{"id":41,"date":"2019-09-11T11:10:29","date_gmt":"2019-09-11T11:10:29","guid":{"rendered":"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/?page_id=41"},"modified":"2026-10-28T16:33:22","modified_gmt":"2026-10-28T16:33:22","slug":"publications","status":"publish","type":"page","link":"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/publications\/","title":{"rendered":"Publications"},"content":{"rendered":"\r\n<div class=\"entry-content wp-block-post-content is-layout-flow wp-block-post-content-is-layout-flow\">\r\n<div class=\"research-heading\"><header class=\"page-intro\"><p class=\"eyebrow\">Research<\/p><h1>Publications<\/h1><\/header><div class=\"downloads\"><a href=\"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/files\/2026\/10\/Ingmar-Nolte-publications-references-1.bib\" class=\"bibtex-download\" title=\"Download all references on this page in BibTeX format\">Download BibTeX<\/a><\/div><\/div>\r\n<div class=\"research-browser native-research-filters native-select-filters\" data-research=\"publications\">\n<div class=\"wpcf7 no-js\" id=\"wpcf7-f19019-o1\" lang=\"en-US\" dir=\"ltr\" data-wpcf7-id=\"19019\">\n<div class=\"screen-reader-response\"><p role=\"status\" aria-live=\"polite\" aria-atomic=\"true\"><\/p> <ul><\/ul><\/div>\n<form action=\"\/ingmarnolte\/wp-json\/wp\/v2\/pages\/41#wpcf7-f19019-o1\" method=\"post\" class=\"wpcf7-form init demo\" aria-label=\"Contact form\" novalidate=\"novalidate\" data-status=\"init\">\n<fieldset class=\"hidden-fields-container\"><input type=\"hidden\" name=\"_wpcf7\" value=\"19019\" \/><input type=\"hidden\" name=\"_wpcf7_version\" value=\"6.2.3\" \/><input type=\"hidden\" name=\"_wpcf7_locale\" value=\"en_US\" \/><input type=\"hidden\" name=\"_wpcf7_unit_tag\" value=\"wpcf7-f19019-o1\" \/><input type=\"hidden\" name=\"_wpcf7_container_post\" value=\"0\" \/><input type=\"hidden\" name=\"_wpcf7_posted_data_hash\" value=\"\" \/>\n<\/fieldset>\n<div class=\"native-filter-bar\">\n\t<p><label><span class=\"filter-visually-hidden\">Year<\/span><span class=\"wpcf7-form-control-wrap\" data-name=\"publications-year\"><select class=\"wpcf7-form-control wpcf7-select filter-year\" aria-invalid=\"false\" name=\"publications-year\"><option value=\"\">All years<\/option><option value=\"2026\">2026<\/option><option value=\"2025\">2025<\/option><option value=\"2024\">2024<\/option><option value=\"2023\">2023<\/option><option value=\"2022\">2022<\/option><option value=\"2021\">2021<\/option><option value=\"2020\">2020<\/option><option value=\"2019\">2019<\/option><option value=\"2016\">2016<\/option><option value=\"2015\">2015<\/option><option value=\"2014\">2014<\/option><option value=\"2012\">2012<\/option><option value=\"2011\">2011<\/option><option value=\"2008\">2008<\/option><option value=\"2007\">2007<\/option><option value=\"2006\">2006<\/option><\/select><\/span><\/label><br \/>\n<label><span class=\"filter-visually-hidden\">Co-author<\/span><span class=\"wpcf7-form-control-wrap\" data-name=\"publications-author\"><select class=\"wpcf7-form-control wpcf7-select filter-author\" aria-invalid=\"false\" name=\"publications-author\"><option value=\"\">All co-authors<\/option><option value=\"Alberto Mart\u00edn-Utrera\">Alberto Mart\u00edn-Utrera<\/option><option value=\"Alessio de Longis\">Alessio de Longis<\/option><option value=\"Alexandre M. Baptista\">Alexandre M. Baptista<\/option><option value=\"Anastasios Kagkadis\">Anastasios Kagkadis<\/option><option value=\"Anthony Neuberger\">Anthony Neuberger<\/option><option value=\"Axel F.A. Adam-M\u00fcller\">Axel F.A. Adam-M\u00fcller<\/option><option value=\"Chris Adcock\">Chris Adcock<\/option><option value=\"David Happersberger\">David Happersberger<\/option><option value=\"Fabian Kr\u00fcger\">Fabian Kr\u00fcger<\/option><option value=\"Filip Ba\u0161i\u0107\">Filip Ba\u0161i\u0107<\/option><option value=\"Filipa S\u00e1\">Filipa S\u00e1<\/option><option value=\"Grzegorz Pawlina\">Grzegorz Pawlina<\/option><option value=\"Han Liang\">Han Liang<\/option><option value=\"Harald Lohre\">Harald Lohre<\/option><option value=\"Ilya Archakov\">Ilya Archakov<\/option><option value=\"Katarzyna Bien\">Katarzyna Bien<\/option><option value=\"Kim Christensen\">Kim Christensen<\/option><option value=\"Leon Grund\">Leon Grund<\/option><option value=\"Lukas Bauer\">Lukas Bauer<\/option><option value=\"Manh Cuong Pham\">Manh Cuong Pham<\/option><option value=\"Mark Britten-Jones\">Mark Britten-Jones<\/option><option value=\"Mark Salmon\">Mark Salmon<\/option><option value=\"Marwan Izzeldin\">Marwan Izzeldin<\/option><option value=\"Meryem Duygun\">Meryem Duygun<\/option><option value=\"Michalis Vasios\">Michalis Vasios<\/option><option value=\"Mohamed Shaban\">Mohamed Shaban<\/option><option value=\"Nikolaos Vasilas\">Nikolaos Vasilas<\/option><option value=\"Nikolaus Hautsch\">Nikolaus Hautsch<\/option><option value=\"Qi Xu\">Qi Xu<\/option><option value=\"Qiyuan Li\">Qiyuan Li<\/option><option value=\"Richard Olsen\">Richard Olsen<\/option><option value=\"Rodrigo Hizmeri\">Rodrigo Hizmeri<\/option><option value=\"Roman Liesenfeld\">Roman Liesenfeld<\/option><option value=\"Roxana Halbleib\">Roxana Halbleib<\/option><option value=\"Sandra Nolte\">Sandra Nolte<\/option><option value=\"Scott Hixon\">Scott Hixon<\/option><option value=\"Seok Young Hong\">Seok Young Hong<\/option><option value=\"Sergey Nasekin\">Sergey Nasekin<\/option><option value=\"Shifan Yu\">Shifan Yu<\/option><option value=\"Shushu Liao\">Shushu Liao<\/option><option value=\"Stephen J. Taylor\">Stephen J. Taylor<\/option><option value=\"Stephen Taylor\">Stephen Taylor<\/option><option value=\"Torben Andersen\">Torben Andersen<\/option><option value=\"Torben G. Andersen\">Torben G. Andersen<\/option><option value=\"Valeri Voev\">Valeri Voev<\/option><option value=\"Vasileios Pappas\">Vasileios Pappas<\/option><option value=\"Viktor Todorov\">Viktor Todorov<\/option><option value=\"Winfried Pohlmeier\">Winfried Pohlmeier<\/option><option value=\"Xiaolu Zhao\">Xiaolu Zhao<\/option><option value=\"Yifan Li\">Yifan Li<\/option><\/select><\/span><\/label><br \/>\n<label><span class=\"filter-visually-hidden\">Publication type<\/span><span class=\"wpcf7-form-control-wrap\" data-name=\"publications-type\"><select class=\"wpcf7-form-control wpcf7-select filter-type\" aria-invalid=\"false\" name=\"publications-type\"><option value=\"\">All types<\/option><option value=\"Journal articles\">Journal articles<\/option><option value=\"Editorials\">Editorials<\/option><option value=\"Books\">Books<\/option><option value=\"Book chapters\">Book chapters<\/option><\/select><\/span><\/label><br \/>\n<a class=\"native-filter-clear\" href=\"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/publications\/\">Clear<\/a>\n\t<\/p>\n<\/div><div class=\"wpcf7-response-output\" aria-hidden=\"true\"><\/div>\n<\/form>\n<\/div>\n\n<table id=\"tablepress-nolte-publications\" class=\"tablepress tablepress-id-nolte-publications nolte-research\">\n<thead>\n<tr class=\"row-1\">\n\t<th class=\"column-1\">Research<\/th>\n<\/tr>\n<\/thead>\n<tbody>\n<tr class=\"row-2\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv01\" data-record=\"work-cv01\" data-year=\"2026\" data-kind=\"Journal articles\" data-authors=\"[&quot;Qiyuan Li&quot;, &quot;Yifan Li&quot;, &quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;, &quot;Shifan Yu&quot;]\" data-filter-authors=\"n50a650315d n5d84089f67 n52d702f9a9 n2f97055c7b\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2026<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1016\/j.jeconom.2025.106132\">Testing for jumps in a discretely observed price process with endogenous sampling times<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/lqyjasonlee.github.io\/\">Qiyuan Li<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/www.yifanli.uk\/\">Yifan Li<\/a>, <strong>Ingmar Nolte<\/strong>, <a class=\"coauthor-link\" href=\"https:\/\/wp.lancs.ac.uk\/sandranolte\/\">Sandra Nolte<\/a> and <a class=\"coauthor-link\" href=\"https:\/\/www.shifanyu.com\/\">Shifan Yu<\/a><\/p><p class=\"publication\"><em>Journal of Econometrics<\/em>, 254A, 106132.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3943203\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Li\/Li\/Nolte\/Nolte\/Yu2026,<br \/>\n  author = {Li, Qiyuan and Li, Yifan and Nolte, Ingmar and Nolte, Sandra and Yu, Shifan},<br \/>\n  title = {Testing for jumps in a discretely observed price process with endogenous sampling times},<br \/>\n  journal = {Journal of Econometrics},<br \/>\n  volume = {254},<br \/>\n  number = {A},<br \/>\n  pages = {106132},<br \/>\n  year = {2026},<br \/>\n  doi = {10.1016\/j.jeconom.2025.106132},<br \/>\n  url = {https:\/\/doi.org\/10.1016\/j.jeconom.2025.106132}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-3\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv02\" data-record=\"work-cv02\" data-year=\"2026\" data-kind=\"Journal articles\" data-authors=\"[&quot;Alessio de Longis&quot;, &quot;David Happersberger&quot;, &quot;Scott Hixon&quot;, &quot;Han Liang&quot;, &quot;Ingmar Nolte&quot;]\" data-filter-authors=\"n243c64358f nfe4690af6c nae82f4e29d nf957404b97\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2026<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.3905\/jpm.2026.1.818\">Regime-Aware Risk Parity: Conditioning the Covariance Matrix on Macroeconomic and Stock Market Regimes<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/www.proshares.com\/press-releases\/proshares-fuels-next-phase-of-growth-with-significant-new-hires--and-continued-investment-in-talent\">Alessio de Longis<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/www.lancaster.ac.uk\/lums\/people\/david-happersberger\">David Happersberger<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/www.invesco.com\/lu\/en\/about-us\/our-people\/scott-hixon.html\">Scott Hixon<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/www.linkedin.com\/in\/lianghanhust\">Han Liang<\/a> and <strong>Ingmar Nolte<\/strong><\/p><p class=\"publication\"><em>The Journal of Portfolio Management<\/em>, 52(5), 51\u201376.<\/p><div class=\"paper-actions references\"><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{deLongis\/Happersberger\/Hixon\/Liang\/Nolte2026a,<br \/>\n  author = {de Longis, Alessio and Happersberger, David and Hixon, Scott and Liang, Han and Nolte, Ingmar},<br \/>\n  title = {Regime-Aware Risk Parity: Conditioning the Covariance Matrix on Macroeconomic and Stock Market Regimes},<br \/>\n  journal = {The Journal of Portfolio Management},<br \/>\n  volume = {52},<br \/>\n  number = {5},<br \/>\n  pages = {51-76},<br \/>\n  year = {2026},<br \/>\n  doi = {10.3905\/jpm.2026.1.818},<br \/>\n  url = {https:\/\/doi.org\/10.3905\/jpm.2026.1.818}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-4\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv03\" data-record=\"work-cv03\" data-year=\"2026\" data-kind=\"Journal articles\" data-authors=\"[&quot;Filip Ba\u0161i\u0107&quot;, &quot;Alberto Mart\u00edn-Utrera&quot;, &quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;]\" data-filter-authors=\"n5d566ca496 n0124dffcbf n52d702f9a9\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2026<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1080\/1351847X.2025.2558117\">The risk of falling short: implementation shortfall variance in portfolio construction<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/hr.linkedin.com\/in\/filip-ba%C5%A1i%C4%87-61a41140\">Filip Ba\u0161i\u0107<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/sites.google.com\/site\/amutrera84\/\">Alberto Mart\u00edn-Utrera<\/a>, <strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/wp.lancs.ac.uk\/sandranolte\/\">Sandra Nolte<\/a><\/p><p class=\"publication\"><em>The European Journal of Finance<\/em>, 32(4\u20136), 546\u2013563.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4017974\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Basic\/MartinUtrera\/Nolte\/Nolte2026,<br \/>\n  author = {Ba\u0161i\u0107, Filip and Mart\u00edn-Utrera, Alberto and Nolte, Ingmar and Nolte, Sandra},<br \/>\n  title = {The risk of falling short: implementation shortfall variance in portfolio construction},<br \/>\n  journal = {The European Journal of Finance},<br \/>\n  volume = {32},<br \/>\n  number = {4-6},<br \/>\n  pages = {546-563},<br \/>\n  year = {2026},<br \/>\n  doi = {10.1080\/1351847X.2025.2558117},<br \/>\n  url = {https:\/\/doi.org\/10.1080\/1351847X.2025.2558117}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-5\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv04\" data-record=\"work-cv04\" data-year=\"2025\" data-kind=\"Journal articles\" data-authors=\"[&quot;Yifan Li&quot;, &quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;, &quot;Shifan Yu&quot;]\" data-filter-authors=\"n5d84089f67 n52d702f9a9 n2f97055c7b\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2025<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1016\/j.jeconom.2025.106014\">Realized candlestick wicks<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/www.yifanli.uk\/\">Yifan Li<\/a>, <strong>Ingmar Nolte<\/strong>, <a class=\"coauthor-link\" href=\"https:\/\/wp.lancs.ac.uk\/sandranolte\/\">Sandra Nolte<\/a> and <a class=\"coauthor-link\" href=\"https:\/\/www.shifanyu.com\/\">Shifan Yu<\/a><\/p><p class=\"publication\"><em>Journal of Econometrics<\/em>, 250, 106014.