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Research

Professor Ingmar Nolte

Professor of Finance & Econometrics, Director

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  1. Journal article
  2. Published

    A generalized heterogeneous autoregressive model using market information

    Hizmeri, R., Izzeldin, M., Nolte, I. & Pappas, V., 31/08/2022, In: Quantitative Finance. 22, 8, p. 1513-1534 22 p.

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

  3. Published

    Weighted Least Squares Realized Covariation Estimation

    Li, Y., Nolte, I., Vasios, M., Voev, V. & Xu, Q., 30/04/2022, In: Journal of Banking and Finance. 137, 21 p., 106420.

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

  4. 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

  5. Published

    High-frequency volatility modeling: A Markov-Switching Autoregressive Conditional Intensity model

    Li, Y., Nolte, I. & Nolte, S., 31/03/2021, In: Journal of Economic Dynamics and Control. 124, 20 p., 104077.

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

  6. 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

  7. 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

  8. 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

  9. 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

  10. 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

  11. 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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