Details about Ingmar Nolte

Access statistics for papers by Ingmar Nolte.

Last updated 2023-05-10. Update your information in the RePEc Author Service.

Short-id: pno71

Working Papers

2015

1. Profiting from Mimicking Strategies in Non-Anonymous Markets
   MPRA Paper, University Library of Munich, Germany View citations (1)

2011

2. Disagreement, Uncertainty and the True Predictive Density
   Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz

2009

3. Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   See also Journal Article in Journal of Business & Economic Statistics (2011)

2008

4. Estimating High-Frequency Based (Co-) Variances: A Unified Approach
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (9)
   Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2007) View citations (3)

2007

5. An inflated Multivariate Integer Count Hurdle model: An application to bid and ask quote dynamics
   CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (1)
   See also Journal Article in Journal of Applied Econometrics (2011)
6. Customer trading in the foreign exchange market empirical evidence from an internet trading platform
   CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (5)
7. Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market
   CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE)

2006

8. A Multivariate Integer Count Hurdle model: Theory and application to exchange rate dynamics
   CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (2)
   See also Chapter (2008)
9. Estimating liquidity using information on the multivariate trading process
   Working Papers, Department of Applied Econometrics, Warsaw School of Economics
   Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2006)

Journal Articles

2023

1. Volatility Estimation and Forecasts Based on Price Durations*
   (Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise)
   The Journal of Financial Econometrics, 2023, 21, (1), 106-144 View citations (2)

2022

2. A generalized heterogeneous autoregressive model using market information
   Quantitative Finance, 2022, 22, (8), 1513-1534 View citations (1)
3. Weighted Least Squares Realized Covariation Estimation
   Journal of Banking & Finance, 2022, 137, (C)

2021

4. A Descriptive Study of High-Frequency Trade and Quote Option Data*
   (Stealth Trading in Options Markets)
   The Journal of Financial Econometrics, 2021, 19, (1), 128-177 View citations (1)
5. High-frequency volatility modeling: A Markov-Switching Autoregressive Conditional Intensity model
   Journal of Economic Dynamics and Control, 2021, 124, (C) View citations (2)

2020

6. Estimating portfolio risk for tail risk protection strategies
   European Financial Management, 2020, 26, (4), 1107-1146 View citations (8)

2019

7. What determines forecasters’ forecasting errors?
   International Journal of Forecasting, 2019, 35, (1), 11-24 View citations (1)

2016

8. Disagreement versus uncertainty: Evidence from distribution forecasts
   Journal of Banking & Finance, 2016, 72, (S), S172-S186 View citations (29)
9. The information content of retail investors' order flow
   The European Journal of Finance, 2016, 22, (2), 80-104 View citations (3)

2015

10. The economic value of volatility timing with realized jumps
    Journal of Empirical Finance, 2015, 34, (C), 45-59 View citations (16)

2014

11. Sell-side analysts’ career concerns during banking stresses
    Journal of Banking & Finance, 2014, 49, (C), 424-441 View citations (5)

2012

12. A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach
    The European Journal of Finance, 2012, 18, (10), 885-919 View citations (10)
13. How do individual investors trade?
    The European Journal of Finance, 2012, 18, (10), 921-947 View citations (7)

2011

14. An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics
    Journal of Applied Econometrics, 2011, 26, (4), 669-707 View citations (13)
    See also Working Paper (2007)
15. Cross hedging under multiplicative basis risk
    Journal of Banking & Finance, 2011, 35, (11), 2956-2964 View citations (14)
16. Improved Inference in Regression with Overlapping Observations
    Journal of Business Finance & Accounting, 2011, 38, (5-6), 657-683 View citations (21)
17. Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise
    Journal of Business & Economic Statistics, 2011, 30, (1), 94-108 View citations (7)
    See also Working Paper (2009)

2008

18. Modeling a Multivariate Transaction Process
    The Journal of Financial Econometrics, 2008, 6, (1), 143-170 View citations (2)

2007

19. Using forecasts of forecasters to forecast
    International Journal of Forecasting, 2007, 23, (1), 15-28 View citations (25)

2006

20. Modelling financial transaction price movements: a dynamic integer count data model
    Empirical Economics, 2006, 30, (4), 795-825 View citations (29)
    See also Chapter (2008)

Chapters

2008

1. A multivariate integer count hurdle model: theory and application to exchange rate dynamics
   Springer
   See also Working Paper (2006)
2. Modelling financial transaction price movements: a dynamic integer count data model
   Springer View citations (2)
   See also Journal Article in Empirical Economics (2006)