{"id":15,"date":"2019-09-12T12:07:08","date_gmt":"2019-09-12T12:07:08","guid":{"rendered":"http:\/\/wp.lancs.ac.uk\/sandranolte\/?page_id=15"},"modified":"2025-11-18T12:44:23","modified_gmt":"2025-11-18T12:44:23","slug":"publications","status":"publish","type":"page","link":"http:\/\/wp.lancs.ac.uk\/sandranolte\/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
Books<\/strong><\/span><\/td>\n<\/tr>\n
2010<\/span><\/td>\nMeasurement Error in Nonlinear Models: An Application to Disclosure Limitation Techniques, Applied Econometrics, LIT Verlag Muenster, Germany.<\/span>\u00a0<\/span><\/td>\n<\/tr>\n
<\/td>\n<\/tr>\n
Publications in Refereed Journals<\/strong><\/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, Ingmar 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, Ingmar 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 Ingmar 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, Ingmar Nolte and Shifan Yu.<\/span><\/td>\n<\/tr>\n
2024<\/span><\/td>\nA Century of Macro Factor Investing – Diversified Multi-Asset Multi-Factor Strategies through the Cycles<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nThe Journal of Portfolio Management<\/em>, Multi-Asset Special Issue, 50(5), 37-56;
\njoint work with Alexander Swade, Harald Lohre, Mark Shackleton, and Laurens Swinkels.<\/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>),
\nThe Journal of Portfolio Management; 50 (6); 40-73;<\/em>
\njoint work with Filip Basic, Harald Lohre, Alberto Martin-Utrera and Ingmar Nolte.<\/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, Ingmar Nolte and Nikolaos Vasilas.<\/span><\/td>\n<\/tr>\n
2023<\/span><\/td>\nControversyBERT: Detecting Social Controversies and their Impact on Stock Returns<\/a>, (citation BibTeX, link to working paper version<\/a>),
\nThe Journal of Impact & ESG Investing<\/em>, 4(1), 87-108;
\njoint work with Harald Lohre, Ananthalakshmi Ranganathan, Carsten Rother and Margit Steiner.<\/span><\/td>\n<\/tr>\n
2023<\/span><\/td>\nAn Integrated Approach to Currency Factor Timing<\/a>, (citation BibTeX, link to working paper version<\/a>),
\nJournal of Systematic Investing<\/em>, 3, 1-25;
\njoint work with Ananthalakshmi Ranganathan, Harald Lohre and Houssem Braham.<\/span><\/td>\n<\/tr>\n
2023<\/span><\/td>\nWhy do equally weighted portfolios beat the value-weighted ones?<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nThe Journal of Portfolio Management<\/i>; 49 (5), 157-187;
\njoint work with Alexander Swade, Mark Shackleton and Harald Lohre.<\/span><\/td>\n<\/tr>\n
2022<\/span><\/td>\nMacro Factor Investing with Style<\/a>, (citation BibTeX<\/a>, link to working paper version<\/a>),
\nThe Journal of Portfolio Management; 48(2), 80-104;<\/i>
\njoint work with Alexander Swade, Mark Shackleton, Harald Lohre, Scott Hixon and Jay Raol.\u00a0<\/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 Ingmar Nolte.\u00a0<\/span><\/td>\n<\/tr>\n
2019<\/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 Ingmar Nolte and Winfried Pohlmeier.<\/td>\n<\/tr>\n
2017<\/span><\/td>\nDiversifying away the Risk of War and Cross-Border Political Crisis<\/a> (citation BibTeX<\/a>,\u00a0 link to working paper version<\/a>),<\/span>
\n Energy Economics, 64, 494\u2013510;<\/em><\/span>
\njoint work with Ayman Omarf and Tomasz Wisniewski.<\/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>),
\nEuropean Journal of Finance, 22 (2), 80-104;<\/i>
\njoint work with Ingmar Nolte.<\/span><\/td>\n<\/tr>\n
2015<\/span><\/td>\nThe Dimensions and Locations of High Performance Work Systems: Fresh Evidence from the UK Commission’s 2011 Employer Skills Survey, (citation BibTeX)<\/a>,<\/span>
\nHuman Resource Management Journal, 25(2), 166\u2013183;<\/em><\/span>
\njoint work with Stephen Wood, Mark Burridge, Daniela Rudloff and William Green.<\/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 Ingmar Nolte and Michalis Vasios.<\/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;<\/em><\/span>
\njoint work with Ingmar Nolte.<\/span><\/td>\n<\/tr>\n
2008<\/span><\/td>\nMake Assurance Double Sure: Combination of Two Disclosure Limitation Methods and estimation of General Regression Models<\/a>, (link to working paper version<\/a>),
\nASTA Advances in Statistical Analysis, 92(4), 405-422;
\n<\/em>joint work with Anton Flossmann.
