Working papers

@unpublished{Lantos/Nolte/Nolte/Pham2026b,

  author = {Lantos, Reka and Nolte, Ingmar and Nolte, Sandra and Pham, Manh},

  title = {(Near) Real-Time Detection of Rapid Co-Movements with Candlestick Information},

  year = {2026},

  institution = {Lancaster University Management School},

  doi = {10.2139/ssrn.7620219},

  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7620219},

  note = {SSRN Working Paper No. 7620219; revised 10 November 2026},

  date = {2026-11-10}

}

@unpublished{Moreira/Nolte/Nolte2026,

  author = {Moreira, Bruno and Nolte, Ingmar and Nolte, Sandra},

  title = {The Frequency Term Structure of Factor Premia},

  year = {2026},

  institution = {Lancaster University Management School},

  note = {Working paper}

}

@unpublished{Cinquetti/Hong/Nolte/Nolte2026,

  author = {Cinquetti, Marco and Hong, Seok Young and Nolte, Ingmar and Nolte, Sandra},

  title = {Volatility Forecasting Factors},

  year = {2026},

  institution = {Lancaster University Management School},

  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5502438},

  note = {Working paper}

}

@unpublished{Kazak/Li/Nolte/Nolte2024,

  author = {Kazak, Ekaterina and Li, Yifan and Nolte, Ingmar and Nolte, Sandra},

  title = {A Linear Weight Estimator for Dynamic Global Minimum Variance Portfolio Allocation},

  year = {2024},

  institution = {Lancaster University Management School},

  url = {https://wp.lancs.ac.uk/fofi2024/files/2024/04/FoFI-2024-133-Yifan-Li.pdf},

  note = {Working paper}

}

@unpublished{He/Lohre/Nolte/Yao2026,

  author = {He, Lewei and Lohre, Harald and Nolte, Ingmar and Yao, Yaqiong},

  title = {The Impact of Misleading Corporate Communication on Stock Performance},

  year = {2026},

  institution = {Lancaster University Management School},

  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4871393},

  note = {Working paper}

}

@unpublished{He/Lohre/Nolte/Yao2025,

  author = {He, Lewei and Lohre, Harald and Nolte, Ingmar and Yao, Yaqiong},

  title = {The Price of Emissions: Carbon Risk in the European Equity Market},

  year = {2025},

  institution = {Lancaster University Management School},

  doi = {10.2139/ssrn.5930876},

  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5930876},

  note = {SSRN Working Paper No. 5930876}

}

@unpublished{Kagkadis/Lohre/Nolte/Nolte/Pham/Vasilas2024,

  author = {Kagkadis, Anastasios and Lohre, Harald and Nolte, Ingmar and Nolte, Sandra and Pham, Manh Cuong and Vasilas, Nikolaos},

  title = {Power Sorting},

  year = {2024},

  institution = {Lancaster University Management School},

  doi = {10.2139/ssrn.4552208},

  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4552208},

  note = {SSRN Working Paper No. 4552208}

}

@unpublished{Li/Nolte/Nolte2022,

  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra},

  title = {The Maximal Range-Return Divergence Statistic},

  year = {2022},

  institution = {Lancaster University Management School},

  url = {https://wp.lancs.ac.uk/ingmarnolte/files/2022/09/MAED_200922.pdf},

  note = {Working paper}

}

@unpublished{Kazak/Li/Nolte/Nolte2022b,

  author = {Kazak, Ekaterina and Li, Yifan and Nolte, Ingmar and Nolte, Sandra},

  title = {Direct Portfolio Weight Estimator: Mitigating Specification Risk with Realized Utility},

  year = {2022},

  institution = {Lancaster University Management School},

  url = {https://www.efmaefm.org/0efmameetings/efma%20annual%20meetings/2022-rome/papers/efma%202022_stage-3032_question-full%20paper_id-249.pdf},

  note = {Working paper}

}

@unpublished{Li/Nolte/Nolte2021b,

  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra},

  title = {Volatility Estimation and Sampling Efficiency: An Intrinsic Time Approach},

  year = {2021},

  institution = {Lancaster University Management School},

  note = {Working paper}

}

@unpublished{Happersberger/Lohre/Nolte/Stroh2021,

  author = {Happersberger, David and Lohre, Harald and Nolte, Ingmar and Stroh, Maximilian},

  title = {Combining expected shortfall and value-at-risk forecasts using machine learning techniques},

  year = {2021},

  institution = {Lancaster University Management School},

  note = {Working paper}

}

@unpublished{Hizmeri/Izzeldin/Nolte2021,

  author = {Hizmeri, Rodrigo and Izzeldin, Marwan and Nolte, Ingmar},

  title = {Bolstering the Modelling and Forecasting of Realized Covariance Matrices using (Directional) Common Jumps},

  year = {2021},

  institution = {Lancaster University Management School},

  doi = {10.2139/ssrn.3745671},

  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3745671},

  note = {SSRN Working Paper No. 3745671}

}

@unpublished{Happersberger/Lohre/Nolte/Rother2020,

  author = {Happersberger, David and Lohre, Harald and Nolte, Ingmar and Rother, Carsten},

  title = {The relevance of high-frequency news analytics for lower-frequency investment strategies},

  year = {2020},

  institution = {Lancaster University Management School},

  url = {https://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2020-Dublin/papers/EFMA%202020_stage-1301_question-Full%20Paper_id-515.pdf},

