{"id":41,"date":"2019-09-11T11:10:29","date_gmt":"2019-09-11T11:10:29","guid":{"rendered":"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/?page_id=41"},"modified":"2026-01-23T10:25:13","modified_gmt":"2026-01-23T10:25:13","slug":"publications","status":"publish","type":"page","link":"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/publications\/","title":{"rendered":"Publications"},"content":{"rendered":"\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
2026<\/span><\/td>\nRegime-Aware Risk Parity: Conditioning the Covariance Matrix on Macroeconomic and Stock Market Regimes<\/a>,
\nJournal of Portfolio Management; forthcoming;<\/em>
\njoint work with Alessio de Longis, David Happersberger, Scott Hixon and Han Lian.<\/span>\u00a0<\/span><\/span><\/span><\/td>\n<\/tr>\n
2025<\/span><\/td>\nTesting for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times<\/a>, (citation BibTeX, link to working paper version<\/a>),
\nJournal of Econometrics; 106132; forthcoming;<\/em>
\njoint work with Qiyuan Li, Yifan Li, Sandra Nolte and Shifan Yu.<\/span><\/td>\n<\/tr>\n
2025<\/span><\/td>\nRealized Candlestick Wicks<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nJournal of Econometrics; 250, 106014;<\/em>
\njoint work with Yifan Li, Sandra Nolte and Shifan Yu.<\/span><\/td>\n<\/tr>\n
2025<\/span><\/td>\nThe risk of falling short: Implementation Shortfall variance in portfolio construction<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nEuropean Journal of Finance; forthcoming;<\/em>
\njoint work with Filip Basic, Alberto Martin-Utrera and Sandra Nolte.<\/span><\/td>\n<\/tr>\n
2025<\/span><\/td>\nDecoupling Interday and Intraday Volatility Dynamics with Price Durations<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nJournal of Time Series Analysis;<\/em> 46 (6), 1224-1250;
\njoint work with Yifan Li, Sandra Nolte and Shifan Yu.<\/span><\/td>\n<\/tr>\n
2024<\/span><\/td>\nParametric Risk-Neutral Density Estimation via Finite Lognormal-Weibull Mixtures<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nJournal of Econometrics; <\/em>241 (2), 105748;
\njoint work with Yifan Li and Manh Cuong Pham; (Supplementary Material<\/a>).<\/span><\/td>\n<\/tr>\n
2024<\/span><\/td>\nCan Capital Adjustment Costs Explain the Decline in Investment-Cash Flow Sensitivity?<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nJournal of Financial and Quantitative Analysis; <\/em>59 (<\/span>5)<\/span>, 2399-2424;<\/span>
\njoint work with Shushu Liao and Grzegorz Pawlina.<\/span>\u00a0<\/span><\/span><\/span><\/td>\n<\/tr>\n
2024<\/span><\/td>\nTransaction Cost-Optimized Equity Factors Around the World<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nJournal of Portfolio Management; <\/em>50 (6), 40-73;
\njoint work with Filip Basic, Harald Lohre, Alberto Martin-Utrera and Sandra Nolte.<\/span>\u00a0<\/span><\/span><\/span><\/td>\n<\/tr>\n
2024<\/span><\/td>\nFactor Timing with Portfolio Characteristics<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nReview of Asset Pricing Studies<\/em>; 14 (1), 84-118;
\njoint work with Anastasios Kagkadis, Sandra Nolte and Nikolaos Vasilas.<\/span><\/td>\n<\/tr>\n
2023<\/span><\/td>\nVolatility Estimation and Forecasts based on Price Durations<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nJournal of Financial Econometrics; 21 (1), 106-144; (Web-Appendix)<\/a><\/em>
\njoint work with Seok Young Hong, Stephen J. Taylor and Xiaolu Zhao.<\/span><\/td>\n<\/tr>\n
2022<\/span><\/td>\nA Generalized Heterogeneous Autoregressive Model using Market Information<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nQuantitative Finance; 22:8, 1513-1534;<\/em>
\njoint work with Rodrigo Hizmeri, Marwan Izzeldin and Vasileios Pappas.<\/span><\/td>\n<\/tr>\n
2022<\/span><\/td>\nWeighted Least Squares Realized Covariation Estimation<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nJournal of Banking and Finance; 137, 106420;<\/em>
\njoint work with Yifan Li, Michalis Vasios, Valeri Voev and Qi Xu.<\/span><\/td>\n<\/tr>\n
