@article{Li/Li/Nolte/Nolte/Yu2026,
  author = {Li, Qiyuan and Li, Yifan and Nolte, Ingmar and Nolte, Sandra and Yu, Shifan},
  title = {Testing for jumps in a discretely observed price process with endogenous sampling times},
  journal = {Journal of Econometrics},
  volume = {254},
  number = {A},
  pages = {106132},
  year = {2026},
  doi = {10.1016/j.jeconom.2025.106132},
  url = {https://doi.org/10.1016/j.jeconom.2025.106132}
}

@unpublished{Li/Li/Nolte/Nolte/Yu2025,
  author = {Li, Qiyuan and Li, Yifan and Nolte, Ingmar and Nolte, Sandra and Yu, Shifan},
  title = {Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times},
  year = {2025},
  doi = {10.2139/ssrn.3943203},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3943203},
  note = {SSRN Working Paper No. 3943203}
}

@article{deLongis/Happersberger/Hixon/Liang/Nolte2026a,
  author = {de Longis, Alessio and Happersberger, David and Hixon, Scott and Liang, Han and Nolte, Ingmar},
  title = {Regime-Aware Risk Parity: Conditioning the Covariance Matrix on Macroeconomic and Stock Market Regimes},
  journal = {The Journal of Portfolio Management},
  volume = {52},
  number = {5},
  pages = {51-76},
  year = {2026},
  doi = {10.3905/jpm.2026.1.818},
  url = {https://doi.org/10.3905/jpm.2026.1.818}
}

@unpublished{deLongis/Happersberger/Hixon/Liang/Nolte2026b,
  author = {de Longis, Alessio and Happersberger, David and Hixon, Scott and Liang, Han and Nolte, Ingmar},
  title = {Regime-Aware Risk Parity: Conditioning the Covariance Matrix on Macroeconomic and Stock Market Regimes},
  year = {2026},
  note = {Working paper}
}

@article{Basic/MartinUtrera/Nolte/Nolte2026,
  author = {Bašić, Filip and Martín-Utrera, Alberto and Nolte, Ingmar and Nolte, Sandra},
  title = {The risk of falling short: implementation shortfall variance in portfolio construction},
  journal = {The European Journal of Finance},
  volume = {32},
  number = {4-6},
  pages = {546-563},
  year = {2026},
  doi = {10.1080/1351847X.2025.2558117},
  url = {https://doi.org/10.1080/1351847X.2025.2558117}
}

@unpublished{Basic/MartinUtrera/Nolte/Nolte2022,
  author = {Bašić, Filip and Martín-Utrera, Alberto and Nolte, Ingmar and Nolte, Sandra},
  title = {The risk of falling short: Implementation Shortfall variance in portfolio construction},
  year = {2022},
  doi = {10.2139/ssrn.4017974},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4017974},
  note = {SSRN Working Paper No. 4017974}
}

@article{Li/Nolte/Nolte/Yu2025c,
  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra and Yu, Shifan},
  title = {Realized candlestick wicks},
  journal = {Journal of Econometrics},
  volume = {250},
  pages = {106014},
  year = {2025},
  doi = {10.1016/j.jeconom.2025.106014},
  url = {https://doi.org/10.1016/j.jeconom.2025.106014}
}

@unpublished{Li/Nolte/Nolte/Yu2025d,
  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra and Yu, Shifan},
  title = {Realized Candlestick Wicks},
  year = {2025},
  doi = {10.2139/ssrn.4507161},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4507161},
  note = {SSRN Working Paper No. 4507161}
}

@unpublished{Li/Nolte/Nolte/Yu2023,
  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra and Yu, Shifan},
  title = {Nonparametric Range-Based Estimation of Integrated Variance with Episodic Extreme Return Persistence},
  year = {2023},
  institution = {Lancaster University Management School},
  type = {Working paper}
}