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4507161\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Li\/Nolte\/Nolte\/Yu2025c,<br \/>\n  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra and Yu, Shifan},<br \/>\n  title = {Realized candlestick wicks},<br \/>\n  journal = {Journal of Econometrics},<br \/>\n  volume = {250},<br \/>\n  pages = {106014},<br \/>\n  year = {2025},<br \/>\n  doi = {10.1016\/j.jeconom.2025.106014},<br \/>\n  url = {https:\/\/doi.org\/10.1016\/j.jeconom.2025.106014}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><details class=\"version\"><summary>Earlier title<\/summary><div class=\"citation-body\">Nonparametric Range-Based Estimation of Integrated Variance with Episodic Extreme Return Persistence<details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Li\/Nolte\/Nolte\/Yu2023,<br \/>\n  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra and Yu, Shifan},<br \/>\n  title = {Nonparametric Range-Based Estimation of Integrated Variance with Episodic Extreme Return Persistence},<br \/>\n  year = {2023},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  type = {Working paper}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-6\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv05\" data-record=\"work-cv05\" data-year=\"2025\" data-kind=\"Journal articles\" data-authors=\"[&quot;Yifan Li&quot;, &quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;, &quot;Shifan Yu&quot;]\" data-filter-authors=\"n5d84089f67 n52d702f9a9 n2f97055c7b\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2025<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1111\/jtsa.12849\">Decoupling Interday and Intraday Volatility Dynamics With Price Durations<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/www.yifanli.uk\/\">Yifan Li<\/a>, <strong>Ingmar Nolte<\/strong>, <a class=\"coauthor-link\" href=\"https:\/\/wp.lancs.ac.uk\/sandranolte\/\">Sandra Nolte<\/a> and <a class=\"coauthor-link\" href=\"https:\/\/www.shifanyu.com\/\">Shifan Yu<\/a><\/p><p class=\"publication\"><em>Journal of Time Series Analysis<\/em>, 46(6), 1224\u20131250.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4850075\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Li\/Nolte\/Nolte\/Yu2025a,<br \/>\n  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra and Yu, Shifan},<br \/>\n  title = {Decoupling Interday and Intraday Volatility Dynamics With Price Durations},<br \/>\n  journal = {Journal of Time Series Analysis},<br \/>\n  volume = {46},<br \/>\n  number = {6},<br \/>\n  pages = {1224-1250},<br \/>\n  year = {2025},<br \/>\n  doi = {10.1111\/jtsa.12849},<br \/>\n  url = {https:\/\/doi.org\/10.1111\/jtsa.12849}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-7\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv06\" data-record=\"work-cv06\" data-year=\"2024\" data-kind=\"Journal articles\" data-authors=\"[&quot;Shushu Liao&quot;, &quot;Ingmar Nolte&quot;, &quot;Grzegorz Pawlina&quot;]\" data-filter-authors=\"nde6296209b n22f8459f80\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2024<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1017\/S0022109023000418\">Can Capital Adjustment Costs Explain the Decline in Investment\u2013Cash Flow Sensitivity?<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/sites.google.com\/site\/shushuliao90\/\">Shushu Liao<\/a>, <strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/www.lancaster.ac.uk\/lums\/people\/grzegorz-pawlina\">Grzegorz Pawlina<\/a><\/p><p class=\"publication\"><em>Journal of Financial and Quantitative Analysis<\/em>, 59(5), 2399\u20132424.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3746210\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Liao\/Nolte\/Pawlina2024,<br \/>\n  author = {Liao, Shushu and Nolte, Ingmar and Pawlina, Grzegorz},<br \/>\n  title = {Can Capital Adjustment Costs Explain the Decline in Investment\u2013Cash Flow Sensitivity?},<br \/>\n  journal = {Journal of Financial and Quantitative Analysis},<br \/>\n  volume = {59},<br \/>\n  number = {5},<br \/>\n  pages = {2399-2424},<br \/>\n  year = {2024},<br \/>\n  doi = {10.1017\/S0022109023000418},<br \/>\n  url = {https:\/\/doi.org\/10.1017\/S0022109023000418}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-8\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv07\" data-record=\"work-cv07\" data-year=\"2024\" data-kind=\"Journal articles\" data-authors=\"[&quot;Yifan Li&quot;, &quot;Ingmar Nolte&quot;, &quot;Manh Cuong Pham&quot;]\" data-filter-authors=\"n5d84089f67 n985aa6d61c\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2024<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1016\/j.jeconom.2024.105748\">Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/www.yifanli.uk\/\">Yifan Li<\/a>, <strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/www.lancaster.ac.uk\/lums\/people\/manh-pham\">Manh Cuong Pham<\/a><\/p><p class=\"publication\"><em>Journal of Econometrics<\/em>, 241(2), 105748.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3945540\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Li\/Nolte\/Pham2024a,<br \/>\n  author = {Li, Yifan and Nolte, Ingmar and Pham, Manh Cuong},<br \/>\n  title = {Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures},<br \/>\n  journal = {Journal of Econometrics},<br \/>\n  volume = {241},<br \/>\n  number = {2},<br \/>\n  pages = {105748},<br \/>\n  year = {2024},<br \/>\n  doi = {10.1016\/j.jeconom.2024.105748},<br \/>\n  url = {https:\/\/doi.org\/10.1016\/j.jeconom.2024.105748}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><a href=\"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/lwm-supplementary-material\/\">Supplementary Material<\/a><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-9\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv08\" data-record=\"work-cv08\" data-year=\"2024\" data-kind=\"Journal articles\" data-authors=\"[&quot;Filip Ba\u0161i\u0107&quot;, &quot;Harald Lohre&quot;, &quot;Alberto Mart\u00edn-Utrera&quot;, &quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;]\" data-filter-authors=\"n5d566ca496 n2d7e159bfd n0124dffcbf n52d702f9a9\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2024<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.3905\/jpm.2024.1.599\">Transaction Cost\u2013Optimized Equity Factors around the World<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/hr.linkedin.com\/in\/filip-ba%C5%A1i%C4%87-61a41140\">Filip Ba\u0161i\u0107<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/research.lancaster-university.uk\/en\/persons\/harald-lohre\/\">Harald Lohre<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/sites.google.com\/site\/amutrera84\/\">Alberto Mart\u00edn-Utrera<\/a>, <strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/wp.lancs.ac.uk\/sandranolte\/\">Sandra Nolte<\/a><\/p><p class=\"publication\"><em>The Journal of Portfolio Management<\/em>, 50(6), 40\u201373.