Prof. Dr. Ingmar Nolte
Prof. Dr. Ingmar Nolte
Professor of Finance and Econometrics, Lancaster University Management School, Lancaster University
Bestätigte E-Mail-Adresse bei - Startseite
Zitiert von
Zitiert von
Modelling financial transaction price movements: a dynamic integer count data model
R Liesenfeld, I Nolte, W Pohlmeier
Empirical Economics 30, 795-825, 2006
Improved inference in regression with overlapping observations
M Britten‐Jones, A Neuberger, I Nolte
Journal of Business Finance & Accounting 38 (5‐6), 657-683, 2011
Cross hedging under multiplicative basis risk
AFA Adam-Müller, I Nolte
Journal of Banking & Finance 35 (11), 2956-2964, 2011
Disagreement versus uncertainty: Evidence from distribution forecasts
F Krüger, I Nolte
Journal of Banking & Finance 72, S172-S186, 2016
Using forecasts of forecasters to forecast
I Nolte, W Pohlmeier
International Journal of Forecasting 23 (1), 15-28, 2007
Modeling a multivariate transaction process
I Nolte
Journal of Financial Econometrics 6 (1), 143-170, 2008
An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics
K Bien, I Nolte, W Pohlmeier
Journal of Applied Econometrics 26 (4), 669-707, 2011
A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach
I Nolte
The European Journal of Finance 18 (10), 885-919, 2012
Estimating portfolio risk for tail risk protection strategies
D Happersberger, H Lohre, I Nolte
European Financial Management 26 (4), 1107-1146, 2020
The economic value of volatility timing with realized jumps
I Nolte, Q Xu
Journal of Empirical Finance 34, 45-59, 2015
How do individual investors trade?
I Nolte, S Nolte
The European Journal of Finance 18 (10), 921-947, 2012
Least squares inference on integrated volatility and the relationship between efficient prices and noise
I Nolte, V Voev
Journal of Business & Economic Statistics 30 (1), 94-108, 2012
Trading dynamics in the foreign exchange market: a latent factor panel intensity approach
I Nolte, V Voev
Journal of Financial Econometrics 9 (4), 685-716, 2011
Customer trading in the foreign exchange market empirical evidence from an internet trading platform
S Lechner, I Nolte
CoFE Discussion Paper, 2007
Sell-side analysts’ career concerns during banking stresses
I Nolte, S Nolte, M Vasios
Journal of Banking & Finance 49, 424-441, 2014
Estimating high-frequency based (co-) variances: A unified approach
I Nolte, V Voev
Available at SSRN 1003201, 2007
The information content of retail investors’ order flow
I Nolte, S Nolte
The European Journal of Finance 22 (2), 80-104, 2016
More accurate volatility estimation and forecasts using price durations
I Nolte, S Taylor, X Zhao
Working paper, Lancaster University.→ 78, 2016
A descriptive study of high-frequency trade and quote option data
T Andersen, I Archakov, L Grund, N Hautsch, Y Li, S Nasekin, I Nolte, ...
Journal of Financial Econometrics 19 (1), 128-177, 2021
High frequency trading and limit order book dynamics
I Nolte, M Salmon, C Adcock
Routledge, 2016
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