  note = {Working paper}

}

@unpublished{Li/Nolte/Nolte2019b,

  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra},

  title = {Renewal Based Volatility Estimation},

  year = {2019},

  institution = {Lancaster University Management School},

  doi = {10.2139/ssrn.3123062},

  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3123062},

  note = {SSRN Working Paper No. 3123062}

}

@unpublished{Liao/Nolte/Pawlina2019,

  author = {Liao, Shushu and Nolte, Ingmar and Pawlina, Grzegorz},

  title = {Revisiting the Measurement Error in q: An Investigation of the Covariance among Regressors},

  year = {2019},

  institution = {Lancaster University Management School},

  note = {Working paper}

}

@unpublished{Zhao/Nolte/Taylor2018,

  author = {Zhao, Xiaolu and Nolte, Ingmar and Taylor, Stephen J.},

  title = {High-Frequency Covariance Matrix Estimation Using Price Durations},

  year = {2018},

  institution = {Lancaster University Management School},

  doi = {10.2139/ssrn.3162514},

  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3162514},

  note = {SSRN Working Paper No. 3162514}

}

@unpublished{Li/Nolte/Nolte2017,

  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra},

  title = {High-Frequency Volatility Estimation and the Relative Importance of Market Microstructure Variables},

  year = {2017},

  institution = {Lancaster University Management School},

  doi = {10.2139/ssrn.2665639},

  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2665639},

  note = {SSRN Working Paper No. 2665639}

}

@unpublished{Nolte/Vasios/Voev/Xu2017,

  author = {Nolte, Ingmar and Vasios, Michalis and Voev, Valeri and Xu, Qi},

  title = {A Least Squares Regression Realised Covariation Estimation under MMS Noise and Non-Synchronous Trading},

  year = {2017},

  institution = {Lancaster University Management School},

  note = {Working paper}

}

@unpublished{Elkamhi/Groba/Nolte2017,

  author = {Elkamhi, Redouane and Groba, Jonatan and Nolte, Ingmar},

  title = {All Things both Great and Small: Transaction Cost Persistence in Corporate Bonds},

  year = {2017},

  institution = {Lancaster University Management School},

  url = {https://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2017-Athens/papers/EFMA2017_0258_fullpaper.pdf},

  note = {Working paper}

}

@unpublished{Nolte/Taylor/Xu2015,

  author = {Nolte, Ingmar and Taylor, Mark P. and Xu, Qi},

  title = {Dissecting Volatility Risks in Currency Markets},

  year = {2015},

  institution = {Lancaster University Management School},

  doi = {10.2139/ssrn.2686288},

  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2686288},

  note = {SSRN Working Paper No. 2686288}

}

@unpublished{Nolte/Xu2015c,

  author = {Nolte, Ingmar and Xu, Qi},

  title = {Uncovering the Benefit of High-Frequency Data in Portfolio Allocation},

  year = {2015},

  institution = {Lancaster University Management School},

  doi = {10.2139/ssrn.2406899},

  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2406899},

  note = {SSRN Working Paper No. 2406899}

}

@unpublished{Nolte/Payne/Vasios2013,

  author = {Nolte, Ingmar and Payne, Richard G. and Vasios, Michalis},

  title = {Profiting from Mimicking Strategies in Non-Anonymous Markets},

  year = {2013},

  institution = {Warwick Business School},

  doi = {10.2139/ssrn.1820324},

  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1820324},

  note = {SSRN Working Paper No. 1820324}

}

@unpublished{Kruger/Nolte2013,

  author = {Krüger, Fabian and Nolte, Ingmar},

  title = {An MCMC Approach to Multivariate Density Forecasting: An Application to Liquidity},

  year = {2013},

  institution = {Warwick Business School},

  doi = {10.2139/ssrn.1743707},

  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1743707},

  note = {SSRN Working Paper No. 1743707}

}

@unpublished{Brandes/Nolte/Nolte2011,

  author = {Brandes, Leif and Nolte, Ingmar and Nolte, Sandra},

  title = {Where Do the Joneses Go on Vacation? Social Distance and the Influence of Online Reviews on Product Sales},

  year = {2011},

  institution = {Warwick Business School},

  doi = {10.2139/ssrn.1921358},

  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1921358},

  note = {SSRN Working Paper No. 1921358}

}

@unpublished{Lechner/Nolte2009,

  author = {Lechner, Sandra and Nolte, Ingmar},

  title = {Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform},

  number = {09-01},

  year = {2009},

  institution = {Warwick Business School},

  doi = {10.2139/ssrn.908255},

  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=908255},

  note = {SSRN Working Paper No. 908255},

  series = {FERC Working Paper}

}

@unpublished{Nolte/Voev2007a,

  author = {Nolte, Ingmar and Voev, Valeri},

  title = {Estimating High-Frequency Based (Co-) Variances: A Unified Approach},

  number = {07/07},

  year = {2007},

  institution = {University of Konstanz},

  doi = {10.2139/ssrn.1003201},

  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1003201},

  note = {SSRN Working Paper No. 1003201},

  series = {CoFE Working Paper}

}

@unpublished{Bien/Nolte/Pohlmeier2006,

  author = {Bien, Katarzyna and Nolte, Ingmar and Pohlmeier, Winfried},

  title = {Estimating Liquidity Using Information on the Multivariate Trading Process},

  number = {06/03},

  year = {2006},

  institution = {University of Konstanz},

  doi = {10.2139/ssrn.915348},

  url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=915348},

  note = {SSRN Working Paper No. 915348},

  series = {CoFE Working Paper}

}