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Details about Ingmar Nolte

E-mail:
Homepage:http://www.lancs.ac.uk/staff/nolte/
Workplace:Department of Accounting and Finance, Management School, Lancaster University, (more information at EDIRC)

Access statistics for papers by Ingmar Nolte.

Last updated 2020-02-06. Update your information in the RePEc Author Service.

Short-id: pno71


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Working Papers

2015

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

2011

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

2009

  1. 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 Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2011)

2008

  1. Estimating High-Frequency Based (Co-) Variances: A Unified Approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (8)
    Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2007) Downloads View citations (2)

2007

  1. 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) Downloads View citations (1)
    See also Journal Article in Journal of Applied Econometrics (2011)
  2. 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) Downloads View citations (5)
  3. 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) Downloads

2006

  1. 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) Downloads View citations (2)
  2. Estimating liquidity using information on the multivariate trading process
    Working Papers, Department of Applied Econometrics, Warsaw School of Economics Downloads
    Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2006) Downloads

Journal Articles

2019

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

2016

  1. Disagreement versus uncertainty: Evidence from distribution forecasts
    Journal of Banking & Finance, 2016, 72, (S), S172-S186 Downloads View citations (13)
  2. The information content of retail investors' order flow
    The European Journal of Finance, 2016, 22, (2), 80-104 Downloads

2015

  1. The economic value of volatility timing with realized jumps
    Journal of Empirical Finance, 2015, 34, (C), 45-59 Downloads View citations (11)

2014

  1. Sell-side analysts’ career concerns during banking stresses
    Journal of Banking & Finance, 2014, 49, (C), 424-441 Downloads View citations (4)

2012

  1. 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 Downloads View citations (9)
  2. How do individual investors trade?
    The European Journal of Finance, 2012, 18, (10), 921-947 Downloads View citations (6)

2011

  1. 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 (12)
    See also Working Paper (2007)
  2. Cross hedging under multiplicative basis risk
    Journal of Banking & Finance, 2011, 35, (11), 2956-2964 Downloads View citations (10)
  3. Improved Inference in Regression with Overlapping Observations
    Journal of Business Finance & Accounting, 2011, 38, (5-6), 657-683 Downloads View citations (16)
  4. Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise
    Journal of Business & Economic Statistics, 2011, 30, (1), 94-108 Downloads View citations (6)
    See also Working Paper (2009)

2008

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

2007

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

2006

  1. Modelling financial transaction price movements: a dynamic integer count data model
    Empirical Economics, 2006, 30, (4), 795-825 Downloads View citations (26)
 
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