Ingmar Nolte

Lancaster University - Department of Accounting and Finance

Lancaster, Lancashire LA1 4YX

United Kingdom

  • Lancaster University - Department of Accounting and Finance

SCHOLARLY PAPERS

44

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29

Scholarly Papers (44)

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1.

Improved Inference in Regression with Overlapping Observations

Number of pages: 40 Posted: 23 Jun 2004 Last Revised: 15 Aug 2014
Mark Britten-Jones, Anthony Neuberger and Ingmar Nolte
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

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Long horizon, stock return predictability, induced autocorrelation

2.

Power Sorting

Number of pages: 58 Posted: 28 Aug 2023
Anastasios Kagkadis, Harald Lohre, Ingmar Nolte, Sandra Nolte (Lechner) and Nikolaos Vasilas
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
Anastasios Kagkadis, Ingmar Nolte, Sandra Nolte (Lechner) and Nikolaos Vasilas
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

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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
Torben G. Andersen, Ilya Archakov, Leon Eric Grund, Nikolaus Hautsch, Yifan Li, Sergey Nasekin, Ingmar Nolte, Manh Cuong Pham, Manh Cuong Pham, Stephen J. Taylor and Viktor Todorov
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

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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
Seok Young Hong, Ingmar Nolte, Stephen J. Taylor and Xiaolu Zhao
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

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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

14.

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

Downloads 354 (141,734)
Citation 4

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

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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)

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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)

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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
Leif Brandes, Ingmar Nolte and Sandra Nolte (Lechner)
University of Lucerne, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 348 (144,393)
Citation 3

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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
Katarzyna Bien, Ingmar Nolte and Winfried Pohlmeier
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
Katarzyna Bien, Ingmar Nolte and Winfried Pohlmeier
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
Ingmar Nolte, Sandra Nolte (Lechner) and Winfried Pohlmeier
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
Katarzyna Bien, Ingmar Nolte and Winfried Pohlmeier
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

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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

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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
Rodrigo Hizmeri, Marwan Izzeldin, Ingmar Nolte and Vasileios Pappas
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
Filip Basic, Alberto Martin-Utrera, Ingmar Nolte and Sandra Nolte (Lechner)
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
Yifan Li, Ingmar Nolte, Manh Cuong Pham and Manh Cuong Pham
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
Ingmar Nolte, Sandra Nolte (Lechner) and Michalis Vasios
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
Yifan Li, Ingmar Nolte, Sandra Nolte (Lechner) and Shifan Yu
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
Ekaterina Kazak, Yifan Li, Ingmar Nolte and Sandra Nolte (Lechner)
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
Yifan Li, Ingmar Nolte, Michalis Vasios, Valeri Voev and Qi Xu
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
Yifan Li, Ingmar Nolte, Sandra Nolte (Lechner) and Shifan Yu
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
Roman Liesenfeld, Ingmar Nolte and Winfried Pohlmeier
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