Ingmar Nolte
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Ingmar |
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Nolte |
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Affiliations
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Lancaster University
/ Management School
/ Department of Accounting and Finance
Research profile
author of:
- Estimating High-Frequency Based (Co-) Variances: A Unified Approach (RePEc:aah:create:2008-31)
by Ingmar Nolte & Valeri Voev - Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise (RePEc:aah:create:2009-16)
by Ingmar Nolte & Valeri Voev - Estimating portfolio risk for tail risk protection strategies (RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146)
by David Happersberger & Harald Lohre & Ingmar Nolte - Improved Inference in Regression with Overlapping Observations (RePEc:bla:jbfnac:v:38:y:2011:i:5-6:p:657-683)
by Mark Britten-Jones & Anthony Neuberger & Ingmar Nolte - High-frequency volatility modeling: A Markov-Switching Autoregressive Conditional Intensity model (RePEc:eee:dyncon:v:124:y:2021:i:c:s0165188921000129)
by Li, Yifan & Nolte, Ingmar & Nolte, Sandra - The economic value of volatility timing with realized jumps (RePEc:eee:empfin:v:34:y:2015:i:c:p:45-59)
by Nolte, Ingmar & Xu, Qi - Using forecasts of forecasters to forecast (RePEc:eee:intfor:v:23:y:2007:i:1:p:15-28)
by Nolte, Ingmar & Pohlmeier, Winfried - What determines forecasters’ forecasting errors? (RePEc:eee:intfor:v:35:y:2019:i:1:p:11-24)
by Nolte, Ingmar & Nolte, Sandra & Pohlmeier, Winfried - Weighted Least Squares Realized Covariation Estimation (RePEc:eee:jbfina:v:137:y:2022:i:c:s0378426622000206)
by Li, Yifan & Nolte, Ingmar & Vasios, Michalis & Voev, Valeri & Xu, Qi - Cross hedging under multiplicative basis risk (RePEc:eee:jbfina:v:35:y:2011:i:11:p:2956-2964)
by Adam-Müller, Axel F.A. & Nolte, Ingmar - Sell-side analysts’ career concerns during banking stresses (RePEc:eee:jbfina:v:49:y:2014:i:c:p:424-441)
by Nolte, Ingmar & Nolte, Sandra & Vasios, Michalis - Disagreement versus uncertainty: Evidence from distribution forecasts (RePEc:eee:jbfina:v:72:y:2016:i:s:p:s172-s186)
by Krüger, Fabian & Nolte, Ingmar - Disagreement, Uncertainty and the True Predictive Density (RePEc:knz:dpteco:1143)
by Fabian Krüger & Ingmar Nolte - A Descriptive Study of High-Frequency Trade and Quote Option Data
[Stealth Trading in Options Markets] (RePEc:oup:jfinec:v:19:y:2021:i:1:p:128-177.)
by Torben Andersen & Ilya Archakov & Leon Grund & Nikolaus Hautsch & Yifan Li & Sergey Nasekin & Ingmar Nolte & Manh Cuong Pham & Stephen Taylor & Viktor Todorov - Volatility Estimation and Forecasts Based on Price Durations
[Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise] (RePEc:oup:jfinec:v:21:y:2023:i:1:p:106-144.)
by Seok Young Hong & Ingmar Nolte & Stephen J Taylor & Xiaolu Zhao - Modeling a Multivariate Transaction Process (RePEc:oup:jfinec:v:6:y:2008:i:1:p:143-170)
by Ingmar Nolte - Profiting from Mimicking Strategies in Non-Anonymous Markets (RePEc:pra:mprapa:61710)
by Vasios, Michalis & Payne, Richard & Nolte, Ingmar - Modelling financial transaction price movements: a dynamic integer count data model (RePEc:spr:empeco:v:30:y:2006:i:4:p:795-825)
by Roman Liesenfeld & Ingmar Nolte & Winfried Pohlmeier - A multivariate integer count hurdle model: theory and application to exchange rate dynamics (RePEc:spr:stecpp:978-3-7908-1992-2_3)
by Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier - Modelling financial transaction price movements: a dynamic integer count data model (RePEc:spr:stecpp:978-3-7908-1992-2_8)
by Roman Liesenfeld & Ingmar Nolte & Winfried Pohlmeier - A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach (RePEc:taf:eurjfi:v:18:y:2012:i:10:p:885-919)
by Ingmar Nolte - How do individual investors trade? (RePEc:taf:eurjfi:v:18:y:2012:i:10:p:921-947)
by Ingmar Nolte & Sandra Nolte - The information content of retail investors' order flow (RePEc:taf:eurjfi:v:22:y:2016:i:2:p:80-104)
by Ingmar Nolte & Sandra Nolte - Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise (RePEc:taf:jnlbes:v:30:y:2011:i:1:p:94-108)
by Ingmar Nolte & Valeri Voev - A generalized heterogeneous autoregressive model using market information (RePEc:taf:quantf:v:22:y:2022:i:8:p:1513-1534)
by Rodrigo Hizmeri & Marwan Izzeldin & Ingmar Nolte & Vasileios Pappas - An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics (RePEc:wly:japmet:v:26:y:2011:i:4:p:669-707)
by Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier - Estimating liquidity using information on the multivariate trading process (RePEc:wse:wpaper:10)
by Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier - Estimating liquidity using information on the multivariate trading process (RePEc:zbw:cofedp:0604)
by Bien, Katarzyna & Nolte, Ingmar & Pohlmeier, Winfried - A Multivariate Integer Count Hurdle model: Theory and application to exchange rate dynamics (RePEc:zbw:cofedp:0606)
by Bien, Katarzyna & Nolte, Ingmar & Pohlmeier, Winfried - Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market (RePEc:zbw:cofedp:0702)
by Nolte, Ingmar & Voev, Valeri - Customer trading in the foreign exchange market empirical evidence from an internet trading platform (RePEc:zbw:cofedp:0703)
by Lechner, Sandra & Nolte, Ingmar - An inflated Multivariate Integer Count Hurdle model: An application to bid and ask quote dynamics (RePEc:zbw:cofedp:0704)
by Bien, Katarzyna & Nolte, Ingmar & Pohlmeier, Winfried - Estimating high-frequency based (co-) variances: A unified approach (RePEc:zbw:cofedp:0707)
by Nolte, Ingmar & Voev, Valeri