| 2024 | Parametric Risk-Neutral Density Estimation via Finite Lognormal-Weibull Mixtures, (citation BibTeX, link to working paper version), Journal of Econometrics; 241 (2), 105748; joint work with Yifan Li and Manh Cuong Pham; (Supplementary Material). |
| 2024 | Can Capital Adjustment Costs Explain the Decline in Investment-Cash Flow Sensitivity? (citation BibTeX, link to working paper version), Journal of Financial and Quantitative Analysis; 59 (5), 2399-2424; joint work with Shushu Liao and Grzegorz Pawlina. |
| 2024 | Transaction Cost-Optimized Equity Factors Around the World (citation BibTeX, link to working paper version), The Journal of Portfolio Management; 50 (6), 40-73; joint work with Filip Basic, Harald Lohre, Alberto Martin-Utrera and Sandra Nolte. |
| 2024 | Factor Timing with Portfolio Characteristics, (citation BibTeX, link to working paper version), Review of Asset Pricing Studies; 14 (1), 84-118; joint work with Anastasios Kagkadis, Sandra Nolte and Nikolaos Vasilas. |
| 2023 | Volatility Estimation and Forecasts based on Price Durations, (citation BibTeX, link to working paper version), Journal of Financial Econometrics; 21 (1), 106-144; (Web-Appendix) joint work with Seok Young Hong, Stephen J. Taylor and Xiaolu Zhao. |
| 2022 | A Generalized Heterogeneous Autoregressive Model using the Market Index, (citation BibTeX, link to working paper version), Quantitative Finance; 22:8, 1513-1534; joint work with Rodrigo Hizmeri, Marwan Izzeldin and Vasileios Pappas. |
| 2022 | Weighted Least Squares Realized Covariation Estimation, (citation BibTeX, link to working paper version), Journal of Banking and Finance; 137, 106420; joint work with Yifan Li, Michalis Vasios, Valeri Voev and Qi Xu. |
| 2021 | High-Frequency Volatility Modelling: A Markov-Switching Autoregressive Conditional Intensity Model, (citation BibTeX, link to working paper version), Journal of Economic Dynamics and Control; 124, 104077; joint work with Yifan Li and Sandra Nolte. |
| 2021 | A Descriptive Study of High-Frequency Trade and Quote Option Data, (citation BibTeX, link to working paper version), Journal of Financial Econometrics, 19 (1), 128-177; joint work with Torben G. Andersen, Ilya Archakov, Leon Grund, Nikolaus Hautsch, Yifan Li, Sergey Nasekin, Manh Cuong Pham, Stephen Taylor and Viktor Todorov. |
| 2020 | Estimating Portfolio Risk for Tail Risk Protection Strategies, (citation BibTeX, link to working paper version), European Financial Management, 26 (4), 1107-1146; joint work with David Happersberger and Harald Lohre. |
| 2019 | What Determines Forecasters’ Forecasting Errors, (citation BibTeX, link to working paper version), International Journal of Forecasting, 35 (1), 11-24; joint work with Sandra Nolte and Winfried Pohlmeier. |
| 2016 | Disagreement versus Uncertainty: Evidence from Distribution Forecasts, (citation BibTeX, link to working paper version), Journal of Banking and Finance, 72, 172-186; joint work with Fabian Krueger. |
| 2016 | The Information Content of Retail Investors’ Order Flow, (citation BibTeX, link to working paper version), European Journal of Finance, 22 (2), 80-104; joint work with Sandra Nolte. |
| 2015 | The Economic Value of Volatility Timing with Realized Jumps, (citation BibTeX, link to working paper version), Journal of Empirical Finance, 34, 45-59; joint work with Qi Xu. |
| 2014 | Sell-Side Analysts’ Career Concerns during Banking Stresses, (citation BibTeX, link to working paper version), Journal of Banking and Finance, 49, 424-441; joint work with Sandra Nolte and Michalis Vasios. |
| 2012 | Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise, (citation BibTeX, link to working paper version), Journal of Business & Economic Statistics, 30 (1), 94-108; (Web-Appendix); joint work with Valeri Voev. |
