Personal Webpage: www.lancs.ac.uk/staff/nolte/

My research interests lie in the area of financial econometrics, market microstructure and forecasting. I am interested in high frequency finance & econometrics and the modelling of multivariate trading and volatility processes. I am working on developing micro-econometric techniques (discrete choice, count data, point process models) for the analysis of complex finance relationships, which involves researching the econometrics of such models for time-series and panel setups. I apply these models to gain a better understanding of the disaggregated trading process, which involves understanding the behaviour of individual market participants such as traders, brokers and analysts. I am also interested in the analysis of survey data and maro-forecasting with both qualitative and continuous data. My research in this area involves the analysis of forecasting combination techniques and multivariate density forecasting.

All areas in financial econometrics, market microstructure and forecasting.