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Details about Ingmar Nolte

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 2023-05-10. 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 View citations (1)
    See also Journal Article Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) Downloads View citations (7) (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 (9)
    Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2007) Downloads View citations (3)

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 An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (13) (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)
    See also Chapter A multivariate integer count hurdle model: theory and application to exchange rate dynamics, Studies in Empirical Economics, Springer (2008) (2008)
  2. Estimating liquidity using information on the multivariate trading process
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads
    Also in Working Papers, Department of Applied Econometrics, Warsaw School of Economics (2006) Downloads

Journal Articles

2023

  1. Volatility Estimation and Forecasts Based on Price Durations*
    Journal of Financial Econometrics, 2023, 21, (1), 106-144 Downloads View citations (5)

2022

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

2021

  1. A Descriptive Study of High-Frequency Trade and Quote Option Data*
    (Stealth Trading in Options Markets)
    Journal of Financial Econometrics, 2021, 19, (1), 128-177 Downloads View citations (6)
  2. High-frequency volatility modeling: A Markov-Switching Autoregressive Conditional Intensity model
    Journal of Economic Dynamics and Control, 2021, 124, (C) Downloads View citations (2)

2020

  1. Estimating portfolio risk for tail risk protection strategies
    European Financial Management, 2020, 26, (4), 1107-1146 Downloads View citations (10)

2019

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

2016

  1. Disagreement versus uncertainty: Evidence from distribution forecasts
    Journal of Banking & Finance, 2016, 72, (S), S172-S186 Downloads View citations (31)
  2. The information content of retail investors' order flow
    The European Journal of Finance, 2016, 22, (2), 80-104 Downloads View citations (3)

2015

  1. The economic value of volatility timing with realized jumps
    Journal of Empirical Finance, 2015, 34, (C), 45-59 Downloads View citations (17)

2014

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

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 (10)
  2. How do individual investors trade?
    The European Journal of Finance, 2012, 18, (10), 921-947 Downloads View citations (7)

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 (13)
    See also Working Paper An inflated Multivariate Integer Count Hurdle model: An application to bid and ask quote dynamics, CoFE Discussion Papers (2007) Downloads View citations (1) (2007)
  2. Cross hedging under multiplicative basis risk
    Journal of Banking & Finance, 2011, 35, (11), 2956-2964 Downloads View citations (17)
  3. Improved Inference in Regression with Overlapping Observations
    Journal of Business Finance & Accounting, 2011, 38, (5-6), 657-683 Downloads View citations (23)
  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 (7)
    See also Working Paper Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise, CREATES Research Papers (2009) Downloads View citations (1) (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 (25)

2006

  1. Modelling financial transaction price movements: a dynamic integer count data model
    Empirical Economics, 2006, 30, (4), 795-825 Downloads View citations (33)
    See also Chapter Modelling financial transaction price movements: a dynamic integer count data model, Studies in Empirical Economics, 2008, 167-197 (2008) View citations (2) (2008)

Chapters

2008

  1. A multivariate integer count hurdle model: theory and application to exchange rate dynamics
    Springer
    See also Working Paper A Multivariate Integer Count Hurdle model: Theory and application to exchange rate dynamics, University of Konstanz, Center of Finance and Econometrics (CoFE) (2006) Downloads View citations (2) (2006)
  2. Modelling financial transaction price movements: a dynamic integer count data model
    Springer View citations (2)
    See also Journal Article Modelling financial transaction price movements: a dynamic integer count data model, Springer (2006) Downloads View citations (33) (2006)
 
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