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/eprints.lancs.ac.uk\/id\/eprint\/210994\/3\/BasicLohreMartinUtreraNolteNolte2023.pdf\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Basic\/Lohre\/MartinUtrera\/Nolte\/Nolte2024,<br \/>\n  author = {Ba\u0161i\u0107, Filip and Lohre, Harald and Mart\u00edn-Utrera, Alberto and Nolte, Ingmar and Nolte, Sandra},<br \/>\n  title = {Transaction Cost\u2013Optimized Equity Factors around the World},<br \/>\n  journal = {The Journal of Portfolio Management},<br \/>\n  volume = {50},<br \/>\n  number = {6},<br \/>\n  pages = {40-73},<br \/>\n  year = {2024},<br \/>\n  doi = {10.3905\/jpm.2024.1.599},<br \/>\n  url = {https:\/\/doi.org\/10.3905\/jpm.2024.1.599}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-10\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv09\" data-record=\"work-cv09\" data-year=\"2024\" data-kind=\"Journal articles\" data-authors=\"[&quot;Anastasios Kagkadis&quot;, &quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;, &quot;Nikolaos Vasilas&quot;]\" data-filter-authors=\"n3049bfe5e8 n52d702f9a9 nbc44a3135b\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2024<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1093\/rapstu\/raad010\">Factor Timing with Portfolio Characteristics<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/sites.google.com\/site\/akagkadis\">Anastasios Kagkadis<\/a>, <strong>Ingmar Nolte<\/strong>, <a class=\"coauthor-link\" href=\"https:\/\/wp.lancs.ac.uk\/sandranolte\/\">Sandra Nolte<\/a> and <a class=\"coauthor-link\" href=\"https:\/\/de.linkedin.com\/in\/niko-vasilas-34a125106\">Nikolaos Vasilas<\/a><\/p><p class=\"publication\"><em>The Review of Asset Pricing Studies<\/em>, 14(1), 84\u2013118.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3955838\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Kagkadis\/Nolte\/Nolte\/Vasilas2024,<br \/>\n  author = {Kagkadis, Anastasios and Nolte, Ingmar and Nolte, Sandra and Vasilas, Nikolaos},<br \/>\n  title = {Factor Timing with Portfolio Characteristics},<br \/>\n  journal = {The Review of Asset Pricing Studies},<br \/>\n  volume = {14},<br \/>\n  number = {1},<br \/>\n  pages = {84-118},<br \/>\n  year = {2024},<br \/>\n  doi = {10.1093\/rapstu\/raad010},<br \/>\n  url = {https:\/\/doi.org\/10.1093\/rapstu\/raad010}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-11\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv10\" data-record=\"work-cv10\" data-year=\"2023\" data-kind=\"Journal articles\" data-authors=\"[&quot;Seok Young Hong&quot;, &quot;Ingmar Nolte&quot;, &quot;Stephen J. Taylor&quot;, &quot;Xiaolu Zhao&quot;]\" data-filter-authors=\"nefacb4af3e nd74f0532d9 n7f38140084\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2023<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1093\/jjfinec\/nbab006\">Volatility Estimation and Forecasts Based on Price Durations<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/sy-hong.com\/\">Seok Young Hong<\/a>, <strong>Ingmar Nolte<\/strong>, <a class=\"coauthor-link\" href=\"https:\/\/www.lancaster.ac.uk\/staff\/afasjt\/\">Stephen J. Taylor<\/a> and <a class=\"coauthor-link\" href=\"https:\/\/www.nottingham.ac.uk\/business\/people\/lizvz.phtml\">Xiaolu Zhao<\/a><\/p><p class=\"publication\"><em>Journal of Financial Econometrics<\/em>, 21(1), 106\u2013144.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2713322\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Hong\/Nolte\/Taylor\/Zhao2023,<br \/>\n  author = {Hong, Seok Young and Nolte, Ingmar and Taylor, Stephen J and Zhao, Xiaolu},<br \/>\n  title = {Volatility Estimation and Forecasts Based on Price Durations},<br \/>\n  journal = {Journal of Financial Econometrics},<br \/>\n  volume = {21},<br \/>\n  number = {1},<br \/>\n  pages = {106-144},<br \/>\n  year = {2023},<br \/>\n  doi = {10.1093\/jjfinec\/nbab006},<br \/>\n  url = {https:\/\/doi.org\/10.1093\/jjfinec\/nbab006}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><a href=\"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/files\/2021\/03\/HNTZ-Jan2021-Web-Appendix.pdf\">(Web-Appendix)<\/a><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-12\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv11\" data-record=\"work-cv11\" data-year=\"2022\" data-kind=\"Journal articles\" data-authors=\"[&quot;Rodrigo Hizmeri&quot;, &quot;Marwan Izzeldin&quot;, &quot;Ingmar Nolte&quot;, &quot;Vasileios Pappas&quot;]\" data-filter-authors=\"nc55de29dba nb88748413b n76aa5beaef\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2022<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1080\/14697688.2022.2076606\">A generalized heterogeneous autoregressive model using market information<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/rodrigohizmeri.com\/\">Rodrigo Hizmeri<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/www.lancaster.ac.uk\/lums\/people\/marwan-izzeldin\">Marwan Izzeldin<\/a>, <strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/www.vasileiospappas.com\/home\">Vasileios Pappas<\/a><\/p><p class=\"publication\"><em>Quantitative Finance<\/em>, 22(8), 1513\u20131534.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3496804\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Hizmeri\/Izzeldin\/Nolte\/Pappas2022a,<br \/>\n  author = {Hizmeri, Rodrigo and Izzeldin, Marwan and Nolte, Ingmar and Pappas, Vasileios},<br \/>\n  title = {A generalized heterogeneous autoregressive model using market information},<br \/>\n  journal = {Quantitative Finance},<br \/>\n  volume = {22},<br \/>\n  number = {8},<br \/>\n  pages = {1513-1534},<br \/>\n  year = {2022},<br \/>\n  doi = {10.1080\/14697688.2022.2076606},<br \/>\n  url = {https:\/\/doi.org\/10.1080\/14697688.2022.2076606}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-13\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv12\" data-record=\"work-cv12\" data-year=\"2022\" data-kind=\"Journal articles\" data-authors=\"[&quot;Yifan Li&quot;, &quot;Ingmar Nolte&quot;, &quot;Michalis Vasios&quot;, &quot;Valeri Voev&quot;, &quot;Qi Xu&quot;]\" data-filter-authors=\"n5d84089f67 ne0338b1d46 nd49132019d n274acb538e\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2022<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1016\/j.jbankfin.2022.106420\">Weighted Least Squares Realized Covariation Estimation<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/www.yifanli.uk\/\">Yifan Li<\/a>, <strong>Ingmar Nolte<\/strong>, <a class=\"coauthor-link\" href=\"https:\/\/sites.google.com\/site\/michalisvasios\">Michalis Vasios<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/dk.linkedin.com\/in\/valeri-voev-1a698940\">Valeri Voev<\/a> and <a class=\"coauthor-link\" href=\"https:\/\/person.zju.edu.cn\/en\/qixu\">Qi Xu<\/a><\/p><p class=\"publication\"><em>Journal of Banking &amp; Finance<\/em>, 137, 106420.