Ingmar Nolte

Lancaster University - Department of Accounting and Finance

Lancaster, Lancashire LA1 4YX

United Kingdom

SCHOLARLY PAPERS

29

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CITATIONS
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Top 13,897

in Total Papers Citations

27

Scholarly Papers (29)

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, Cass Business School, City, University of London and Lancaster University - Department of Accounting and Finance
Downloads 994 (17,365)
Citation 5

Abstract:

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, Cass Business School, City, University of London and Lancaster University - Department of Accounting and Finance
Downloads 2 (571,283)
Citation 5
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Abstract:

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 446 (42,724)

Abstract:

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 437 (49,445)
Citation 1

Abstract:

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 396 (57,311)

Abstract:

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

5.

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 University of Aarhus - CREATES
Downloads 308 (78,957)
Citation 4

Abstract:

High frequency data, Realized volatility and covariance, Market microstructure

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 University of Aarhus - CREATES
Downloads 218 (117,594)
Citation 2

Abstract:

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 University of Aarhus - CREATES
Downloads 73 (277,884)
Citation 2

Abstract:

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

7.

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 290 (77,918)
Citation 4

Abstract:

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

8.

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 279 (88,014)
Citation 2

Abstract:

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

9.

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 267 (89,737)

Abstract:

Multivariate Density Forecasting, Liquidity, Financial Econometrics

10.

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 243 (86,985)

Abstract:

Disagreement, Uncertainty, Predictive Density, Forecast Combination

11.

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 240 (101,518)
Citation 1

Abstract:

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

12.

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 236 (107,262)
Citation 2

Abstract:

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

13.

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 Bank of England
Downloads 197 (121,909)

Abstract:

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

14.

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 190 (129,467)

Abstract:

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

15.

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 University of Aarhus - CREATES
Downloads 179 (128,909)
Citation 2

Abstract:

High frequency data, Subsampling, Realized volatility, Market microstructure

16.

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 168 (145,719)

Abstract:

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

17.

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 159 (145,719)
Citation 2

Abstract:

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

18.

What Determines Forecasters’ Forecasting Errors?

Number of pages: 32 Posted: 26 Jan 2010 Last Revised: 07 Mar 2014
Lancaster University - Department of Accounting and Finance, Lancaster University Management School and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)
Downloads 144 (157,738)
Citation 1

Abstract:

Expectations, Tendency Survey, Forecasting Errors, Misclassification, GLARMA

19.

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 Warwick - Warwick Business School, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 132 (160,272)

Abstract:

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

20.

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 118 (173,467)

Abstract:

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

21.

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 114 (156,853)

Abstract:

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

22.

A Least Squares Regression Realized Covariation Estimation under MMS Noise and Non-Synchronous Trading

Number of pages: 42 Posted: 23 Jan 2013 Last Revised: 02 Sep 2017
Ingmar Nolte, Michalis Vasios, Valeri Voev and Qi Xu
Lancaster University - Department of Accounting and Finance, Bank of England, University of Aarhus - CREATES and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 95 (187,300)

Abstract:

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

23.

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 Bank of England
Downloads 65 (240,580)
Citation 1

Abstract:

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

24.

High-Frequency Volatility Estimation and the Relative Importance of Market Microstructure Variables: An Autoregressive Conditional Intensity Approach

Number of pages: 59 Posted: 26 Sep 2015 Last Revised: 27 Feb 2017
Yifan Li, Ingmar Nolte and Sandra Nolte (Lechner)
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 14 (156,853)

Abstract:

High-Frequency Volatility Estimation, Market Microstructure Effects, Volume-Volatility Relationship, ACI Model

25.

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

Number of pages: 46 Posted: 27 May 2016
Yifan Li, Ingmar Nolte and Sandra Nolte (Lechner)
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 0 (222,970)

Abstract:

ACI Models, High-Frequency Volatility Modelling, Markov Switching Models

26.

More Accurate Volatility Estimation and Forecasts Using Price Durations

Number of pages: 41 Posted: 11 Jan 2016 Last Revised: 02 Nov 2016
Ingmar Nolte, Stephen J. Taylor and Xiaolu Zhao
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and Finance
Downloads 0 (123,016)

Abstract:

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

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 0 (175,440)

Abstract:

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

28.

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:

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

29.

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:

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