@article{Li/Nolte/Nolte/Yu2025a,
  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra and Yu, Shifan},
  title = {Decoupling Interday and Intraday Volatility Dynamics With Price Durations},
  journal = {Journal of Time Series Analysis},
  volume = {46},
  number = {6},
  pages = {1224-1250},
  year = {2025},
  doi = {10.1111/jtsa.12849},
  url = {https://doi.org/10.1111/jtsa.12849}
}

@unpublished{Li/Nolte/Nolte/Yu2025b,
  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra and Yu, Shifan},
  title = {Decoupling Interday and Intraday Volatility Dynamics with Price Durations},
  year = {2025},
  doi = {10.2139/ssrn.4850075},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4850075},
  note = {SSRN Working Paper No. 4850075}
}

@article{Liao/Nolte/Pawlina2024,
  author = {Liao, Shushu and Nolte, Ingmar and Pawlina, Grzegorz},
  title = {Can Capital Adjustment Costs Explain the Decline in Investment–Cash Flow Sensitivity?},
  journal = {Journal of Financial and Quantitative Analysis},
  volume = {59},
  number = {5},
  pages = {2399-2424},
  year = {2024},
  doi = {10.1017/S0022109023000418},
  url = {https://doi.org/10.1017/S0022109023000418}
}

@unpublished{Liao/Nolte/Pawlina2020,
  author = {Liao, Shushu and Nolte, Ingmar and Pawlina, Grzegorz},
  title = {Can Capital Adjustment Costs Explain the Decline in Investment-Cash Flow Sensitivity?},
  year = {2020},
  doi = {10.2139/ssrn.3746210},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3746210},
  note = {SSRN Working Paper No. 3746210}
}

@article{Li/Nolte/Pham2024a,
  author = {Li, Yifan and Nolte, Ingmar and Pham, Manh Cuong},
  title = {Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures},
  journal = {Journal of Econometrics},
  volume = {241},
  number = {2},
  pages = {105748},
  year = {2024},
  doi = {10.1016/j.jeconom.2024.105748},
  url = {https://doi.org/10.1016/j.jeconom.2024.105748}
}

@unpublished{Li/Nolte/Pham2023,
  author = {Li, Yifan and Nolte, Ingmar and Pham, Manh Cuong},
  title = {Parametric Risk-Neutral Density Estimation via Finite Lognormal-Weibull Mixtures},
  year = {2023},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3945540},
  note = {SSRN Working Paper No. 3945540}
}

@unpublished{Li/Nolte/Pham2024b,
  author = {Li, Yifan and Nolte, Ingmar and Pham, Manh Cuong},
  title = {Parametric Risk-Neutral Density Estimation via Finite Lognormal-Weibull Mixtures},
  year = {2024},
  url = {https://eprints.lancs.ac.uk/id/eprint/218016/3/SSRN-id3945540.pdf},
  note = {Accepted manuscript}
}

@article{Basic/Lohre/MartinUtrera/Nolte/Nolte2024,
  author = {Bašić, Filip and Lohre, Harald and Martín-Utrera, Alberto and Nolte, Ingmar and Nolte, Sandra},
  title = {Transaction Cost–Optimized Equity Factors around the World},
  journal = {The Journal of Portfolio Management},
  volume = {50},
  number = {6},
  pages = {40-73},
  year = {2024},
  doi = {10.3905/jpm.2024.1.599},
  url = {https://doi.org/10.3905/jpm.2024.1.599}
}

@unpublished{Basic/Lohre/MartinUtrera/Nolte/Nolte2023,
  author = {Bašić, Filip and Lohre, Harald and Martín-Utrera, Alberto and Nolte, Ingmar and Nolte, Sandra},
  title = {Transaction Cost-Optimized Equity Factors Around the World},
  year = {2023},
  url = {https://eprints.lancs.ac.uk/id/eprint/210994/3/BasicLohreMartinUtreraNolteNolte2023.pdf},
  note = {Accepted manuscript}
}

@article{Kagkadis/Nolte/Nolte/Vasilas2024,
  author = {Kagkadis, Anastasios and Nolte, Ingmar and Nolte, Sandra and Vasilas, Nikolaos},
  title = {Factor Timing with Portfolio Characteristics},
  journal = {The Review of Asset Pricing Studies},
  volume = {14},
  number = {1},
  pages = {84-118},
  year = {2024},
  doi = {10.1093/rapstu/raad010},
  url = {https://doi.org/10.1093/rapstu/raad010}
}