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4011269\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Li\/Nolte\/Vasios\/Voev\/Xu2022a,<br \/>\n  author = {Li, Yifan and Nolte, Ingmar and Vasios, Michalis and Voev, Valeri and Xu, Qi},<br \/>\n  title = {Weighted Least Squares Realized Covariation Estimation},<br \/>\n  journal = {Journal of Banking &amp; Finance},<br \/>\n  volume = {137},<br \/>\n  pages = {106420},<br \/>\n  year = {2022},<br \/>\n  doi = {10.1016\/j.jbankfin.2022.106420},<br \/>\n  url = {https:\/\/doi.org\/10.1016\/j.jbankfin.2022.106420}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-14\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv13\" data-record=\"work-cv13\" data-year=\"2021\" data-kind=\"Journal articles\" data-authors=\"[&quot;Yifan Li&quot;, &quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;]\" data-filter-authors=\"n5d84089f67 n52d702f9a9\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2021<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1016\/j.jedc.2021.104077\">High-frequency volatility modeling: A Markov-Switching Autoregressive Conditional Intensity model<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/www.yifanli.uk\/\">Yifan Li<\/a>, <strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/wp.lancs.ac.uk\/sandranolte\/\">Sandra Nolte<\/a><\/p><p class=\"publication\"><em>Journal of Economic Dynamics and Control<\/em>, 124, 104077.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2785499\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Li\/Nolte\/Nolte2021a,<br \/>\n  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra},<br \/>\n  title = {High-frequency volatility modeling: A Markov-Switching Autoregressive Conditional Intensity model},<br \/>\n  journal = {Journal of Economic Dynamics and Control},<br \/>\n  volume = {124},<br \/>\n  pages = {104077},<br \/>\n  year = {2021},<br \/>\n  doi = {10.1016\/j.jedc.2021.104077},<br \/>\n  url = {https:\/\/doi.org\/10.1016\/j.jedc.2021.104077}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-15\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv14\" data-record=\"work-cv14\" data-year=\"2021\" data-kind=\"Journal articles\" data-authors=\"[&quot;Torben Andersen&quot;, &quot;Ilya Archakov&quot;, &quot;Leon Grund&quot;, &quot;Nikolaus Hautsch&quot;, &quot;Yifan Li&quot;, &quot;Sergey Nasekin&quot;, &quot;Ingmar Nolte&quot;, &quot;Manh Cuong Pham&quot;, &quot;Stephen Taylor&quot;, &quot;Viktor Todorov&quot;]\" data-filter-authors=\"n800838ad95 n91bd69e700 n2d4ff5df93 n9e2c174c05 n5d84089f67 nb71f6a4363 n985aa6d61c nc6a49c8910 nedbd7b3134\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2021<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1093\/jjfinec\/nbaa036\">A Descriptive Study of High-Frequency Trade and Quote Option Data<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/www.kellogg.northwestern.edu\/academics-research\/faculty\/andersen_torben\/\">Torben Andersen<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/profiles.laps.yorku.ca\/profiles\/iarch\/\">Ilya Archakov<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/papers.ssrn.com\/sol3\/cf_dev\/AbsByAuth.cfm?per_id=3684035\">Leon Grund<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/homepage.univie.ac.at\/nikolaus.hautsch\/\">Nikolaus Hautsch<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/www.yifanli.uk\/\">Yifan Li<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/de.linkedin.com\/in\/sergey-nasekin\">Sergey Nasekin<\/a>, <strong>Ingmar Nolte<\/strong>, <a class=\"coauthor-link\" href=\"https:\/\/www.lancaster.ac.uk\/lums\/people\/manh-pham\">Manh Cuong Pham<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/www.lancaster.ac.uk\/staff\/afasjt\/\">Stephen Taylor<\/a> and <a class=\"coauthor-link\" href=\"https:\/\/sites.google.com\/view\/viktor-todorov\">Viktor Todorov<\/a><\/p><p class=\"publication\"><em>Journal of Financial Econometrics<\/em>, 19(1), 128\u2013177.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3446690\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Andersen\/Archakov\/Grund\/Hautsch\/Li\/Nasekin\/Nolte\/Pham\/Taylor\/Todorov2021,<br \/>\n  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},<br \/>\n  title = {A Descriptive Study of High-Frequency Trade and Quote Option Data},<br \/>\n  journal = {Journal of Financial Econometrics},<br \/>\n  volume = {19},<br \/>\n  number = {1},<br \/>\n  pages = {128-177},<br \/>\n  year = {2021},<br \/>\n  doi = {10.1093\/jjfinec\/nbaa036},<br \/>\n  url = {https:\/\/doi.org\/10.1093\/jjfinec\/nbaa036}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-16\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv15\" data-record=\"work-cv15\" data-year=\"2020\" data-kind=\"Journal articles\" data-authors=\"[&quot;David Happersberger&quot;, &quot;Harald Lohre&quot;, &quot;Ingmar Nolte&quot;]\" data-filter-authors=\"nfe4690af6c n2d7e159bfd\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2020<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1111\/eufm.12256\">Estimating portfolio risk for tail risk protection strategies<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/www.lancaster.ac.uk\/lums\/people\/david-happersberger\">David Happersberger<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/research.lancaster-university.uk\/en\/persons\/harald-lohre\/\">Harald Lohre<\/a> and <strong>Ingmar Nolte<\/strong><\/p><p class=\"publication\"><em>European Financial Management<\/em>, 26(4), 1107\u20131146.