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

My research interests lie in the areas of financial econometrics, asset pricing, market microstructure and forecasting. My current research focuses on i) the construction of volatility estimators, jump and drift burst detection using high-frequency data and point process models; ii) factor investing with the aim to improve the information content of factors; and iii) the market microstructure of option markets and the estimation of risk-neutral densities using high-frequency option data. I am working on developing dynamic micro-econometric techniques (discrete choice, count data, point process models) in time-series and panel setups for the analysis of complex finance relationships and applying these models to gain a better understanding of disaggregated trading processes, 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.