2021<\/span><\/td>\nHigh-Frequency Volatility Modelling: A Markov-Switching Autoregressive Conditional Intensity Model<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nJournal of Economic Dynamics and Control; 124, 104077;<\/i>
\njoint work with Yifan Li and Sandra Nolte.\u00a0<\/span><\/td>\n<\/tr>\n
2021<\/span><\/td>\nA Descriptive Study of High-Frequency Trade and Quote Option Data<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nJournal of Financial Econometrics, 19 (1), 128-177;<\/i>
\njoint work with Torben G. Andersen, Ilya Archakov, Leon Grund, Nikolaus Hautsch, Yifan Li, Sergey Nasekin, Manh Cuong Pham, Stephen Taylor and Viktor Todorov.<\/span><\/td>\n<\/tr>\n
2020<\/span><\/td>\nEstimating Portfolio Risk for Tail Risk Protection Strategies<\/a>, \u00a0(citation BibTeX<\/a>, link to working paper version<\/a>),
\nEuropean Financial Management, 26 (4), 1107-1146;<\/i>
\njoint work with David Happersberger and Harald Lohre.\u00a0<\/span><\/td>\n<\/tr>\n
2019<\/span><\/td>\nWhat Determines Forecasters’ Forecasting Errors<\/a>, \u00a0(citation BibTeX<\/a>, link to working paper version<\/a>),
\nInternational Journal of Forecasting, 35 (1), 11-24;<\/i>
\njoint work with Sandra Nolte and Winfried Pohlmeier.<\/span><\/td>\n<\/tr>\n
2016<\/span><\/td>\nDisagreement versus Uncertainty: Evidence from Distribution Forecasts<\/a>,\u00a0 (citation BibTeX<\/a>, link to working paper version<\/a>),<\/span>
\nJournal of Banking and Finance, 72, 172-186;<\/i><\/span>
\njoint work with Fabian Krueger.<\/span><\/td>\n<\/tr>\n
2016<\/span><\/td>\nThe Information Content of Retail Investors’ Order Flow<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),<\/span>
\nEuropean Journal of Finance, 22 (2), 80-104;<\/i><\/span>
\njoint work with Sandra Nolte.<\/span><\/td>\n<\/tr>\n
2015<\/span><\/td>\nThe Economic Value of Volatility Timing with Realized Jumps<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nJournal of Empirical Finance, 34, 45-59;<\/i>
\njoint work with Qi Xu.<\/span><\/td>\n<\/tr>\n
2014<\/span><\/td>\nSell-Side Analysts\u2019 Career Concerns during Banking Stresses<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nJournal of Banking and Finance, 49, 424-441;<\/i>
\njoint work with Sandra Nolte and Michalis Vasios.<\/span><\/td>\n<\/tr>\n
2012<\/span><\/td>\nLeast Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise<\/a><\/span>,<\/a> (citation BibTeX<\/a>, link to working paper version<\/a>),
\nJournal of Business & Economic Statistics, 30 (1), 94-108; <\/i>(Web-Appendix)<\/a>;
\njoint work with Valeri Voev.<\/span><\/td>\n<\/tr>\n
2012<\/span><\/td>\nA Detailed Investigation of the Disposition Effect and Individual Trading Behavior: A Panel Survival Approach<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),<\/span>
\nEuropean Journal of Finance, 18(9-10), 885-919.<\/i><\/span><\/td>\n<\/tr>\n
2012<\/span><\/td>\nHow do Individual Investors Trade?<\/a> (citation BibTeX<\/a>, link to working paper version<\/a>),
\nEuropean Journal of Finance, 18 (9-10), 921-947;<\/i><\/span>
\njoint work with Sandra Nolte.<\/span>\u00a0<\/span><\/span><\/td>\n<\/tr>\n
2011<\/span><\/td>\nTrading Dynamics on the Foreign Exchange Market: A Latent Factor Panel Intensity Approach<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nJournal of Financial Econometrics,<\/i> 9, 685-716; <\/i>(Web-Appendix)<\/a>;<\/i><\/span>
\njoint work with Valeri Voev.<\/span><\/td>\n<\/tr>\n
2011<\/span><\/td>\nCross Hedging Under Multiplicative Basis Risk<\/a><\/span>, (citation BibTeX<\/a>, link to working paper version<\/a>),<\/span>
\nJournal of Banking and Finance, <\/i>35, 2956-2964;<\/i><\/span>
\njoint work with Axel Adam-Mueller.<\/span>\u00a0<\/span><\/span><\/td>\n<\/tr>\n
2011<\/span><\/td>\nImproved Inference in Regression with Overlapping Observations<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nJournal of Business Finance and Accounting, <\/i>38, 657-683;
\n<\/i>joint work with Mark Britten-Jones and Anthony Neuberger.<\/span><\/td>\n<\/tr>\n
2011<\/span><\/td>\nAn Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nJournal of Applied Econometrics, <\/i>26, 669-707;