@unpublished{Kagkadis/Nolte/Nolte/Vasilas2023,
  author = {Kagkadis, Anastasios and Nolte, Ingmar and Nolte, Sandra and Vasilas, Nikolaos},
  title = {Factor Timing with Portfolio Characteristics},
  year = {2023},
  doi = {10.2139/ssrn.3955838},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3955838},
  note = {SSRN Working Paper No. 3955838}
}

@article{Hong/Nolte/Taylor/Zhao2023,
  author = {Hong, Seok Young and Nolte, Ingmar and Taylor, Stephen J and Zhao, Xiaolu},
  title = {Volatility Estimation and Forecasts Based on Price Durations},
  journal = {Journal of Financial Econometrics},
  volume = {21},
  number = {1},
  pages = {106-144},
  year = {2023},
  doi = {10.1093/jjfinec/nbab006},
  url = {https://doi.org/10.1093/jjfinec/nbab006}
}

@unpublished{Hong/Nolte/Taylor/Zhao2021,
  author = {Hong, Seok Young and Nolte, Ingmar and Taylor, Stephen J. and Zhao, Xiaolu},
  title = {Volatility Estimation and Forecasts Based on Price Durations},
  year = {2021},
  doi = {10.2139/ssrn.2713322},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2713322},
  note = {SSRN Working Paper No. 2713322}
}

@unpublished{Nolte/Taylor/Zhao2018,
  author = {Nolte, Ingmar and Taylor, Stephen J. and Zhao, Xiaolu},
  title = {More Accurate Volatility Estimation and Forecasts Using Price Durations},
  year = {2018},
  note = {Working paper}
}

@article{Hizmeri/Izzeldin/Nolte/Pappas2022a,
  author = {Hizmeri, Rodrigo and Izzeldin, Marwan and Nolte, Ingmar and Pappas, Vasileios},
  title = {A generalized heterogeneous autoregressive model using market information},
  journal = {Quantitative Finance},
  volume = {22},
  number = {8},
  pages = {1513-1534},
  year = {2022},
  doi = {10.1080/14697688.2022.2076606},
  url = {https://doi.org/10.1080/14697688.2022.2076606}
}

@unpublished{Hizmeri/Izzeldin/Nolte/Pappas2022b,
  author = {Hizmeri, Rodrigo and Izzeldin, Marwan and Nolte, Ingmar and Pappas, Vasileios},
  title = {A Generalized Heterogeneous Autoregressive Model using Market Information},
  year = {2022},
  doi = {10.2139/ssrn.3496804},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3496804},
  note = {SSRN Working Paper No. 3496804}
}

@article{Li/Nolte/Vasios/Voev/Xu2022a,
  author = {Li, Yifan and Nolte, Ingmar and Vasios, Michalis and Voev, Valeri and Xu, Qi},
  title = {Weighted Least Squares Realized Covariation Estimation},
  journal = {Journal of Banking & Finance},
  volume = {137},
  pages = {106420},
  year = {2022},
  doi = {10.1016/j.jbankfin.2022.106420},
  url = {https://doi.org/10.1016/j.jbankfin.2022.106420}
}

@unpublished{Li/Nolte/Vasios/Voev/Xu2022b,
  author = {Li, Yifan and Nolte, Ingmar and Vasios, Michalis and Voev, Valeri and Xu, Qi},
  title = {Weighted Least Squares Realized Covariation Estimation},
  year = {2022},
  doi = {10.2139/ssrn.4011269},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4011269},
  note = {SSRN Working Paper No. 4011269}
}

@article{Li/Nolte/Nolte2021a,
  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra},
  title = {High-frequency volatility modeling: A Markov-Switching Autoregressive Conditional Intensity model},
  journal = {Journal of Economic Dynamics and Control},
  volume = {124},
  pages = {104077},
  year = {2021},
  doi = {10.1016/j.jedc.2021.104077},
  url = {https://doi.org/10.1016/j.jedc.2021.104077}
}

