Publications

Publications in Refereed Journals


forthcoming Transaction Cost-Optimized Equity Factors Around the World (citation BibTeX, link to working paper version), The Journal of Portfolio Management;
joint work with Filip Basic, Harald Lohre, Alberto Martin-Utrera and Sandra Nolte. 
forthcoming Factor Timing with Portfolio Characteristics, (citation BibTeX, link to working paper version),
Review of Asset Pricing Studies;
joint work with Anastasios Kagkadis, Sandra Nolte and Nikolaos Vasilas.
forthcoming 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;
joint work with Shushu Liao and Grzegorz Pawlina. 
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


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


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.