Ingmar Nolte

Lancaster University - Department of Accounting and Finance

Lancaster, Lancashire LA1 4YX

United Kingdom

SCHOLARLY PAPERS

34

DOWNLOADS
Rank 5,145

SSRN RANKINGS

Top 5,145

in Total Papers Downloads

8,715

SSRN CITATIONS
Rank 15,831

SSRN RANKINGS

Top 15,831

in Total Papers Citations

22

CROSSREF CITATIONS

40

Scholarly Papers (34)

Improved Inference in Regression with Overlapping Observations

Number of pages: 40 Posted: 23 Jun 2004 Last Revised: 15 Aug 2014
London Business School - Institute of Finance and Accounting, City University London - Faculty of Finance and Lancaster University - Department of Accounting and Finance
Downloads 1,061 (21,395)
Citation 2

Abstract:

Loading...

Long horizon, stock return predictability, induced autocorrelation

Improved Inference in Regression with Overlapping Observations

Journal of Business Finance & Accounting, Vol. 38, Issue 5‐6, pp. 657-683, 2011
Number of pages: 27 Posted: 07 Jul 2011
London Business School - Institute of Finance and Accounting, City University London - Faculty of Finance and Lancaster University - Department of Accounting and Finance
Downloads 2 (720,681)
Citation 1
  • Add to Cart

Abstract:

Loading...

long horizon, stock return predictability, induced autocorrelation

2.

Uncovering the Benefit of High-Frequency Data in Portfolio Allocation

Number of pages: 49 Posted: 12 Mar 2014 Last Revised: 13 Oct 2015
Ingmar Nolte and Qi Xu
Lancaster University - Department of Accounting and Finance and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 588 (49,337)
Citation 1

Abstract:

Loading...

high-frequency data, downside risk, asset allocation, realized moments, volatility forecasting

3.

A Detailed Investigation of the Disposition Effect and Individual Trading Behavior: A Panel Survival Approach

Number of pages: 31 Posted: 26 Jun 2006 Last Revised: 20 Jun 2011
Ingmar Nolte
Lancaster University - Department of Accounting and Finance
Downloads 507 (59,486)
Citation 3

Abstract:

Loading...

Panel Survival Models, Trading Activity Dataset, Foreign Exchange Market, Behavioral Finance, Disposition Effect

4.

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 447 (69,537)

Abstract:

Loading...

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

5.

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 345 (94,067)
Citation 3

Abstract:

Loading...

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

6.

Estimating High-Frequency Based (Co-) Variances: A Unified Approach

Number of pages: 82 Posted: 26 Jul 2007 Last Revised: 12 Jun 2008
Ingmar Nolte and Valeri Voev
Lancaster University - Department of Accounting and Finance and Aarhus University - CREATES
Downloads 327 (99,879)
Citation 4

Abstract:

Loading...

High frequency data, Realized volatility and covariance, Market microstructure

7.

Disagreement versus Uncertainty: Evidence from Distribution Forecasts

Number of pages: 32 Posted: 10 Aug 2010 Last Revised: 15 Apr 2015
Fabian Krueger and Ingmar Nolte
Heidelberg Institute for Theoretical Studies (HITS) gGmbH and Lancaster University - Department of Accounting and Finance
Downloads 322 (101,611)
Citation 2

Abstract:

Loading...

Disagreement, Uncertainty, Predictive Density, Forecast Combination

8.

Volatility Estimation and Forecasts Based on Price Durations

Number of pages: 73 Posted: 11 Jan 2016 Last Revised: 15 Apr 2020
University of Nottingham, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Dongbei University of Finance and Economics
Downloads 312 (105,134)
Citation 4

Abstract:

Loading...

Price durations; Volatility estimation; High-frequency data; Market microstructure noise; Forecasting

9.

Using Forecasts of Forecasters to Forecast

Number of pages: 27 Posted: 17 Jul 2006
Ingmar Nolte and Winfried Pohlmeier
Lancaster University - Department of Accounting and Finance and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)
Downloads 305 (107,822)
Citation 2

Abstract:

Loading...

Forecasting Quality, Qualitative Survey Data, Quantification Methods, Linear Time Series Models, Turning Points

10.

An MCMC Approach to Multivariate Density Forecasting: An Application to Liquidity

Number of pages: 30 Posted: 20 Jan 2011 Last Revised: 05 May 2013
Fabian Krueger and Ingmar Nolte
Heidelberg Institute for Theoretical Studies (HITS) gGmbH and Lancaster University - Department of Accounting and Finance
Downloads 301 (109,373)

Abstract:

Loading...

