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
Jump to Journal Articles Chapters
Working Papers
2015
- Profiting from Mimicking Strategies in Non-Anonymous Markets
MPRA Paper, University Library of Munich, Germany View citations (1)
2011
- 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
- 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 Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) View citations (7) (2011)
2008
- 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
- 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 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)
- 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)
- 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
- 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 A multivariate integer count hurdle model: theory and application to exchange rate dynamics, Studies in Empirical Economics, Springer (2008) (2008)
- Estimating liquidity using information on the multivariate trading process
CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) 
Also in Working Papers, Department of Applied Econometrics, Warsaw School of Economics (2006)
Journal Articles
2023
- Volatility Estimation and Forecasts Based on Price Durations*
Journal of Financial Econometrics, 2023, 21, (1), 106-144 View citations (5)
2022
- A generalized heterogeneous autoregressive model using market information
Quantitative Finance, 2022, 22, (8), 1513-1534 View citations (2)
- Weighted Least Squares Realized Covariation Estimation
Journal of Banking & Finance, 2022, 137, (C)
2021
- 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 View citations (6)
- High-frequency volatility modeling: A Markov-Switching Autoregressive Conditional Intensity model
Journal of Economic Dynamics and Control, 2021, 124, (C) View citations (2)
2020
- Estimating portfolio risk for tail risk protection strategies
European Financial Management, 2020, 26, (4), 1107-1146 View citations (10)
2019
- What determines forecasters’ forecasting errors?
International Journal of Forecasting, 2019, 35, (1), 11-24 View citations (1)
2016
- Disagreement versus uncertainty: Evidence from distribution forecasts
Journal of Banking & Finance, 2016, 72, (S), S172-S186 View citations (31)
- The information content of retail investors' order flow
The European Journal of Finance, 2016, 22, (2), 80-104 View citations (3)
2015
- The economic value of volatility timing with realized jumps
Journal of Empirical Finance, 2015, 34, (C), 45-59 View citations (17)
2014
- Sell-side analysts’ career concerns during banking stresses
Journal of Banking & Finance, 2014, 49, (C), 424-441 View citations (5)
2012
- 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)
- How do individual investors trade?
The European Journal of Finance, 2012, 18, (10), 921-947 View citations (7)
2011
- 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) View citations (1) (2007)
- Cross hedging under multiplicative basis risk
Journal of Banking & Finance, 2011, 35, (11), 2956-2964 View citations (17)
- Improved Inference in Regression with Overlapping Observations
Journal of Business Finance & Accounting, 2011, 38, (5-6), 657-683 View citations (23)
- 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 Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise, CREATES Research Papers (2009) View citations (1) (2009)
2008
- Modeling a Multivariate Transaction Process
Journal of Financial Econometrics, 2008, 6, (1), 143-170 View citations (2)
2007
- Using forecasts of forecasters to forecast
International Journal of Forecasting, 2007, 23, (1), 15-28 View citations (25)
2006
- Modelling financial transaction price movements: a dynamic integer count data model
Empirical Economics, 2006, 30, (4), 795-825 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
- 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) View citations (2) (2006)
- 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) View citations (33) (2006)
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact econpapers@oru.se if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|