{"id":42,"date":"2019-09-11T11:10:29","date_gmt":"2019-09-11T11:10:29","guid":{"rendered":"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/?page_id=42"},"modified":"2025-11-09T11:21:58","modified_gmt":"2025-11-09T11:21:58","slug":"working-papers","status":"publish","type":"page","link":"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/working-papers\/","title":{"rendered":"Working Papers"},"content":{"rendered":"

 <\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
2025<\/span><\/td>\nVolatility Forecasting Factors<\/a>, Working Paper, Lancaster University Management School;
\njoint work with Marco Cinquetti, Seok Young Hong and Sandra Nolte.<\/span><\/td>\n<\/tr>\n
2025<\/span><\/td>\nA Linear Weight Estimator for Dynamic Global Minimum Variance Portfolio Allocation<\/a>, Working Paper, Lancaster University Management School;
\njoint work with Ekaterina Kazak, Yifan Li and Sandra Nolte.<\/span><\/td>\n<\/tr>\n
2024<\/span><\/td>\nThe Impact of Misleading Corporate Communication on Stock Performance<\/a>, Working Paper, Lancaster University Management School;
\njoint work with Lewei He, Harald Lohre and Chelsea Yao.<\/span><\/td>\n<\/tr>\n
2024<\/span><\/td>\nPower Sorting<\/a>, Working Paper, Lancaster University Management School; <\/span>
\njoint work with Anastasios Kagkadis, Harald Lohre, Sandra Nolte and Nikolaos Vasilas. Best Paper Award: Chicago Quantitative Alliance 30th Annual Academic Competition.<\/span><\/td>\n<\/tr>\n
2022<\/span><\/td>\nThe Maximal Range-Return Divergence Statistic<\/a>, Working Paper, Lancaster University Management School;
\njoint work with Yifan Li and Sandra Nolte.<\/span><\/td>\n<\/tr>\n
2021<\/span><\/td>\nVolatility Estimation and Sampling Efficiency: An Intrinsic Time Approach, Working Paper, Lancaster University Management School;
\njoint work with Yifan Li and Sandra Nolte.<\/span><\/td>\n<\/tr>\n
2021<\/span><\/td>\nCombining expected shortfall and value-at-risk forecasts using machine learning techniques, Working Paper, Lancaster University Management School;
\njoint work with David Happersberger, Harald Lohre and Maximilian Stroh.
\n<\/span><\/td>\n<\/tr>\n
2021<\/span><\/td>\nThe relevance of high-frequency news analytics for lower-frequency investment strategies, Working Paper, Lancaster University Management School;
\njoint work with David Happersberger and Harald Lohre.
\n<\/span><\/td>\n<\/tr>\n
2021<\/span><\/td>\nBolstering the Modelling and Forecasting of Realized Covariance Matrices using (Directional) Common<\/a>
\nJumps<\/a>, Working Paper, Lancaster University Management School;
\njoint work with Rodrigo Hizmeri and Marwan Izzeldin.
\n<\/span><\/td>\n<\/tr>\n
2019<\/span><\/td>\nRenewal Based Volatility Estimation<\/a>, Working Paper, Lancaster University Management School;
\njoint work with Yifan Li and Sandra Nolte.\u00a0<\/span><\/td>\n<\/tr>\n
2018<\/span><\/td>\n High-Frequency Covariance Matrix Estimation Using Price Durations<\/a>, Working Paper, Lancaster University Management School;<\/span>
\njoint work with Stephen J. Taylor and Xiaolu Zhao.<\/span>\u00a0<\/span><\/span><\/td>\n<\/tr>\n
2018<\/span><\/td>\n High-Frequency Volatility Estimation and the Relative Importance of Market Microstructure Variables: An Autoregressive Conditional Intensity Approach<\/a>, Working Paper, Lancaster University Management School;
\njoint work with Yifan Li and Sandra Nolte.\u00a0<\/span><\/td>\n<\/tr>\n
2017<\/span><\/td>\nA Least Squares Regression Realised Covariation Estimation under MMS Noise and Non-Synchronous Trading<\/a>, Working Paper, Lancaster University Management School;<\/span>
\njoint work with Michalis Vasios, Valeri Voev and Qi Xu; (Web-Appendix)<\/a>.<\/span>\u00a0<\/span><\/span><\/td>\n<\/tr>\n
2016<\/span><\/td>\n Dissecting Volatility Risks in Currency Markets<\/a>, Working Paper, Lancaster University Management School;<\/span>
\njoint work with Qi Xu and Mark Taylor.<\/span>\u00a0<\/span><\/span><\/td>\n<\/tr>\n
2015<\/span><\/td>\nUncovering the Benefit of High-Frequency Data in Portfolio Allocation<\/a>, Working Paper, Lancaster University Management School;<\/span>
\njoint work with Qi Xu.<\/span>\u00a0<\/span><\/span><\/td>\n<\/tr>\n
2013<\/span><\/td>\nProfiting from Mimicking Strategies in Non-Anonymous Markets<\/a>, Working Paper, Warwick Business School;<\/span>
\njoint work with Richard Payne and Michalis Vasios.<\/span>\u00a0<\/span><\/span><\/td>\n<\/tr>\n
2013<\/span><\/td>\nAn MCMC Approach to Multivariate Density Forecasting: An Application to Liquidity<\/a>, Working Paper, Warwick Business School;<\/span>
\njoint work with Fabian Krueger.<\/span>\u00a0<\/span><\/span><\/td>\n<\/tr>\n
2011<\/span><\/td>\nWhere Do the Joneses Go on Vacation? Social Distance and the Influence of Online Reviews on Product Sales<\/a>, Working Paper, Warwick Business School;<\/span>
\njoint work with Leif Brandes and Sandra Nolte.<\/span>\u00a0<\/span><\/span><\/td>\n<\/tr>\n
2009<\/span><\/td>\n Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform<\/a>, FERC Working Paper 09-01, Warwick Business School;<\/span>
\njoint work with Sandra Lechner.<\/span><\/td>\n<\/tr>\n
2007<\/span><\/td>\nEstimating High-Frequency Based (Co-) Variances: A Unified Approach<\/a>, CoFE Working Paper 07\/07, University of Konstanz;<\/span>
\njoint work with Valeri Voev.<\/span><\/td>\n<\/tr>\n
2006<\/span><\/td>\n Estimating Liquidity Using Information on the Multivariate Trading Process<\/a>, Working Paper, University of Konstanz;<\/span>
\njoint work with Katarzyna Bien and Winfried Pohlmeier.<\/span><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

  2025 Volatility Forecasting Factors, Working Paper, Lancaster University Management School; joint work with Marco Cinquetti, Seok Young Hong and Sandra Nolte. 2025 A Linear Weight Estimator for Dynamic Global Minimum Variance Portfolio Allocation, Working Paper, Lancaster University Management School; joint work with Ekaterina Kazak, Yifan Li and Sandra Nolte. 2024 The Impact of Misleading…<\/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-42","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/pages\/42","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=42"}],"version-history":[{"count":63,"href":"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/pages\/42\/revisions"}],"predecessor-version":[{"id":463,"href":"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/pages\/42\/revisions\/463"}],"wp:attachment":[{"href":"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/media?parent=42"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}