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Professor Ingmar Nolte

Professor of Finance & Econometrics, Director

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  1. 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

  2. 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

  3. Published

    High-frequency volatility estimation and the relative importance of market microstructure variables

    Li, Y., Nolte, I. & Nolte, S., 25/09/2015, 50 p.

    Research output: Working paper

  4. Published

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

    Li, Y., Nolte, I. & Nolte, S., 27/05/2016, 46 p.

    Research output: Working paper

  5. Unpublished

    Renewal Based Volatility Estimation

    Li, Y., Nolte, I. & Nolte, S., 12/01/2019, (Unpublished) SSRN Working Paper.

    Research output: Working paper

  6. 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

  7. 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

  8. 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

  9. 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

  10. Published

    Can Capital Adjustment Costs Explain the Decline in Investment-Cash Flow Sensitivity?

    Liao, S., Nolte, I. & Pawlina, G., 2020, Lancaster.

    Research output: Working paper

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