| 2012 | A Detailed Investigation of the Disposition Effect and Individual Trading Behavior: A Panel Survival Approach, (citation BibTeX, link to working paper version), European Journal of Finance, 18(9-10), 885-919. |
| 2012 | How do Individual Investors Trade? (citation BibTeX, link to working paper version), European Journal of Finance, 18 (9-10), 921-947; joint work with Sandra Nolte. |
| 2011 | Trading Dynamics on the Foreign Exchange Market: A Latent Factor Panel Intensity Approach, (citation BibTeX, link to working paper version), Journal of Financial Econometrics, 9, 685-716; (Web-Appendix); joint work with Valeri Voev. |
| 2011 | Cross Hedging Under Multiplicative Basis Risk, (citation BibTeX, link to working paper version), Journal of Banking and Finance, 35, 2956-2964; joint work with Axel Adam-Mueller. |
| 2011 | Improved Inference in Regression with Overlapping Observations, (citation BibTeX, link to working paper version), Journal of Business Finance and Accounting, 38, 657-683; joint work with Mark Britten-Jones and Anthony Neuberger. |
| 2011 | An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics, (citation BibTeX, link to working paper version), Journal of Applied Econometrics, 26, 669-707; joint work with Katarzyna Bien and Winfried Pohlmeier. |
| 2008 | Modelling a Multivariate Transaction Process, (citation BibTeX, link to working paper version), Journal of Financial Econometrics, 6, 143-170. |
| 2007 | Using Forecasts of Forecasters to Forecast, (citation BibTeX, link to working paper version), International Journal of Forecasting, 23, 15-28; joint work with Winfried Pohlmeier. |
| 2006 | Modelling Financial Transaction Price Movements: A Dynamic Integer Count Data Model, (citation BibTeX, link to working paper version), Empirical Economics, 30(4), 795-825; joint work with Roman Liesenfeld and Winfried Pohlmeier. |
| Books
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| 2014 | Ingmar Nolte, Mark Salmon, Chris Adcock (eds.): High Frequency Trading and Limit Order Book Dynamics, Routledge; 1st edition (November 25, 2014), 320 pages. |
| Chapters in Books
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| 2014 | A Detailed Investigation of the Disposition Effect and Individual Trading Behavior: A Panel Survival Approach, (citation BibTeX, link to working paper version), in: I. Nolte, M. Salmon & C. Adcock (eds.): High Frequency Trading and Limit Order Book Dynamics, Routledge; 1st edition; Reprint from European Journal of Finance, 2012, 18(9-10), 885-919. |
| 2014 | How do Individual Investors Trade? (citation BibTeX, link to working paper version), in: I. Nolte, M. Salmon & C. Adcock (eds.): High Frequency Trading and Limit Order Book Dynamics, Routledge; 1st edition; Reprint from European Journal of Finance, 2012, 18 (9-10), 921-947; joint work with Sandra Nolte. |
| 2008 | A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics, (citation BibTeX, link to working paper version), in: L. Bauwens, W. Pohlmeier & D. Veredas (eds.), Recent Developments in High Frequency Financial Econometrics, Studies in Empirical Economics, 31-48, Springer, Berlin; joint work with Katarzyna Bien, Winfried Pohlmeier. |
| 2008 | Modelling Financial Transaction Price Movements: A Dynamic Integer Count Data Model, (citation BibTeX, link to working paper version), in: L. Bauwens, W. Pohlmeier & D. Veredas (eds.), Recent Developments in High Frequency Financial Econometrics, Studies in Empirical Economics, 167-197, Springer, Berlin; Reprint from Empirical Economics, 2006, 30(4), 795-825; joint work with Roman Liesenfeld and Winfried Pohlmeier. |