Ingmar Nolte

Lancaster University - Department of Accounting and Finance

Lancaster, Lancashire LA1 4YX

United Kingdom

SCHOLARLY PAPERS

45

DOWNLOADS
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Top 4,791

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15,831

SSRN CITATIONS
Rank 13,612

SSRN RANKINGS

Top 13,612

in Total Papers Citations

82

CROSSREF CITATIONS

30

Scholarly Papers (45)

1.

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 1,785 (18,496)
Citation 2

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Long horizon, stock return predictability, induced autocorrelation

2.

Power Sorting

Number of pages: 65 Posted: 28 Aug 2023 Last Revised: 30 May 2024
University of Liverpool Management School, Robeco Quantitative Investments, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University - Lancaster University Management School
Downloads 1,293 (30,066)
Citation 1

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Factor Investing, Portfolio Construction, Portfolio Weights, Power Sorting

3.

Factor Timing with Portfolio Characteristics

Number of pages: 78 Posted: 08 Nov 2021 Last Revised: 27 Mar 2023
University of Liverpool Management School, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University - Lancaster University Management School
Downloads 814 (57,631)
Citation 6

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

4.

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

Number of pages: 80 Posted: 07 Sep 2019 Last Revised: 27 Aug 2020
Northwestern University - Kellogg School of Management, University of Vienna - Faculty of Business, Economics and Statistics, University of Vienna, University of Vienna - Department of Statistics and Operations Research, The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and FinanceMonash University - Department of Econometrics & Business Statistics, Lancaster University - Department of Accounting and Finance and Independent
Downloads 725 (67,259)
Citation 1

Abstract:

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Options Data, High Frequency Data, Market Microstructure

5.

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 652 (77,067)
Citation 2

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

6.

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 575 (90,172)
Citation 4

Abstract:

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

7.

Volatility Estimation and Forecasts Based on Price Durations

Number of pages: 74 Posted: 11 Jan 2016 Last Revised: 29 Jan 2021
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 513 (103,965)
Citation 4

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

8.

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 500 (107,278)

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

9.

Estimating Portfolio Risk for Tail Risk Protection Strategies

European Financial Management, Vol. 26, Issue 4, pp. 1107–1146, 2020
Number of pages: 47 Posted: 05 Jun 2017 Last Revised: 03 Sep 2020
David Happersberger, Harald Lohre and Ingmar Nolte
Lancaster University - Department of Accounting and Finance, Robeco Quantitative Investments and Lancaster University - Department of Accounting and Finance
Downloads 426 (129,595)
Citation 4

Abstract:

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

10.

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, Ingmar Nolte and Sandra Nolte (Lechner)
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 426 (129,595)

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

11.

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 384 (145,927)
Citation 3

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

12.

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 383 (146,363)
Citation 4

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Disagreement, Uncertainty, Predictive Density, Forecast Combination

13.

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 378 (148,439)
Citation 3

Abstract:

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

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 272 (209,335)
Citation 4

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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 105 (479,279)

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

15.

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 370 (152,037)

Abstract:

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Multivariate Density Forecasting, Liquidity, Financial Econometrics

16.

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 366 (153,889)
Citation 5

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High frequency data, Realized volatility and covariance, Market microstructure

17.

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 346 (163,628)
Citation 2

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

18.

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)
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 336 (168,798)

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

19.

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 294 (194,414)
Citation 1

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

20.

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 287 (199,333)

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

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 276 (207,457)
Citation 5

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Expectations, Tendency Survey, Forecasting Errors, Misclassification, GLARMA

22.

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 - The Business School and European Securities and Markets Authority
Downloads 259 (221,041)

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

23.

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, European Securities and Markets Authority, Aarhus University - CREATES and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 256 (223,628)

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

24.

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 256 (223,628)
Citation 2

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High frequency data, Subsampling, Realized volatility, Market microstructure

25.

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 250 (228,969)

Abstract:

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

26.

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 239 (239,275)

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

27.