@unpublished{Li/Nolte/Nolte2019a,
  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra},
  title = {High-Frequency Volatility Modelling: A Markov-Switching Autoregressive Conditional Intensity Model},
  year = {2019},
  doi = {10.2139/ssrn.2785499},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2785499},
  note = {SSRN Working Paper No. 2785499}
}

@article{Andersen/Archakov/Grund/Hautsch/Li/Nasekin/Nolte/Pham/Taylor/Todorov2021,
  author = {Andersen, Torben and Archakov, Ilya and Grund, Leon and Hautsch, Nikolaus and Li, Yifan and Nasekin, Sergey and Nolte, Ingmar and Pham, Manh Cuong and Taylor, Stephen and Todorov, Viktor},
  title = {A Descriptive Study of High-Frequency Trade and Quote Option Data},
  journal = {Journal of Financial Econometrics},
  volume = {19},
  number = {1},
  pages = {128-177},
  year = {2021},
  doi = {10.1093/jjfinec/nbaa036},
  url = {https://doi.org/10.1093/jjfinec/nbaa036}
}

@unpublished{Andersen/Archakov/Grund/Hautsch/Li/Nasekin/Nolte/Pham/Taylor/Todorov2020,
  author = {Andersen, Torben G. and Archakov, Ilya and Grund, Leon Eric and Hautsch, Nikolaus and Li, Yifan and Nasekin, Sergey and Nolte, Ingmar and Pham, Manh Cuong and Taylor, Stephen J. and Todorov, Viktor},
  title = {A Descriptive Study of High-Frequency Trade and Quote Option Data},
  year = {2020},
  doi = {10.2139/ssrn.3446690},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3446690},
  note = {SSRN Working Paper No. 3446690}
}

@article{Happersberger/Lohre/Nolte2020,
  author = {Happersberger, David and Lohre, Harald and Nolte, Ingmar},
  title = {Estimating portfolio risk for tail risk protection strategies},
  journal = {European Financial Management},
  volume = {26},
  number = {4},
  pages = {1107-1146},
  year = {2020},
  doi = {10.1111/eufm.12256},
  url = {https://doi.org/10.1111/eufm.12256}
}

@unpublished{Happersberger/Lohre/Nolte2019,
  author = {Happersberger, David and Lohre, Harald and Nolte, Ingmar},
  title = {Estimating Portfolio Risk for Tail Risk Protection Strategies},
  year = {2019},
  doi = {10.2139/ssrn.2980750},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2980750},
  note = {SSRN Working Paper No. 2980750}
}

@article{Nolte/Nolte/Pohlmeier2019,
  author = {Nolte, Ingmar and Nolte, Sandra and Pohlmeier, Winfried},
  title = {What determines forecasters’ forecasting errors?},
  journal = {International Journal of Forecasting},
  volume = {35},
  number = {1},
  pages = {11-24},
  year = {2019},
  doi = {10.1016/j.ijforecast.2018.07.007},
  url = {https://doi.org/10.1016/j.ijforecast.2018.07.007}
}

@unpublished{Nolte/Nolte/Pohlmeier2018,
  author = {Nolte, Ingmar and Nolte, Sandra and Pohlmeier, Winfried},
  title = {What Determines Forecasters’ Forecasting Errors?},
  year = {2018},
  doi = {10.2139/ssrn.1541799},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1541799},
  note = {SSRN Working Paper No. 1541799}
}

@article{Kruger/Nolte2016,
  author = {Krüger, Fabian and Nolte, Ingmar},
  title = {Disagreement versus uncertainty: Evidence from distribution forecasts},
  journal = {Journal of Banking & Finance},
  volume = {72},
  pages = {S172-S186},
  year = {2016},
  doi = {10.1016/j.jbankfin.2015.05.007},
  url = {https://doi.org/10.1016/j.jbankfin.2015.05.007}
}