Multivariate Density Forecasting, Liquidity, Financial Econometrics

Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach

Number of pages: 43 Posted: 17 Jul 2006 Last Revised: 30 Sep 2010
Ingmar Nolte and Valeri Voev
Lancaster University - Department of Accounting and Finance and Aarhus University - CREATES
Downloads 223 (148,250)
Citation 3

Abstract:

Loading...

Trading Activity Datasets, Panel Intensity Models, Latent Factors, Efficient Importance Sampling, Behavioral Finance

Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach

Number of pages: 45 Posted: 16 Feb 2009
Ingmar Nolte and Valeri Voev
Lancaster University - Department of Accounting and Finance and Aarhus University - CREATES
Downloads 75 (345,567)

Abstract:

Loading...

Trading Activity Datasets, Panel Intensity Models, Latent Factors, Efficient Importance Sampling, Behavioral Finance

12.

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, Ingmar Nolte and Sandra Nolte (Lechner)
University of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 262 (126,676)

Abstract:

Loading...

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

13.

Estimating Liquidity Using Information on the Multivariate Trading Process

Number of pages: 73 Posted: 17 Jul 2006
University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE), Lancaster University - Department of Accounting and Finance and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)
Downloads 261 (127,206)
Citation 1

Abstract:

Loading...

Liquidity, Copula Functions, Trading Process, Decimalization, Metropolized-Independence Sampler

14.

An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics

Number of pages: 39 Posted: 01 Mar 2007 Last Revised: 25 Jun 2009
University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE), Lancaster University - Department of Accounting and Finance and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)
Downloads 248 (134,056)
Citation 1

Abstract:

Loading...

Multivariate Discrete Distributions, Conditional Inflation, Copula Functions, Truncations, Metropolized-Independence Sampler

15.

Estimating Portfolio Risk for Tail Risk Protection Strategies

European Financial Management, Forthcoming
Number of pages: 47 Posted: 05 Jun 2017 Last Revised: 18 Dec 2019
David Happersberger, Harald Lohre and Ingmar Nolte
Lancaster University - Department of Accounting and Finance, Invesco and Lancaster University - Department of Accounting and Finance
Downloads 242 (137,323)
Citation 2

Abstract:

Loading...

Tail Risk Protection, CPPI, DPPI, Risk Modelling, Value-at-Risk, Expected Shortfall, Forecast Combination, Return Synchronization

16.

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

Number of pages: 36 Posted: 27 May 2016 Last Revised: 16 Jul 2019
Yifan Li, Ingmar Nolte and Sandra Nolte (Lechner)
University of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 241 (137,873)

Abstract:

Loading...

Intensity Modelling, Market Microstructure Invariance, Volatility Modelling

17.

Profiting from Mimicking Strategies in Non-Anonymous Markets

Number of pages: 44 Posted: 24 Apr 2011 Last Revised: 24 May 2013
Ingmar Nolte, Richard Payne and Michalis Vasios
Lancaster University - Department of Accounting and Finance, City University London - Sir John Cass Business School and Norges Bank Investment Management (NBIM)
Downloads 220 (150,623)

Abstract:

Loading...

Market Transparency, Asset Allocation, Broker Heterogeneity, Customer Order Flow

18.

A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics

Number of pages: 26 Posted: 24 Jan 2007
University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE), Lancaster University - Department of Accounting and Finance and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)
Downloads 212 (155,902)

Abstract:

Loading...

Integer Count Hurdle, Copula Functions, Discrete Multivariate Distributions, Foreign Exchange Market

19.

Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise

Number of pages: 30 Posted: 28 Apr 2009 Last Revised: 17 Mar 2011
Ingmar Nolte and Valeri Voev
Lancaster University - Department of Accounting and Finance and Aarhus University - CREATES
Downloads 211 (156,598)
Citation 1

Abstract:

Loading...

High frequency data, Subsampling, Realized volatility, Market microstructure

20.

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
University of Lucerne, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 208 (158,746)
Citation 3

Abstract:

Loading...

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

21.

What Determines Forecasters’ Forecasting Errors?

Number of pages: 34 Posted: 26 Jan 2010 Last Revised: 21 Jul 2018
Lancaster University - Department of Accounting and Finance, Lancaster University Management School and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)
Downloads 196 (167,767)
Citation 4

Abstract:

Loading...

Expectations, Tendency Survey, Forecasting Errors, Misclassification, GLARMA

22.

The Economic Value of Volatility Timing with Realized Jumps

Number of pages: 49 Posted: 12 Mar 2014 Last Revised: 21 Aug 2015
Ingmar Nolte and Qi Xu
Lancaster University - Department of Accounting and Finance and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 191 (171,689)
Citation 1

Abstract:

Loading...

high frequency data, jumps, asset allocation, volatility forecasting, realized volatility

23.