A Generalized Heterogeneous Autoregressive Model using Market Information

Quantitative Finance (Forthcoming)
Number of pages: 55 Posted: 18 Dec 2019 Last Revised: 06 Dec 2022
University of Liverpool - Management School (ULMS), Lancaster University Management School, Lancaster University - Department of Accounting and Finance and University of Surrey - Surrey Business School
Downloads 238 (240,329)

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Realized Volatility, Microstructure Noise, Pre-Averaged Estimators, Semi-variances, Semicovariances, Volatility Forecasting.

28.

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 237 (241,268)
Citation 1

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

29.

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

Number of pages: 29 Posted: 30 Jan 2022
Lancaster University - Department of Accounting and Finance, Iowa State University, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 230 (248,247)

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Portfolio optimization, Implementation Shortfall, Time-series models.

30.

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 228 (250,356)
Citation 1

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

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 223 (255,644)

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

32.

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 223 (255,644)
Citation 5

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

33.

Parametric Risk-Neutral Density Estimation via Finite Lognormal-Weibull Mixtures

Journal of Econometrics, Forthcoming
Number of pages: 83 Posted: 19 Oct 2021 Last Revised: 19 Apr 2024
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and FinanceMonash University - Department of Econometrics & Business Statistics
Downloads 222 (256,752)

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risk-neutral density, parametric modelling, mixture-of-distribution method

34.

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 220 (258,898)
Citation 3

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

35.

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)
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 211 (269,204)
Citation 1

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High-Frequency Volatility Estimation, Realized Volatility, Renewal Theory

36.

Realized Candlestick Wicks

Number of pages: 55 Posted: 20 Jul 2023 Last Revised: 04 Jun 2024
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University Management School
Downloads 189 (298,812)

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High-Frequency Data, Integrated Variance, Extreme Return Persistence, Drift Burst, Range-Based Volatility Estimation

37.

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

Number of pages: 53 Posted: 14 Nov 2021 Last Revised: 18 May 2024
Singapore Management University - School of Economics, The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University Management School
Downloads 172 (323,294)
Citation 1

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High-Frequency Data, Jump Test, Market Microstructure Noise, Stochastic Sampling Scheme, First Exit Time

38.

A Linear Weight Estimator for Dynamic Global Minimum Variance Portfolio Allocation

Number of pages: 40 Posted: 11 Mar 2022 Last Revised: 30 Nov 2023
University of Manchester, The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 157 (349,593)

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

39.

Bolstering the Modelling and Forecasting of Realized Covariance Matrices using (Directional) Common Jumps

Number of pages: 39 Posted: 12 Jan 2021 Last Revised: 08 Jul 2021
Rodrigo Hizmeri, Marwan Izzeldin and Ingmar Nolte
University of Liverpool - Management School (ULMS), Lancaster University Management School and Lancaster University - Department of Accounting and Finance
Downloads 145 (373,038)
Citation 1

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Common Jumps, Directional Common Jumps, Realized Covariances, Forecasting, Asset Allocation, Portfolio Construction

40.

Can Capital Adjustment Costs Explain the Decline in Investment-Cash Flow Sensitivity?

Journal of Financial and Quantitative Analysis, Journal of Financial and Quantitative Analysis
Number of pages: 26 Posted: 29 Jan 2021 Last Revised: 17 Jul 2023
Shushu Liao, Ingmar Nolte and Grzegorz Pawlina
Kühne Logistics University, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and Finance
Downloads 144 (375,113)

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Adjustment costs, investment-cash flow sensitivity, financing constraints

41.

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 European Securities and Markets Authority
Downloads 133 (399,244)
Citation 1

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

42.

Weighted Least Squares Realized Covariation Estimation

Number of pages: 79 Posted: 20 Jan 2022
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, European Securities and Markets Authority, affiliation not provided to SSRN and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 73 (596,581)
Citation 1

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Market Microstructure Noise, Realized Volatility, Realized Covariation,Weighted Least Squares, Volatility Forecasting, Asset Allocation

43.

Decoupling Interday and Intraday Volatility Dynamics with Price Durations

Number of pages: 32 Posted: 31 May 2024
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University Management School
Downloads 20 (961,009)

Abstract:

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High-Frequency Data, Volatility Estimation, Price Durations, ACD model

44.

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

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

45.

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)

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