@unpublished{Kruger/Nolte2015,
  author = {Krüger, Fabian and Nolte, Ingmar},
  title = {Disagreement versus Uncertainty: Evidence from Distribution Forecasts},
  year = {2015},
  doi = {10.2139/ssrn.1656213},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1656213},
  note = {SSRN Working Paper No. 1656213}
}

@article{Nolte/Nolte2016,
  author = {Nolte, Ingmar and Nolte, Sandra},
  title = {The information content of retail investors’ order flow},
  journal = {The European Journal of Finance},
  volume = {22},
  number = {2},
  pages = {80-104},
  year = {2016},
  doi = {10.1080/1351847X.2014.963633},
  url = {https://doi.org/10.1080/1351847X.2014.963633}
}

@unpublished{Nolte/Nolte2013,
  author = {Nolte, Ingmar and Nolte, Sandra},
  title = {The Information Content of Retail Investors' Order Flow},
  year = {2013},
  doi = {10.2139/ssrn.2111118},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2111118},
  note = {SSRN Working Paper No. 2111118}
}

@article{Nolte/Xu2015a,
  author = {Nolte, Ingmar and Xu, Qi},
  title = {The economic value of volatility timing with realized jumps},
  journal = {Journal of Empirical Finance},
  volume = {34},
  pages = {45-59},
  year = {2015},
  doi = {10.1016/j.jempfin.2015.03.019},
  url = {https://doi.org/10.1016/j.jempfin.2015.03.019}
}

@unpublished{Nolte/Xu2015b,
  author = {Nolte, Ingmar and Xu, Qi},
  title = {The Economic Value of Volatility Timing with Realized Jumps},
  year = {2015},
  doi = {10.2139/ssrn.2406934},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2406934},
  note = {SSRN Working Paper No. 2406934}
}

@article{Nolte/Nolte/Vasios2014a,
  author = {Nolte, Ingmar and Nolte, Sandra and Vasios, Michalis},
  title = {Sell-side analysts’ career concerns during banking stresses},
  journal = {Journal of Banking & Finance},
  volume = {49},
  pages = {424-441},
  year = {2014},
  doi = {10.1016/j.jbankfin.2014.03.010},
  url = {https://doi.org/10.1016/j.jbankfin.2014.03.010}
}

@unpublished{Nolte/Nolte/Vasios2014b,
  author = {Nolte, Ingmar and Nolte, Sandra and Vasios, Michalis},
  title = {Sell-Side Analysts' Career Concerns During Banking Stresses},
  year = {2014},
  doi = {10.2139/ssrn.2405828},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2405828},
  note = {SSRN Working Paper No. 2405828}
}

@article{Nolte/Voev2012,
  author = {Nolte, Ingmar and Voev, Valeri},
  title = {Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise},
  journal = {Journal of Business & Economic Statistics},
  volume = {30},
  number = {1},
  pages = {94-108},
  year = {2012},
  doi = {10.1080/10473289.2011.637876},
  url = {https://doi.org/10.1080/10473289.2011.637876}
}

@unpublished{Nolte/Voev2011a,
  author = {Nolte, Ingmar and Voev, Valeri},
  title = {Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise},
  year = {2011},
  doi = {10.2139/ssrn.1396185},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1396185},
  note = {SSRN Working Paper No. 1396185}
}

@article{Nolte/Nolte2012,
  author = {Nolte, Ingmar and Nolte, Sandra},
  title = {How do individual investors trade?},
  journal = {The European Journal of Finance},
  volume = {18},
  number = {9-10},
  pages = {921-947},
  year = {2012},
  doi = {10.1080/1351847X.2011.601647},
  url = {https://doi.org/10.1080/1351847X.2011.601647}
}

@unpublished{Nolte/Nolte2010,
  author = {Nolte, Ingmar and Nolte, Sandra},
  title = {How Do Individual Investors Trade?},
  year = {2010},
  doi = {10.2139/ssrn.1538760},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1538760},
  note = {SSRN Working Paper No. 1538760}
}