\n<\/em><\/span><\/td>\n<\/tr>\n
2008<\/span><\/td>\nPerturbation by Multiplicative Noise and the Simulation Extrapolation Method<\/a>, (link to working paper version<\/a>),
\nASTA Advances in Statistical Analysis, <\/em>92(4), 375-389;
\n<\/em>joint work with Elena Biewen and Martin Rosemann.<\/span><\/td>\n<\/tr>\n
2007<\/span><\/td>\nBicameral Conflict Resolution in the European Union: An Empirical Analysis of Conciliation Committee Bargains<\/a>, (link to working paper version<\/a>),
\nBritish Journal of Political Science<\/em>, 37, 281-312;<\/span>
\njoint work with Thomas Koenig, Bj\u00f6rn Lindberg and Winfried Pohlmeier.<\/span><\/td>\n<\/tr>\n
2005<\/span><\/td>\nData Masking by Noise Addition and the Estimation of Nonlinear Regression Models<\/a>, (link to working paper version<\/a>),
\nJournal of Economics and Statistics<\/em>, 225(5), 517-528;<\/span>
\njoint work with Winfried Pohlmeier.<\/span><\/td>\n<\/tr>\n
<\/td>\n<\/td>\n<\/tr>\n
Chapters in Books<\/strong><\/span><\/td>\n<\/tr>\n
2014<\/span><\/td>\nHow do Individual Investors Trade?<\/a> (citation BibTeX<\/a>, link to working paper version<\/a>),
\n<\/em>in: I. Nolte, M. Salmon & C. Adcock (eds.): High Frequency Trading and Limit Order Book Dynamics<\/a>, Routledge; 1st edition;
\n<\/em>Reprint from European Journal of Finance, 2012, 18 (9-10), 921-947;<\/em><\/span>
\njoint work with Ingmar Nolte.<\/span><\/td>\n<\/tr>\n
2007<\/span><\/td>\n\u00d6konometrische Analyse mit anonymisierten Mikrodaten,<\/span>
\nin Zwick, M. and J. Merz: MITAX – Mikroanalysen und Steuerpolitik<\/em>, 183-193, Statistisches Bundesamt, Band 7, Wiesbaden;<\/span>
\njoint work with Winfried Pohlmeier.<\/span><\/td>\n<\/tr>\n
2006<\/span><\/td>\nCombining Blanking and Noise Addition as a Data Disclosure Limitation Method<\/a>, (link to working paper version<\/a>), <\/span>
\nin Domingo-Ferrer, J. and Franconi, L: Privacy in Statistical Databases<\/em>, 152-163, Springer Verlag Lecture Notes in Computer Science, LNCS 4302;<\/span>
\njoint work with Anton Flossmann.<\/span><\/td>\n<\/tr>\n
2004<\/span><\/td>\nTo Blank or not to Blank? A Comparison of the Effects of Disclosure Limitation Methods on nonlinear Regression estimates<\/a>, (link to working paper version<\/a>), <\/span>
\nin Domingo-Ferrer, J. und Torra, V: Privacy in Statistical Databases<\/em>, 187-200, Springer Verlag Lecture Notes in Computer Science, LNCS 3050;<\/span>
\njoint work with Winfried Pohlmeier.<\/span><\/td>\n<\/tr>\n
2003<\/span><\/td>\nSch\u00e4tzung \u00f6konometrischer Modelle auf der Grundlage anonymisierter Daten,<\/span>
\nin Gnoss R. and G. Ronning: Anonymisierung wirtschaftsstatistischer Einzelndaten<\/em>, 115-137, Forum der Bundesstatistik, Band 42, Wiesbaden, 2003<\/span><\/td>\n<\/tr>\n
<\/td>\n<\/td>\n<\/tr>\n
Reports<\/strong><\/span><\/td>\n<\/tr>\n
2013<\/span><\/td>\nHigh Performance Working in the Employer Skills Surveys, Report for the UK Commission of Employment and Skills<\/em>;<\/span>
\njoint work with Stephen Wood, Mark Burridge, William Green, and Daniela Rudloff, Aoife Ni Luanaigh (Senior Research Manager)<\/span>
\nhttp:\/\/www.ukces.org.uk\/publications\/er71-hpw-in-the-employer-skills-surveys<\/a><\/span><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Books 2010 Measurement Error in Nonlinear Models: An Application to Disclosure Limitation Techniques, Applied Econometrics, LIT Verlag Muenster, Germany.\u00a0 Publications in Refereed Journals 2025 Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times, (citation BibTeX, link to working paper version), Journal of Econometrics; 106132; forthcoming; joint work with Qiyuan Li, Yifan…<\/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-15","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"http:\/\/wp.lancs.ac.uk\/sandranolte\/wp-json\/wp\/v2\/pages\/15","targetHints":{"allow":["GET"]}}],"collection":[{"href":"http:\/\/wp.lancs.ac.uk\/sandranolte\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"http:\/\/wp.lancs.ac.uk\/sandranolte\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"http:\/\/wp.lancs.ac.uk\/sandranolte\/wp-json\/wp\/v2\/users\/1184"}],"replies":[{"embeddable":true,"href":"http:\/\/wp.lancs.ac.uk\/sandranolte\/wp-json\/wp\/v2\/comments?post=15"}],"version-history":[{"count":40,"href":"http:\/\/wp.lancs.ac.uk\/sandranolte\/wp-json\/wp\/v2\/pages\/15\/revisions"}],"predecessor-version":[{"id":148,"href":"http:\/\/wp.lancs.ac.uk\/sandranolte\/wp-json\/wp\/v2\/pages\/15\/revisions\/148"}],"wp:attachment":[{"href":"http:\/\/wp.lancs.ac.uk\/sandranolte\/wp-json\/wp\/v2\/media?parent=15"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}