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2980750\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Happersberger\/Lohre\/Nolte2020,<br \/>\n  author = {Happersberger, David and Lohre, Harald and Nolte, Ingmar},<br \/>\n  title = {Estimating portfolio risk for tail risk protection strategies},<br \/>\n  journal = {European Financial Management},<br \/>\n  volume = {26},<br \/>\n  number = {4},<br \/>\n  pages = {1107-1146},<br \/>\n  year = {2020},<br \/>\n  doi = {10.1111\/eufm.12256},<br \/>\n  url = {https:\/\/doi.org\/10.1111\/eufm.12256}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-17\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv16\" data-record=\"work-cv16\" data-year=\"2019\" data-kind=\"Journal articles\" data-authors=\"[&quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;, &quot;Winfried Pohlmeier&quot;]\" data-filter-authors=\"n52d702f9a9 nb521e8b571\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2019<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1016\/j.ijforecast.2018.07.007\">What determines forecasters\u2019 forecasting errors?<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><strong>Ingmar Nolte<\/strong>, <a class=\"coauthor-link\" href=\"https:\/\/wp.lancs.ac.uk\/sandranolte\/\">Sandra Nolte<\/a> and <a class=\"coauthor-link\" href=\"https:\/\/www.winfriedpohlmeier.com\/\">Winfried Pohlmeier<\/a><\/p><p class=\"publication\"><em>International Journal of Forecasting<\/em>, 35(1), 11\u201324.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1541799\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Nolte\/Nolte\/Pohlmeier2019,<br \/>\n  author = {Nolte, Ingmar and Nolte, Sandra and Pohlmeier, Winfried},<br \/>\n  title = {What determines forecasters\u2019 forecasting errors?},<br \/>\n  journal = {International Journal of Forecasting},<br \/>\n  volume = {35},<br \/>\n  number = {1},<br \/>\n  pages = {11-24},<br \/>\n  year = {2019},<br \/>\n  doi = {10.1016\/j.ijforecast.2018.07.007},<br \/>\n  url = {https:\/\/doi.org\/10.1016\/j.ijforecast.2018.07.007}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-18\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv17\" data-record=\"work-cv17\" data-year=\"2016\" data-kind=\"Journal articles\" data-authors=\"[&quot;Fabian Kr\u00fcger&quot;, &quot;Ingmar Nolte&quot;]\" data-filter-authors=\"n676bb32f3a\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2016<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1016\/j.jbankfin.2015.05.007\">Disagreement versus uncertainty: Evidence from distribution forecasts<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/sites.google.com\/site\/fk83research\/\">Fabian Kr\u00fcger<\/a> and <strong>Ingmar Nolte<\/strong><\/p><p class=\"publication\"><em>Journal of Banking &amp; Finance<\/em>, 72, S172\u2013S186.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1656213\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Kruger\/Nolte2016,<br \/>\n  author = {Kr\u00fcger, Fabian and Nolte, Ingmar},<br \/>\n  title = {Disagreement versus uncertainty: Evidence from distribution forecasts},<br \/>\n  journal = {Journal of Banking &amp; Finance},<br \/>\n  volume = {72},<br \/>\n  pages = {S172-S186},<br \/>\n  year = {2016},<br \/>\n  doi = {10.1016\/j.jbankfin.2015.05.007},<br \/>\n  url = {https:\/\/doi.org\/10.1016\/j.jbankfin.2015.05.007}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-19\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv18\" data-record=\"work-cv18\" data-year=\"2016\" data-kind=\"Journal articles\" data-authors=\"[&quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;]\" data-filter-authors=\"n52d702f9a9\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2016<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1080\/1351847X.2014.963633\">The information content of retail investors\u2019 order flow<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/wp.lancs.ac.uk\/sandranolte\/\">Sandra Nolte<\/a><\/p><p class=\"publication\"><em>The European Journal of Finance<\/em>, 22(2), 80\u2013104.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2111118\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Nolte\/Nolte2016,<br \/>\n  author = {Nolte, Ingmar and Nolte, Sandra},<br \/>\n  title = {The information content of retail investors\u2019 order flow},<br \/>\n  journal = {The European Journal of Finance},<br \/>\n  volume = {22},<br \/>\n  number = {2},<br \/>\n  pages = {80-104},<br \/>\n  year = {2016},<br \/>\n  doi = {10.1080\/1351847X.2014.963633},<br \/>\n  url = {https:\/\/doi.org\/10.1080\/1351847X.2014.963633}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-20\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv19\" data-record=\"work-cv19\" data-year=\"2015\" data-kind=\"Journal articles\" data-authors=\"[&quot;Ingmar Nolte&quot;, &quot;Qi Xu&quot;]\" data-filter-authors=\"n274acb538e\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2015<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1016\/j.jempfin.2015.03.019\">The economic value of volatility timing with realized jumps<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/person.zju.edu.cn\/en\/qixu\">Qi Xu<\/a><\/p><p class=\"publication\"><em>Journal of Empirical Finance<\/em>, 34, 45\u201359.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2406934\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Nolte\/Xu2015a,<br \/>\n  author = {Nolte, Ingmar and Xu, Qi},<br \/>\n  title = {The economic value of volatility timing with realized jumps},<br \/>\n  journal = {Journal of Empirical Finance},<br \/>\n  volume = {34},<br \/>\n  pages = {45-59},<br \/>\n  year = {2015},<br \/>\n  doi = {10.1016\/j.jempfin.2015.03.019},<br \/>\n  url = {https:\/\/doi.org\/10.1016\/j.jempfin.2015.03.019}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-21\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv20\" data-record=\"work-cv20\" data-year=\"2014\" data-kind=\"Journal articles\" data-authors=\"[&quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;, &quot;Michalis Vasios&quot;]\" data-filter-authors=\"n52d702f9a9 ne0338b1d46\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2014<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1016\/j.jbankfin.2014.03.010\">Sell-side analysts\u2019 career concerns during banking stresses<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><strong>Ingmar Nolte<\/strong>, <a class=\"coauthor-link\" href=\"https:\/\/wp.lancs.ac.uk\/sandranolte\/\">Sandra Nolte<\/a> and <a class=\"coauthor-link\" href=\"https:\/\/sites.google.com\/site\/michalisvasios\">Michalis Vasios<\/a><\/p><p class=\"publication\"><em>Journal of Banking &amp; Finance<\/em>, 49, 424\u2013441.