@article{Nolte2012,
  author = {Nolte, Ingmar},
  title = {A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach},
  journal = {The European Journal of Finance},
  volume = {18},
  number = {9-10},
  pages = {885-919},
  year = {2012},
  doi = {10.1080/1351847X.2011.601635},
  url = {https://doi.org/10.1080/1351847X.2011.601635}
}

@unpublished{Nolte2011,
  author = {Nolte, Ingmar},
  title = {A Detailed Investigation of the Disposition Effect and Individual Trading Behavior: A Panel Survival Approach},
  year = {2011},
  doi = {10.2139/ssrn.911528},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=911528},
  note = {SSRN Working Paper No. 911528}
}

@article{AdamMuller/Nolte2011a,
  author = {Adam-Müller, Axel F.A. and Nolte, Ingmar},
  title = {Cross hedging under multiplicative basis risk},
  journal = {Journal of Banking & Finance},
  volume = {35},
  number = {11},
  pages = {2956-2964},
  year = {2011},
  doi = {10.1016/j.jbankfin.2011.03.022},
  url = {https://doi.org/10.1016/j.jbankfin.2011.03.022}
}

@unpublished{AdamMuller/Nolte2011b,
  author = {Adam-Müller, Axel F. A. and Nolte, Ingmar},
  title = {Cross Hedging Under Multiplicative Basis Risk},
  year = {2011},
  doi = {10.2139/ssrn.1799402},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1799402},
  note = {SSRN Working Paper No. 1799402}
}

@article{Nolte/Voev2011b,
  author = {Nolte, Ingmar and Voev, Valeri},
  title = {Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach},
  journal = {Journal of Financial Econometrics},
  volume = {9},
  number = {4},
  pages = {685-716},
  year = {2011},
  doi = {10.1093/jjfinec/nbq033},
  url = {https://doi.org/10.1093/jjfinec/nbq033}
}

@unpublished{Nolte/Voev2010,
  author = {Nolte, Ingmar and Voev, Valeri},
  title = {Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach},
  year = {2010},
  doi = {10.2139/ssrn.917118},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=917118},
  note = {SSRN Working Paper No. 917118}
}

@unpublished{Nolte/Voev2007b,
  author = {Nolte, Ingmar and Voev, Valeri},
  title = {Panel Intensity Models with Latent Factors: An Application to the Trading Dynamics on the Foreign Exchange Market},
  year = {2007},
  url = {https://hdl.handle.net/10419/32186},
  note = {CoFE Discussion Paper 07/02, University of Konstanz, Center of Finance and Econometrics}
}

@article{BrittenJones/Neuberger/Nolte2011,
  author = {Britten-Jones, Mark and Neuberger, Anthony and Nolte, Ingmar},
  title = {Improved Inference in Regression with Overlapping Observations},
  journal = {Journal of Business Finance & Accounting},
  volume = {38},
  number = {5-6},
  pages = {657-683},
  year = {2011},
  doi = {10.1111/j.1468-5957.2011.02244.x},
  url = {https://doi.org/10.1111/j.1468-5957.2011.02244.x}
}

@unpublished{BrittenJones/Neuberger/Nolte2010,
  author = {Britten-Jones, Mark and Neuberger, Anthony and Nolte, Ingmar},
  title = {Improved Inference in Regression with Overlapping Observations},
  year = {2010},
  doi = {10.2139/ssrn.557090},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=557090},
  note = {SSRN Working Paper No. 557090}
}

@article{Bien/Nolte/Pohlmeier2011,
  author = {Bien, Katarzyna and Nolte, Ingmar and Pohlmeier, Winfried},
  title = {An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics},
  journal = {Journal of Applied Econometrics},
  volume = {26},
  number = {4},
  pages = {669-707},
  year = {2011},
  doi = {10.1002/jae.1122},
  url = {https://doi.org/10.1002/jae.1122}
}

@unpublished{Bien/Nolte/Pohlmeier2009,
  author = {Bien, Katarzyna and Nolte, Ingmar and Pohlmeier, Winfried},
  title = {An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics},
  year = {2009},
  doi = {10.2139/ssrn.967253},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=967253},
  note = {SSRN Working Paper No. 967253}
}

