{"id":16,"date":"2019-09-12T12:07:08","date_gmt":"2019-09-12T12:07:08","guid":{"rendered":"http:\/\/wp.lancs.ac.uk\/sandranolte\/?page_id=16"},"modified":"2025-11-09T11:26:51","modified_gmt":"2025-11-09T11:26:51","slug":"working-papers","status":"publish","type":"page","link":"http:\/\/wp.lancs.ac.uk\/sandranolte\/working-papers\/","title":{"rendered":"Working Papers"},"content":{"rendered":"\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 Ingmar 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 Ingmar Nolte.<\/span><\/td>\n<\/tr>\n
2024<\/span><\/td>\nPower Sorting<\/a>, Working Paper, Lancaster University Management School;
\njoint work with Anastasios Kagkadis, Harald Lohre, Ingmar Nolte and Nikolaos Vasilas.<\/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 Ingmar 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
2020<\/span><\/td>\nAn Integrated Approach to Currency Factor Timing?, Working Paper, Lancaster University Management School;
\njoint work\u00a0with Ananthalakshmi Ranganathan, Harald Lohre and Houssem Braham.\u00a0<\/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 Ingmar Nolte.\u00a0<\/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;<\/span>
\njoint work with Yifan Li and Ingmar Nolte.<\/span><\/td>\n<\/tr>\n
2016<\/span><\/td>\n Entrepreneur’s Wealth, Firm Performance and Cost of Capital: A Bayesian Approach to the Capital Structure of Entrepreneurial Ventures;<\/strong><\/a><\/span>
\njoint work with Andrea Moro and Alexandra Dias.<\/span><\/td>\n<\/tr>\n
2014<\/span><\/td>\nIndustry Survival Rate, Entrepreneur Historical Performance and Personal Wealth: A Probabilistic Model for Optimizing SMEs Capital Structure<\/a>;<\/span>
\njoint work with Andrea Moro.<\/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 Ingmar Nolte.<\/span><\/td>\n<\/tr>\n
2009<\/span><\/td>\nCustomer 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 Ingmar Nolte.<\/span><\/td>\n<\/tr>\n
2008<\/span><\/td>\nMultiplicative Measurement Error and the Simulation Extrapolation Method<\/a>, IAW-Diskussionspapier, N\u00b0 39; <\/span>
\njoint work with Elena Biewen and Martin Rosemann.<\/span><\/td>\n<\/tr>\n
2007<\/td>\nThe multiplicative Simulation Extrapolation Approach<\/a>, Working Paper, University of Konstanz.<\/td>\n<\/tr>\n
2003<\/td>\nSch\u00e4tzung \u00f6konometrischer Modelle auf der Grundlage anonymisierter Daten<\/a>, University of Konstanz, CoFE Working Paper No 03\/04;
\njoint work with Winfried Pohlmeier.<\/td>\n<\/tr>\n
2003<\/td>\nA modelisation of the anchoring effect in closed-ended questions with follow-up<\/a>, University of Strasbourg, BETA Document de travail No 2003\/07;
\njoint work with Anne Rozan and Francois Laisney.<\/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 Ingmar 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 Ingmar Nolte. 2024 Power Sorting, Working Paper, Lancaster…<\/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-16","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"http:\/\/wp.lancs.ac.uk\/sandranolte\/wp-json\/wp\/v2\/pages\/16","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=16"}],"version-history":[{"count":22,"href":"http:\/\/wp.lancs.ac.uk\/sandranolte\/wp-json\/wp\/v2\/pages\/16\/revisions"}],"predecessor-version":[{"id":145,"href":"http:\/\/wp.lancs.ac.uk\/sandranolte\/wp-json\/wp\/v2\/pages\/16\/revisions\/145"}],"wp:attachment":[{"href":"http:\/\/wp.lancs.ac.uk\/sandranolte\/wp-json\/wp\/v2\/media?parent=16"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}