Publications

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}

@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}

}