@article{Nolte2008,
  author = {Nolte, Ingmar},
  title = {Modeling a Multivariate Transaction Process},
  journal = {Journal of Financial Econometrics},
  volume = {6},
  number = {1},
  pages = {143-170},
  year = {2008},
  doi = {10.1093/jjfinec/nbm020},
  url = {https://doi.org/10.1093/jjfinec/nbm020}
}

@unpublished{Nolte2007a,
  author = {Nolte, Ingmar},
  title = {Modelling a Multivariate Transaction Process},
  year = {2007},
  doi = {10.2139/ssrn.911531},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=911531},
  note = {SSRN Working Paper No. 911531}
}

@article{Nolte/Pohlmeier2007,
  author = {Nolte, Ingmar and Pohlmeier, Winfried},
  title = {Using forecasts of forecasters to forecast},
  journal = {International Journal of Forecasting},
  volume = {23},
  number = {1},
  pages = {15-28},
  year = {2007},
  doi = {10.1016/j.ijforecast.2006.05.001},
  url = {https://doi.org/10.1016/j.ijforecast.2006.05.001}
}

@unpublished{Nolte/Pohlmeier2006,
  author = {Nolte, Ingmar and Pohlmeier, Winfried},
  title = {Using Forecasts of Forecasters to Forecast},
  year = {2006},
  doi = {10.2139/ssrn.917116},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=917116},
  note = {SSRN Working Paper No. 917116}
}

@article{Liesenfeld/Nolte/Pohlmeier2006,
  author = {Liesenfeld, Roman and Nolte, Ingmar and Pohlmeier, Winfried},
  title = {Modelling financial transaction price movements: a dynamic integer count data model},
  journal = {Empirical Economics},
  volume = {30},
  number = {4},
  pages = {795-825},
  year = {2006},
  doi = {10.1007/s00181-005-0001-1},
  url = {https://doi.org/10.1007/s00181-005-0001-1}
}

@article{Baptista/Nolte2026a,
  author = {Baptista, Alexandre M. and Nolte, Ingmar},
  title = {Advances in portfolio selection and asset pricing in honor of Harry Markowitz},
  journal = {The European Journal of Finance},
  volume = {32},
  number = {4-6},
  pages = {422-426},
  year = {2026},
  doi = {10.1080/1351847X.2026.2631794},
  url = {https://doi.org/10.1080/1351847X.2026.2631794}
}

@unpublished{Baptista/Nolte2026b,
  author = {Baptista, Alexandre M. and Nolte, Ingmar},
  title = {Advances in portfolio selection and asset pricing in honor of Harry Markowitz},
  year = {2026},
  url = {https://eprints.lancs.ac.uk/235642/1/REJF-2026-0039.pdf},
  note = {Accepted manuscript}
}

@article{Bauer/Halbleib/Olsen/Andersen/Nolte2026a,
  author = {Bauer, Lukas and Halbleib, Roxana and Olsen, Richard and Andersen, Torben G. and Nolte, Ingmar},
  title = {Introduction to the Issue on High Frequency Econometrics},
  journal = {Journal of Econometrics},
  volume = {254},
  number = {A},
  pages = {106175},
  year = {2026},
  doi = {10.1016/j.jeconom.2025.106175},
  url = {https://doi.org/10.1016/j.jeconom.2025.106175}
}

@unpublished{Bauer/Halbleib/Olsen/Andersen/Nolte2026b,
  author = {Bauer, Lukas and Halbleib, Roxana and Olsen, Richard and Andersen, Torben G. and Nolte, Ingmar},
  title = {Introduction to the Issue on High Frequency Econometrics},
  year = {2026},
  url = {https://eprints.lancs.ac.uk/234622/1/HFEconometrics_master.pdf},
  note = {Accepted manuscript}
}