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2405828\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Nolte\/Nolte\/Vasios2014a,<br \/>\n  author = {Nolte, Ingmar and Nolte, Sandra and Vasios, Michalis},<br \/>\n  title = {Sell-side analysts\u2019 career concerns during banking stresses},<br \/>\n  journal = {Journal of Banking &amp; Finance},<br \/>\n  volume = {49},<br \/>\n  pages = {424-441},<br \/>\n  year = {2014},<br \/>\n  doi = {10.1016\/j.jbankfin.2014.03.010},<br \/>\n  url = {https:\/\/doi.org\/10.1016\/j.jbankfin.2014.03.010}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-22\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv21\" data-record=\"work-cv21\" data-year=\"2012\" data-kind=\"Journal articles\" data-authors=\"[&quot;Ingmar Nolte&quot;, &quot;Valeri Voev&quot;]\" data-filter-authors=\"nd49132019d\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2012<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1080\/10473289.2011.637876\">Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/dk.linkedin.com\/in\/valeri-voev-1a698940\">Valeri Voev<\/a><\/p><p class=\"publication\"><em>Journal of Business &amp; Economic Statistics<\/em>, 30(1), 94\u2013108.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1396185\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Nolte\/Voev2012,<br \/>\n  author = {Nolte, Ingmar and Voev, Valeri},<br \/>\n  title = {Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise},<br \/>\n  journal = {Journal of Business &amp; Economic Statistics},<br \/>\n  volume = {30},<br \/>\n  number = {1},<br \/>\n  pages = {94-108},<br \/>\n  year = {2012},<br \/>\n  doi = {10.1080\/10473289.2011.637876},<br \/>\n  url = {https:\/\/doi.org\/10.1080\/10473289.2011.637876}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><a href=\"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/files\/2019\/09\/NolteVoev2011-JBES-Web-Appendix.pdf\">(Web-Appendix)<\/a><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-23\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv22\" data-record=\"work-cv22\" data-year=\"2012\" data-kind=\"Journal articles\" data-authors=\"[&quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;]\" data-filter-authors=\"n52d702f9a9\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2012<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1080\/1351847X.2011.601647\">How do individual investors trade?<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/wp.lancs.ac.uk\/sandranolte\/\">Sandra Nolte<\/a><\/p><p class=\"publication\"><em>The European Journal of Finance<\/em>, 18(9\u201310), 921\u2013947.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1538760\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Nolte\/Nolte2012,<br \/>\n  author = {Nolte, Ingmar and Nolte, Sandra},<br \/>\n  title = {How do individual investors trade?},<br \/>\n  journal = {The European Journal of Finance},<br \/>\n  volume = {18},<br \/>\n  number = {9-10},<br \/>\n  pages = {921-947},<br \/>\n  year = {2012},<br \/>\n  doi = {10.1080\/1351847X.2011.601647},<br \/>\n  url = {https:\/\/doi.org\/10.1080\/1351847X.2011.601647}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-24\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv23\" data-record=\"work-cv23\" data-year=\"2012\" data-kind=\"Journal articles\" data-authors=\"[&quot;Ingmar Nolte&quot;]\" data-filter-authors=\"\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2012<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1080\/1351847X.2011.601635\">A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><strong>Ingmar Nolte<\/strong><\/p><p class=\"publication\"><em>The European Journal of Finance<\/em>, 18(9\u201310), 885\u2013919.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=911528\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Nolte2012,<br \/>\n  author = {Nolte, Ingmar},<br \/>\n  title = {A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach},<br \/>\n  journal = {The European Journal of Finance},<br \/>\n  volume = {18},<br \/>\n  number = {9-10},<br \/>\n  pages = {885-919},<br \/>\n  year = {2012},<br \/>\n  doi = {10.1080\/1351847X.2011.601635},<br \/>\n  url = {https:\/\/doi.org\/10.1080\/1351847X.2011.601635}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-25\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv24\" data-record=\"work-cv24\" data-year=\"2011\" data-kind=\"Journal articles\" data-authors=\"[&quot;Axel F.A. Adam-M\u00fcller&quot;, &quot;Ingmar Nolte&quot;]\" data-filter-authors=\"nfc57a907c9\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2011<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1016\/j.jbankfin.2011.03.022\">Cross hedging under multiplicative basis risk<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/www.uni-trier.de\/universitaet\/fachbereiche-faecher\/fachbereich-iv\/faecher\/betriebswirtschaftslehre\/team\/ufk\/team\/prof-dr-a-adam-mueller\">Axel F.A. Adam-M\u00fcller<\/a> and <strong>Ingmar Nolte<\/strong><\/p><p class=\"publication\"><em>Journal of Banking &amp; Finance<\/em>, 35(11), 2956\u20132964.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1799402\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{AdamMuller\/Nolte2011a,<br \/>\n  author = {Adam-M\u00fcller, Axel F.A. and Nolte, Ingmar},<br \/>\n  title = {Cross hedging under multiplicative basis risk},<br \/>\n  journal = {Journal of Banking &amp; Finance},<br \/>\n  volume = {35},<br \/>\n  number = {11},<br \/>\n  pages = {2956-2964},<br \/>\n  year = {2011},<br \/>\n  doi = {10.1016\/j.jbankfin.2011.03.022},<br \/>\n  url = {https:\/\/doi.org\/10.1016\/j.jbankfin.2011.03.022}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-26\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv25\" data-record=\"work-cv25\" data-year=\"2011\" data-kind=\"Journal articles\" data-authors=\"[&quot;Ingmar Nolte&quot;, &quot;Valeri Voev&quot;]\" data-filter-authors=\"nd49132019d\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2011<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1093\/jjfinec\/nbq033\">Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/dk.linkedin.com\/in\/valeri-voev-1a698940\">Valeri Voev<\/a><\/p><p class=\"publication\"><em>Journal of Financial Econometrics<\/em>, 9(4), 685\u2013716.