Lancaster University Management School
Ingmar
Nolte
Professor of Finance
and Econometrics
I study financial markets through econometrics, with a focus on high-frequency data, volatility and portfolio allocation.
Lancaster University, United Kingdom
About
Understanding financial markets.
Advancing the methods we use.
My research brings together financial econometrics, asset pricing and empirical finance. I develop methods for analysing high-frequency financial data and use them to study volatility, trading activity, risk and investment decisions.
I am Professor of Finance and Econometrics at Lancaster University Management School, where I have held a chair since 2016. I also serve as Doctoral Director and direct the Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy.
Academic backgroundResearch interests
From market data to investment decisions
High-frequency econometrics
Volatility and covariation estimation, jumps, price durations and the information in intraday data.
Markets & trading
Market microstructure, liquidity, transaction costs and the behaviour of investors and traders.
Portfolio allocation
Portfolio risk, factor investing, forecasting and methods for making investment decisions.
Recent research
Latest selected publications
Testing for jumps in a discretely observed price process with endogenous sampling times
Journal of Econometrics, 254A, 106132.
Realized candlestick wicks
Journal of Econometrics, 250, 106014.
Can Capital Adjustment Costs Explain the Decline in Investment–Cash Flow Sensitivity?
Journal of Financial and Quantitative Analysis, 59(5), 2399–2424.
Get in touch
Research, collaboration
& doctoral study.
Department of Accounting & Finance
Lancaster University Management School
Bailrigg, Lancaster LA1 4YX, UK
Room C150, Management School