@article{Andersen/Christensen/Nolte2025,
  author = {Andersen, Torben G. and Christensen, Kim and Nolte, Ingmar},
  title = {Special Issue in Honour of Stephen J. Taylor: Guest Editors' Introduction},
  journal = {Journal of Time Series Analysis},
  volume = {46},
  number = {6},
  pages = {1029-1031},
  year = {2025},
  doi = {10.1111/jtsa.70014},
  url = {https://doi.org/10.1111/jtsa.70014}
}

@article{Duygun/Nolte/Sa/Shaban2014,
  author = {Duygun, Meryem and Nolte, Ingmar and Sá, Filipa and Shaban, Mohamed},
  title = {The search for financial stability: Models, policies and prospects},
  journal = {Journal of Banking & Finance},
  volume = {49},
  pages = {323-325},
  year = {2014},
  doi = {10.1016/j.jbankfin.2014.08.026},
  url = {https://doi.org/10.1016/j.jbankfin.2014.08.026}
}

@book{Nolte/Salmon/Adcock2015,
  editor = {Nolte, Ingmar and Salmon, Mark and Adcock, Chris},
  title = {High Frequency Trading and Limit Order Book Dynamics},
  year = {2015},
  publisher = {Routledge},
  doi = {10.4324/9781315737676},
  url = {https://doi.org/10.4324/9781315737676},
  edition = {1},
  isbn = {978-1-138-82938-1}
}

@incollection{Nolte/Nolte2015,
  author = {Nolte, Ingmar and Nolte, Sandra},
  editor = {Nolte, Ingmar and Salmon, Mark and Adcock, Chris},
  title = {How do individual investors trade?},
  booktitle = {High Frequency Trading and Limit Order Book Dynamics},
  pages = {189-215},
  year = {2015},
  publisher = {Routledge},
  url = {https://doi.org/10.4324/9781315737676},
  note = {Reprint of the 2012 article in The European Journal of Finance},
  edition = {1},
  chapter = {10},
  isbn = {978-1-138-82938-1}
}

@incollection{Nolte2015,
  author = {Nolte, Ingmar},
  editor = {Nolte, Ingmar and Salmon, Mark and Adcock, Chris},
  title = {A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach},
  booktitle = {High Frequency Trading and Limit Order Book Dynamics},
  pages = {153-187},
  year = {2015},
  publisher = {Routledge},
  url = {https://doi.org/10.4324/9781315737676},
  note = {Reprint of the 2012 article in The European Journal of Finance},
  edition = {1},
  chapter = {9},
  isbn = {978-1-138-82938-1}
}

@incollection{Bien/Nolte/Pohlmeier2008,
  author = {Bien, Katarzyna and Nolte, Ingmar and Pohlmeier, Winfried},
  editor = {Bauwens, Luc and Pohlmeier, Winfried and Veredas, David},
  title = {A multivariate integer count hurdle model: theory and application to exchange rate dynamics},
  booktitle = {High Frequency Financial Econometrics},
  pages = {31-48},
  year = {2008},
  publisher = {Physica-Verlag HD},
  doi = {10.1007/978-3-7908-1992-2_3},
  url = {https://doi.org/10.1007/978-3-7908-1992-2_3},
  series = {Studies in Empirical Economics}
}

@unpublished{Bien/Nolte/Pohlmeier2007,
  author = {Bien, Katarzyna and Nolte, Ingmar and Pohlmeier, Winfried},
  title = {A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics},
  year = {2007},
  doi = {10.2139/ssrn.959238},
  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=959238},
  note = {SSRN Working Paper No. 959238}
}

@incollection{Liesenfeld/Nolte/Pohlmeier2008,
  author = {Liesenfeld, Roman and Nolte, Ingmar and Pohlmeier, Winfried},
  editor = {Bauwens, Luc and Pohlmeier, Winfried and Veredas, David},
  title = {Modelling financial transaction price movements: a dynamic integer count data model},
  booktitle = {High Frequency Financial Econometrics},
  pages = {167-197},
  year = {2008},
  publisher = {Physica-Verlag HD},
  doi = {10.1007/978-3-7908-1992-2_8},
  url = {https://doi.org/10.1007/978-3-7908-1992-2_8},
  series = {Studies in Empirical Economics}
}