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Asset Pricing and Financial Econometrics

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  1. 2025
  2. Forthcoming

    Realized Candlestick Wicks

    Li, Y., Nolte, I., Nolte, S. & Yu, S., 29/04/2025, (Accepted/In press) In: Journal of Econometrics.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  3. 2024
  4. Published

    Parametric Risk-Neutral Density Estimation via Finite Lognormal-Weibull Mixtures

    Li, Y., Nolte, I. & Pham, M., 30/04/2024, In: Journal of Econometrics. 241, 2, 105748.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  5. Published

    Factor Timing with Portfolio Characteristics

    Kagkadis, A., Nolte, I., Nolte, S. & Vasilas, N., 31/03/2024, In: Review of Asset Pricing Studies. 14, 1, p. 84-118 35 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  6. Published

    The Value of Growth: Changes in Profitability and Future Stock Returns

    Wang, G., Yao, C., Sotes-Paladino, J. & Lim, B., 1/01/2024, In: Journal of Banking and Finance. 158, 52 p., 107036.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  7. 2023
  8. Published

    Volatility Estimation and Forecasts Based on Price Durations

    Hong, S. Y., Nolte, I., Taylor, S. & Zhao, V., 19/01/2023, In: Journal of Financial Econometrics. 21, 1, p. 106-144 39 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  9. 2021
  10. Published

    High-frequency volatility modelling: a Markov-switching autoregressive conditional intensity model

    Li, Y., Nolte, I. & Nolte, S., 31/03/2021, In: Journal of Economic Dynamics and Control. 124, 21 p., 104077.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  11. Published

    A descriptive study of high-frequency trade and quote option data

    Andersen, T., Archakov, I., Grund, L., Hautsch, N., Li, Y., Nasekin, S., Nolte, I., Pham, M., Taylor, S. & Todorov, V., 31/01/2021, In: Journal of Financial Econometrics. 19, 1, p. 128-177 50 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  12. 2020
  13. E-pub ahead of print

    Estimating Portfolio Risk for Tail Risk Protection Strategies

    Happersberger, D., Lohre, H. & Nolte, I., 3/02/2020, (E-pub ahead of print) In: European Financial Management. 26, 4, p. 1107-1146 40 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  14. 2019
  15. Published

    A Least Squares Regression Realised Covariation Estimation

    Nolte, I., Vasios, M., Voev, V. & Xu, Q., 3/10/2019, SSRN Working Paper, 87 p.

    Research output: Working paper

  16. Unpublished

    Renewal Based Volatility Estimation

    Li, Y., Nolte, I. & Nolte, S., 12/01/2019, (Unpublished) SSRN Working Paper.

    Research output: Working paper

  17. Published

    What determines forecasters’ forecasting errors?

    Nolte, I., Nolte, S. & Pohlmeier, W., 01/2019, In: International Journal of Forecasting. 35, 1, p. 11-24 14 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  18. 2018
  19. Published

    Information about price and volatility jumps inferred from options prices

    Taylor, S. J., Tzeng, J. & Widdicks, M., 10/2018, In: Journal of Futures Markets. 38, 10, p. 1206-1226 21 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  20. Published

    Density forecast comparisons for stock prices, obtained from high-frequency returns and daily option prices

    Fan, R., Taylor, S. J. & Sandri, M., 01/2018, In: Journal of Futures Markets. 38, 1, p. 83-103 21 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  21. Published

    High-frequency Covariance Matrix Estimation Using Price Durations

    Nolte, I., Taylor, S. J. & Zhao, X., 2018.

    Research output: Working paper

  22. 2017
  23. Published

    Foreign Monetary Policy and Firms' Default Risk

    Groba, J. & Serrano, P., 10/10/2017, Lancaster: Lancaster University, Department of Accounting and Finance, 86 p.

    Research output: Working paper

  24. Published

    Diversifying away the risk of war and cross-border political crisis

    Omar, A., Wisniewski, T. & Nolte, S., 05/2017, In: Energy Economics. 64, p. 494-510 17 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  25. Unpublished

    The value of growth: changes in profitability and future stock returns

    Sotes-Paladino, J., Wang, J. & Yao, Y., 2017, (Unpublished).

    Research output: Working paper

  26. 2016
  27. Published

    Asymmetric effects of volatility risk on stock returns: evidence from VIX and VIX futures

    Fu, X., Sandri, M. & Shackleton, M. B., 11/2016, In: Journal of Futures Markets. 36, 11, p. 1029-1056 28 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  28. Published

    Disagreement versus uncertainty: evidence from distribution forecasts

    Krueger, F. & Nolte, I., 11/2016, In: Journal of Banking and Finance. 72, Suppl., p. 172-186 15 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  29. Published

    Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages

    Wojakowski, R., Ebrahim, S. & Shackleton, M. B., 10/2016, In: Journal of Banking and Finance. 71, p. 62-74 13 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  30. Published

    Option implied volatility measures and stock return predictability

    Fu, X., Arisoy, Y. E., Shackleton, M. B. & Umutlu, M., 1/08/2016, In: Journal of Derivatives. 24, 1, p. 58-78 21 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  31. Published

    The interaction of volatility, volume and skewness: empirical evidence from REITs

    Akimov, A., Hutson, E. & Stevenson, S., 1/06/2016, In: Journal of Real Estate Portfolio Management. 22, 1, p. 1-17 17 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  32. Published

    The information content of retail investors' order flow

    Nolte, I. & Nolte, S., 2016, In: European Journal of Finance. 22, 2, p. 80-104 25 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  33. 2015
  34. Published

    Parameter uncertainty in multiperiod portfolio optimization with transaction costs

    DeMiguel, V., Martin Utrera, A. & Nogales, F. J., 12/2015, In: Journal of Financial and Quantitative Analysis. 50, 6, p. 1443-1471 29 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  35. Published

    The economic value of volatility timing with realized jumps

    Nolte, I. & Xu, Q., 12/2015, In: Journal of Empirical Finance. 34, p. 45-59 15 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

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