Ingmar Nolte

Lancaster University - Department of Accounting and Finance

Lancaster, Lancashire LA1 4YX

United Kingdom

SCHOLARLY PAPERS

44

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13,857

SSRN CITATIONS
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Top 14,485

in Total Papers Citations

62

CROSSREF CITATIONS

29

Scholarly Papers (44)

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 1,596 (19,269)
Citation 2

Abstract:

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Long horizon, stock return predictability, induced autocorrelation

2.

Power Sorting

Number of pages: 58 Posted: 28 Aug 2023
Lancaster University - Department of Accounting and Finance, Robeco Quantitative Investments, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University - Lancaster University Management School
Downloads 695 (63,108)

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Factor Investing, Portfolio Construction, Power Sorting

3.

Factor Timing with Portfolio Characteristics

Number of pages: 78 Posted: 08 Nov 2021 Last Revised: 27 Mar 2023
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 677 (65,095)
Citation 2

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

4.

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 641 (69,750)
Citation 2

Abstract:

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

5.

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 616 (73,331)
Citation 1

Abstract:

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Options Data, High Frequency Data, Market Microstructure

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 563 (82,053)
Citation 4

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

7.

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 494 (96,364)

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

8.

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 486 (98,339)
Citation 4

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

9.

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 393 (126,109)

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

10.

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 380 (131,048)
Citation 4

Abstract:

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

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 380 (131,048)
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 366 (136,619)
Citation 4

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Disagreement, Uncertainty, Predictive Density, Forecast Combination

13.

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 356 (140,878)
Citation 5

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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 Aarhus University - CREATES
Downloads 254 (199,420)
Citation 4

Abstract:

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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 100 (438,696)

Abstract:

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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 349 (143,917)

Abstract:

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Multivariate Density Forecasting, Liquidity, Financial Econometrics

16.

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 348 (144,393)
Citation 3

Abstract:

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

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 333 (151,323)
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 327 (154,297)

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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 283 (179,668)
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 280 (181,630)
Citation 1

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

21.

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 247 (205,794)

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

22.

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 245 (207,427)
Citation 5

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Expectations, Tendency Survey, Forecasting Errors, Misclassification, GLARMA

23.

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 243 (209,921)
Citation 2

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High frequency data, Subsampling, Realized volatility, Market microstructure

24.

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 241 (210,741)

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

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, European Securities and Markets Authority, Aarhus University - CREATES and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 236 (215,126)

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

26.

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 230 (220,583)
Citation 1

Abstract:

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

27.

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 222 (228,133)
Citation 1

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

28.

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 220 (230,128)

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

29.

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 213 (237,126)
Citation 5

Abstract:

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

30.

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 Kent, Kent Business School
Downloads 210 (240,204)

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

31.

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 210 (240,204)
Citation 3

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

32.

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 196 (255,824)
Citation 1

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High-Frequency Volatility Estimation, Realized Volatility, Renewal Theory

33.

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 188 (265,607)

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

34.

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 179 (277,288)

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Portfolio optimization, Implementation Shortfall, Time-series models.

35.

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

Number of pages: 69 Posted: 19 Oct 2021 Last Revised: 24 May 2023
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 156 (311,754)
Citation 2

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

36.

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 128 (364,555)

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

37.

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 127 (366,715)
Citation 1

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

38.

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

Number of pages: 69 Posted: 14 Nov 2021 Last Revised: 10 Oct 2022
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 123 (375,601)

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

39.

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 119 (384,852)

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Adjustment costs, investment-cash flow sensitivity, financing constraints

40.

Direct Portfolio Weight Estimator: Mitigating Specification Risk with Realized Utility

Number of pages: 31 Posted: 11 Mar 2022 Last Revised: 17 May 2022
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 103 (426,832)

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

41.

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 61 (579,845)

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

42.

Nonparametric Range-Based Estimation of Integrated Variance with Episodic Extreme Return Persistence

Number of pages: 55 Posted: 20 Jul 2023 Last Revised: 12 Sep 2023
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 43 (676,612)

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

43.

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

44.

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