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Professor Sandra Nolte

Personal Chair, Head of Department

  1. 2023
  2. Forthcoming

    A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies through the Cycles

    Swade, A., Lohre, H., Nolte, S., Shackleton, M. & Swinkels, L., 27/12/2023, (Accepted/In press) In: Journal of Portfolio Management.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  3. Forthcoming

    Transaction Cost-Optimized Equity Factors Around the World

    Basic, F., Lohre, H., Martin Utrera, A., Nolte, I. & Nolte, S., 25/11/2023, (Accepted/In press) In: Journal of Portfolio Management.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  4. E-pub ahead of print

    ControversyBERT: Detecting Social Controversies and their Impact on Stock Returns

    Lohre, H., Nolte, S., Ranganathan, A., Rother, C. & Steiner, M., 26/07/2023, (E-pub ahead of print) In: Journal of Impact & ESG Investing.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  5. E-pub ahead of print

    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/MagazineJournal articlepeer-review

  6. Published

    An integrated approach to currency factor investing

    Ranganathan, A., Lohre, H., Nolte, S. & Braham, H., 27/05/2023, In: Journal of Systematic Investing. 3, 1, p. 1-25 25 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  7. Published

    Why do equally weighted portfolios beat value-weighted ones?

    Swade, A., Nolte, S., Shackleton, M. & Lohre, H., 31/03/2023, In: Journal of Portfolio Management. 49, 5, p. 167-187 21 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  8. 2022
  9. Forthcoming

    Why do equally weighted portfolios beat value-weighted ones?

    Swade, A., Nolte, S., Shackleton, M. & Lohre, H., 16/11/2022, (Accepted/In press) Portfolio Management Research.

    Research output: Working paper

  10. Published

    Macro Factor Investing with Style

    Swade, A., Lohre, H., Shackleton, M., Nolte, S., Hixon, S. & Raol, J., 3/01/2022, In: Journal of Portfolio Management. 48, 2, p. 80-104 25 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  11. 2021
  12. 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/MagazineJournal articlepeer-review

  13. 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/MagazineJournal articlepeer-review

  14. 2019
  15. Unpublished

    Renewal Based Volatility Estimation

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

    Research output: Working paper

  16. 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/MagazineJournal articlepeer-review

  17. 2017
  18. 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/MagazineJournal articlepeer-review

  19. 2016
  20. Published

    Data masking by noise addition and the estimation of nonparametric regression models

    Lechner, S. & Pohlmeier, W., 21/11/2016, Econometrics of Anonymized Micro Data: Sonderheft 5/2005 Jahrbücher für Nationalökonomie und Statistik. De Gruyter, p. 517-528 12 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  21. Published
  22. Published

    How do individual investors trade?

    Nolte, I. & Nolte, S., 14/04/2016, High Frequency Trading and Limit Order Book Dynamics. Taylor and Francis Inc., p. 189-215 27 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  23. 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/MagazineJournal articlepeer-review

  24. 2015
  25. Published
  26. Published

    Dimensions and location of high-involvement management: fresh evidence from the UK Commission's 2011 Employer Skills Survey

    Wood, S., Nolte, S., Burridge, M., Rudloff, D. & Green, W., 04/2015, In: Human Resource Management Journal. 25, 2, p. 166-183 18 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  27. 2014
  28. Published

    Sell-side analysts' career concerns during banking stresses

    Nolte, I., Nolte, S. & Vasios, M., 12/2014, In: Journal of Banking and Finance. 49, p. 424-441 18 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  29. Published

    How do individual investors trade?

    Nolte, I. & Nolte, S., 2014, High frequency trading and limit order book dynamics. Nolte, I., Salmon, M. & Adcock, C. (eds.). London: Routledge, p. 189-215 27 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  30. 2013
  31. Published

    High Performance Working in the Employer Skills Surveys: Evidence Report 71

    Wood, S., Burridge, M., Green, W., Nolte, S., Rudloff, D. & Ni Luanaigh, A., 07/2013, High Performance Working in the Employer Skills Surveys. p. 1-86 86 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  32. 2012
  33. Published

    How do individual investors trade?

    Nolte, I. & Nolte, S., 2012, In: European Journal of Finance. 18, 10, p. 921-947 27 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  34. 2010
  35. Published

    Measurement error in nonlinear models: an application to disclosure limitation techniques

    Nolte, S., 2010, Berlin: Lit Verlag. 149 p.

    Research output: Book/Report/ProceedingsBook

  36. 2008
  37. Published

    Make assurance double sure: combination of two disclosure limitation methods and estimation of general regression models

    Nolte, S. & Flossmann, A., 12/2008, In: AStA Advances in Statistical Analysis. 92, 4, p. 405-422 18 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  38. Published

    Perturbation by multiplicative noise and the Simulation Extrapolation method

    Biewen, E., Nolte, S. & Rosemann, M., 12/2008, In: AStA Advances in Statistical Analysis. 92, 4, p. 375-389 15 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  39. 2007
  40. Published

    Bicameral Conflict Resolution in the European Union: An Empirical Analysis of Conciliation Committee Bargains

    Koenig, T., Lindberg, B., Nolte (Lechner), S. & Pohlmeier, W., 04/2007, In: British Journal of Political Science. 37, 2, p. 281–312 31 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  41. 2006
  42. Published

    Combining blanking and noise addition as a data disclosure limitation method

    Flossmann, A. & Lechner, S., 2006, Privacy in Statistical Databases - CENEX-SDC Project International Conference, PSD 2006, Proceedings. Domingo-Ferrer, J. & Franconi, L. (eds.). Springer-Verlag, p. 152-163 12 p. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); vol. 4302).

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNConference contribution/Paperpeer-review

  43. 2005
  44. Published

    Data Masking by Noise Addition and the Estimation of Nonlinear Regression Models

    Nolte (Lechner), S. & Pohlmeier, W., 1/10/2005, In: Jahrbuecher fuer Nationaloekonomie und Statistik. 225, 5, p. 517-528 12 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  45. 2004
  46. Published

    To blank or not to blank? A comparison of the effects of disclosure limitation methods on nonlinear regression estimates

    Lechner, S. & Pohlmeier, W., 31/12/2004, International Workshop on Privacy in Statistical Databases: PSD 2004: Privacy in Statistical Databases . Domingo-Ferrer, J. & Torra, V. (eds.). Berlin: Springer-Verlag, p. 187-200 14 p. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); vol. 3050).

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

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