Cross Hedging Under Multiplicative Basis Risk

Number of pages: 31 Posted: 31 Mar 2011
Axel F. A. Adam-Muller and Ingmar Nolte
University of Trier, Fachbereich IV - BWL and Lancaster University - Department of Accounting and Finance
Downloads 185 (176,734)
Citation 4

Abstract:

Loading...

risk management, cross hedging, basis risk, prudence, jet fuel, crude oil futures, vector error correction model

24.

Modelling a Multivariate Transaction Process

Number of pages: 28 Posted: 26 Jun 2006 Last Revised: 26 Nov 2007
Ingmar Nolte
Lancaster University - Department of Accounting and Finance
Downloads 184 (177,637)

Abstract:

Loading...

Transaction data, discrete price changes, integer count hurdle model, fractionally integrated autoregressive conditional duration models

25.

A Least Squares Regression Realized Covariation Estimation

Number of pages: 87 Posted: 23 Jan 2013 Last Revised: 03 Oct 2019
Ingmar Nolte, Michalis Vasios, Valeri Voev and Qi Xu
Lancaster University - Department of Accounting and Finance, Norges Bank Investment Management (NBIM), Aarhus University - CREATES and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 178 (182,996)

Abstract:

Loading...

Market Microstructure Noise, Realized Volatility, Realized Covariation, High Frequency Data, Subsampling, Market Microstructure, Asset Allocation

26.

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 174 (186,619)

Abstract:

Loading...

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

27.

Dissecting Volatility Risks in Currency Markets

Number of pages: 78 Posted: 05 Nov 2015
Ingmar Nolte, Mark P. Taylor and Qi Xu
Lancaster University - Department of Accounting and Finance, Washington University in St. Louis - John M. Olin Business School and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 171 (189,459)
Citation 3

Abstract:

Loading...

Foreign Exchange, Carry Trade, Momentum, Volatility, Jump-Diffusion,Short-Run Long-Run Volatility

28.

A Descriptive Study of High-Frequency Trade and Quote Option Data

Number of pages: 80 Posted: 07 Sep 2019 Last Revised: 02 Jun 2020
Northwestern University - Kellogg School of Management, European University Institute, University of Vienna, University of Vienna - Department of Statistics and Operations Research, University of Manchester - Alliance Manchester Business School, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Independent
Downloads 142 (221,215)

Abstract:

Loading...

Options Data, High Frequency Data, Market Microstructure

29.

Renewal Based Volatility Estimation

Number of pages: 41 Posted: 22 Feb 2018 Last Revised: 25 Sep 2019
Yifan Li, Ingmar Nolte and Sandra Nolte (Lechner)
University of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 138 (226,396)

Abstract:

Loading...

High-Frequency Volatility Estimation, Realized Volatility, Renewal Theory

30.

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
Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Norges Bank Investment Management (NBIM)
Downloads 102 (282,696)
Citation 2

Abstract:

Loading...

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

31.

High-Frequency Covariance Matrix Estimation Using Price Durations

Number of pages: 57 Posted: 01 May 2018
Xiaolu Zhao, Ingmar Nolte and Stephen J. Taylor
Dongbei University of Finance and Economics, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and Finance
Downloads 89 (310,802)

Abstract:

Loading...

Price Durations, Covariance Estimation, High-Frequency Data, Market Microstructure Noise, Minimum Variance Portfolio

32.

A Generalized Heterogeneous Autoregressive Model using the Market Index

Number of pages: 47 Posted: 18 Dec 2019
Lancaster University, Lancaster University Management School, Lancaster University - Department of Accounting and Finance and University of Kent, Kent Business School
Downloads 45 (437,133)

Abstract:

Loading...

Realized Volatility, Micro-structure Noise, Pre-Averaged Estimators, Semi-variances, Semicovariances, Volatility Forecasting, Economic Value, Volatility-Timing Strategy

33.

Modeling a Multivariate Transaction Process

Journal of Financial Econometrics, Vol. 6, Issue 1, pp. 143-170, 2008
Posted: 10 Jul 2008
Ingmar Nolte
Lancaster University - Department of Accounting and Finance

Abstract:

Loading...

copula functions, discrete price changes, fractionally integrated autoregressive conditional duration models, integer count hurdle model, market microstructure, transaction data

34.

Modelling Financial Transaction Price Movements: A Dynamic Integer Count Data Model

Empirical Economics, Vol. 30, No. 4, pp. 795-825, 2006
Posted: 15 Jun 2006
University of Cologne, Department of Economics, Lancaster University - Department of Accounting and Finance and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)

Abstract:

Loading...

financial transaction prices, autoregressive conditional multinomial model, GLARMA, count data, market microstructure effects