\n<\/i>joint work with Katarzyna Bien and Winfried Pohlmeier.<\/i><\/span><\/td>\n<\/tr>\n
2008<\/span><\/td>\nModelling a Multivariate Transaction Process<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nJournal of Financial Econometrics, <\/i>6, 143-170.<\/i><\/span><\/td>\n<\/tr>\n
2007<\/span><\/td>\nUsing Forecasts of Forecasters to Forecast<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nInternational Journal of Forecasting<\/i>, 23, 15-28;<\/span>
\njoint work with Winfried Pohlmeier.\u00a0<\/span><\/td>\n<\/tr>\n
2006<\/span><\/td>\n Modelling Financial Transaction Price Movements: A Dynamic Integer Count Data Model<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nEmpirical Economics<\/i>, 30(4), 795-825;<\/span>
\njoint work with Roman Liesenfeld and Winfried Pohlmeier.<\/span><\/td>\n<\/tr>\n
<\/td>\n<\/td>\n<\/tr>\n
Books<\/b><\/span><\/p>\n
\n<\/td>\n<\/tr>\n
2014<\/span><\/td>\nIngmar Nolte, Mark Salmon, Chris Adcock (eds.): High Frequency Trading and Limit Order Book Dynamics<\/a>, Routledge; 1st edition (November 25, 2014), 320 pages.<\/span><\/td>\n<\/tr>\n
<\/td>\n<\/tr>\n
Chapters in Books<\/b><\/span><\/p>\n
\n<\/td>\n<\/tr>\n
2014<\/span><\/td>\nA Detailed Investigation of the Disposition Effect and Individual Trading Behavior: A Panel Survival Approach<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),<\/span>
\nin: I. Nolte, M. Salmon & C. Adcock (eds.): High Frequency Trading and Limit Order Book Dynamics<\/a>, Routledge; 1st edition;<\/span>
\nReprint from European Journal of Finance, 2012, 18(9-10), 885-919.<\/i><\/span><\/td>\n<\/tr>\n
2014<\/span><\/td>\nHow do Individual Investors Trade?<\/a> (citation BibTeX<\/a>, link to working paper version<\/a>),
\n<\/i>in: I. Nolte, M. Salmon & C. Adcock (eds.): High Frequency Trading and Limit Order Book Dynamics<\/a>, Routledge; 1st edition;
\n<\/i> Reprint from European Journal of Finance, 2012, 18 (9-10), 921-947;<\/i><\/span>
\njoint work with Sandra Nolte.<\/span>\u00a0<\/span><\/span><\/td>\n<\/tr>\n
2008<\/span><\/td>\n A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>), <\/span>
\nin: L. Bauwens, W. Pohlmeier & D. Veredas (eds.), Recent Developments in High Frequency Financial Econometrics<\/i>, Studies in Empirical Economics, 31-48, Springer, Berlin;<\/span>
\njoint work with Katarzyna Bien, Winfried Pohlmeier.<\/span>\u00a0<\/span><\/td>\n<\/tr>\n
2008<\/span><\/td>\n Modelling Financial Transaction Price Movements: A Dynamic Integer Count Data Model<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>), <\/span>
\nin: L. Bauwens, W. Pohlmeier & D. Veredas (eds.), Recent Developments in High Frequency Financial Econometrics<\/i>, Studies in Empirical Economics, 167-197, Springer, Berlin;<\/span>
\nReprint from Empirical Economics<\/i>, 2006, 30(4), 795-825;
\njoint work with Roman Liesenfeld and Winfried Pohlmeier.<\/span><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

2026 Regime-Aware Risk Parity: Conditioning the Covariance Matrix on Macroeconomic and Stock Market Regimes, Journal of Portfolio Management; forthcoming; joint work with Alessio de Longis, David Happersberger, Scott Hixon and Han Lian.\u00a0 2025 Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times, (citation BibTeX, link to working paper version), Journal of…<\/p>\n","protected":false},"author":1184,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"class_list":["post-41","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/pages\/41","targetHints":{"allow":["GET"]}}],"collection":[{"href":"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/users\/1184"}],"replies":[{"embeddable":true,"href":"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/comments?post=41"}],"version-history":[{"count":116,"href":"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/pages\/41\/revisions"}],"predecessor-version":[{"id":486,"href":"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/pages\/41\/revisions\/486"}],"wp:attachment":[{"href":"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/media?parent=41"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}