variables, SIMEX, local polynomial regression

25.

To Blank or Not to Blank? A Comparison of the Effects of Disclosure Limitation Methods on Nonlinear Regression Estimates

Josep Domingo-Ferrer, Vicenç Torra: PRIVACY IN STATISTICAL DATABASES, Springer Verlag Lecture Notes in Computer Science, 2004
Posted: 17 Jul 2006
Sandra Nolte (Lechner) and Winfried Pohlmeier
Lancaster University Management School and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)

Abstract:

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disclosure limitation, blanking, semi-parametric selection models, errors in variables in nonlinear models