Ingmar Nolte

Lancaster University - Department of Accounting and Finance

Lancaster, Lancashire LA1 4YX

United Kingdom

SCHOLARLY PAPERS

37

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36

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38

Scholarly Papers (37)

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 1,160 (22,505)
Citation 2

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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 (815,657)
Citation 3
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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 606 (56,154)
Citation 2

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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 520 (68,028)
Citation 3

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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 460 (79,027)

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

5.

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 385 (97,583)
Citation 4

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

6.

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 355 (106,621)
Citation 3

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

7.

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, Lancaster University - Department of Accounting and FinanceUniversity 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 FinanceMonash University - Department of Econometrics & Business Statistics, Lancaster University - Department of Accounting and Finance and Independent
Downloads 331 (115,587)
Citation 1

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Options Data, High Frequency Data, Market Microstructure

8.

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 331 (115,210)
Citation 4

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High frequency data, Realized volatility and covariance, Market microstructure

9.

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 328 (116,365)
Citation 4

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Disagreement, Uncertainty, Predictive Density, Forecast Combination

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
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 313 (122,376)

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

11.

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, Invesco and Lancaster University - Department of Accounting and Finance
Downloads 310 (123,615)
Citation 4

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

12.

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 310 (123,615)

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Multivariate Density Forecasting, Liquidity, Financial Econometrics

13.

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 310 (123,615)
Citation 2

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

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 225 (170,464)
Citation 3

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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 78 (387,255)

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

15.

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
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 285 (135,165)

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

16.

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 263 (146,747)
Citation 1

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

17.

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 255 (151,264)

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

18.

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 233 (165,219)
Citation 3

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

19.

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 European Securities and Markets Authority
Downloads 225 (170,867)

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

20.

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 216 (177,626)

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

21.

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 212 (180,742)
Citation 2

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High frequency data, Subsampling, Realized volatility, Market microstructure

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 203 (188,155)
Citation 4

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Expectations, Tendency Survey, Forecasting Errors, Misclassification, GLARMA

23.

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 196 (194,281)
Citation 1

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

24.

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 194 (197,891)

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

25.

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 190 (199,760)
Citation 4

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

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 187 (202,624)

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

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 186 (203,551)
Citation 1

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

28.

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 179 (210,561)
Citation 3

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

29.

Renewal Based Volatility Estimation

Number of pages: 41 Posted: 22 Feb 2018 Last Revised: 25 Sep 2019
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 167 (223,386)
Citation 1

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High-Frequency Volatility Estimation, Realized Volatility, Renewal Theory

30.

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 117 (297,109)

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

31.

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 105 (318,527)

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

32.

A Generalized Heterogeneous Autoregressive Model using Market Information

Number of pages: 45 Posted: 18 Dec 2019 Last Revised: 09 Jul 2021
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 98 (333,223)

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

33.

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 56 (455,346)
Citation 1

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

34.

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

Number of pages: 53 Posted: 29 Jan 2021
Shushu Liao, Ingmar Nolte and Grzegorz Pawlina
Auckland University of Technology, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and Finance
Downloads 26 (600,391)

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Adjustment costs, investment-cash flow sensitivity, financing constraints

35.

Mixture-of-Lognormal Risk-Neutral Density Estimation Revisited: Asymptotics, Analytical Derivatives, and the Mode Constraint

Number of pages: 63 Posted: 19 Oct 2021
Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and FinanceMonash University - Department of Econometrics & Business Statistics
Downloads 5 (756,261)

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risk-neutral density, parametric modelling, mixture-of-lognormal

36.

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

37.

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