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=917118\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Nolte\/Voev2011b,<br \/>\n  author = {Nolte, Ingmar and Voev, Valeri},<br \/>\n  title = {Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach},<br \/>\n  journal = {Journal of Financial Econometrics},<br \/>\n  volume = {9},<br \/>\n  number = {4},<br \/>\n  pages = {685-716},<br \/>\n  year = {2011},<br \/>\n  doi = {10.1093\/jjfinec\/nbq033},<br \/>\n  url = {https:\/\/doi.org\/10.1093\/jjfinec\/nbq033}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><a href=\"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/files\/2019\/09\/NolteVoev2010-JFEC-Web-Appendix.pdf\">(Web-Appendix)<\/a><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-27\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv26\" data-record=\"work-cv26\" data-year=\"2011\" data-kind=\"Journal articles\" data-authors=\"[&quot;Mark Britten-Jones&quot;, &quot;Anthony Neuberger&quot;, &quot;Ingmar Nolte&quot;]\" data-filter-authors=\"n1487f368b8 nd2d83b3abe\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2011<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1111\/j.1468-5957.2011.02244.x\">Improved Inference in Regression with Overlapping Observations<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/www.anderson.ucla.edu\/news-and-events\/press-releases\/mark-britten-jones-of-laurel-canyon-partners-to-deliver-ucla-anderson-mfe-class-of-2020-commencement-address\">Mark Britten-Jones<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/www.bayes.citystgeorges.ac.uk\/faculties-and-research\/experts\/anthony-neuberger\">Anthony Neuberger<\/a> and <strong>Ingmar Nolte<\/strong><\/p><p class=\"publication\"><em>Journal of Business Finance &amp; Accounting<\/em>, 38(5\u20136), 657\u2013683.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=557090\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{BrittenJones\/Neuberger\/Nolte2011,<br \/>\n  author = {Britten-Jones, Mark and Neuberger, Anthony and Nolte, Ingmar},<br \/>\n  title = {Improved Inference in Regression with Overlapping Observations},<br \/>\n  journal = {Journal of Business Finance &amp; Accounting},<br \/>\n  volume = {38},<br \/>\n  number = {5-6},<br \/>\n  pages = {657-683},<br \/>\n  year = {2011},<br \/>\n  doi = {10.1111\/j.1468-5957.2011.02244.x},<br \/>\n  url = {https:\/\/doi.org\/10.1111\/j.1468-5957.2011.02244.x}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-28\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv27\" data-record=\"work-cv27\" data-year=\"2011\" data-kind=\"Journal articles\" data-authors=\"[&quot;Katarzyna Bien&quot;, &quot;Ingmar Nolte&quot;, &quot;Winfried Pohlmeier&quot;]\" data-filter-authors=\"n809d7c7d06 nb521e8b571\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2011<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1002\/jae.1122\">An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/cris.sgh.waw.pl\/info\/author\/SGHaf61f0f1bcb84e019f39e662b3cdac0a\/\">Katarzyna Bien<\/a>, <strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/www.winfriedpohlmeier.com\/\">Winfried Pohlmeier<\/a><\/p><p class=\"publication\"><em>Journal of Applied Econometrics<\/em>, 26(4), 669\u2013707.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=967253\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Bien\/Nolte\/Pohlmeier2011,<br \/>\n  author = {Bien, Katarzyna and Nolte, Ingmar and Pohlmeier, Winfried},<br \/>\n  title = {An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics},<br \/>\n  journal = {Journal of Applied Econometrics},<br \/>\n  volume = {26},<br \/>\n  number = {4},<br \/>\n  pages = {669-707},<br \/>\n  year = {2011},<br \/>\n  doi = {10.1002\/jae.1122},<br \/>\n  url = {https:\/\/doi.org\/10.1002\/jae.1122}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-29\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv28\" data-record=\"work-cv28\" data-year=\"2008\" data-kind=\"Journal articles\" data-authors=\"[&quot;Ingmar Nolte&quot;]\" data-filter-authors=\"\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2008<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1093\/jjfinec\/nbm020\">Modeling a Multivariate Transaction Process<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><strong>Ingmar Nolte<\/strong><\/p><p class=\"publication\"><em>Journal of Financial Econometrics<\/em>, 6(1), 143\u2013170.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=911531\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Nolte2008,<br \/>\n  author = {Nolte, Ingmar},<br \/>\n  title = {Modeling a Multivariate Transaction Process},<br \/>\n  journal = {Journal of Financial Econometrics},<br \/>\n  volume = {6},<br \/>\n  number = {1},<br \/>\n  pages = {143-170},<br \/>\n  year = {2008},<br \/>\n  doi = {10.1093\/jjfinec\/nbm020},<br \/>\n  url = {https:\/\/doi.org\/10.1093\/jjfinec\/nbm020}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-30\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv29\" data-record=\"work-cv29\" data-year=\"2007\" data-kind=\"Journal articles\" data-authors=\"[&quot;Ingmar Nolte&quot;, &quot;Winfried Pohlmeier&quot;]\" data-filter-authors=\"nb521e8b571\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2007<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1016\/j.ijforecast.2006.05.001\">Using forecasts of forecasters to forecast<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/www.winfriedpohlmeier.com\/\">Winfried Pohlmeier<\/a><\/p><p class=\"publication\"><em>International Journal of Forecasting<\/em>, 23(1), 15\u201328.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=917116\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Nolte\/Pohlmeier2007,<br \/>\n  author = {Nolte, Ingmar and Pohlmeier, Winfried},<br \/>\n  title = {Using forecasts of forecasters to forecast},<br \/>\n  journal = {International Journal of Forecasting},<br \/>\n  volume = {23},<br \/>\n  number = {1},<br \/>\n  pages = {15-28},<br \/>\n  year = {2007},<br \/>\n  doi = {10.1016\/j.ijforecast.2006.05.001},<br \/>\n  url = {https:\/\/doi.org\/10.1016\/j.ijforecast.2006.05.001}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-31\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv30\" data-record=\"work-cv30\" data-year=\"2006\" data-kind=\"Journal articles\" data-authors=\"[&quot;Roman Liesenfeld&quot;, &quot;Ingmar Nolte&quot;, &quot;Winfried Pohlmeier&quot;]\" data-filter-authors=\"nfc7e2ec30c nb521e8b571\" data-filter-type=\"n18fd69766c\"><div class=\"year\">2006<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1007\/s00181-005-0001-1\">Modelling financial transaction price movements: a dynamic integer count data model<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/wisostat.uni-koeln.de\/de\/team\/professoren-und-postdocs\/roman-liesenfeld\">Roman Liesenfeld<\/a>, <strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/www.winfriedpohlmeier.com\/\">Winfried Pohlmeier<\/a><\/p><p class=\"publication\"><em>Empirical Economics<\/em>, 30(4), 795\u2013825.<\/p><div class=\"paper-actions references\"><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Liesenfeld\/Nolte\/Pohlmeier2006,<br \/>\n  author = {Liesenfeld, Roman and Nolte, Ingmar and Pohlmeier, Winfried},<br \/>\n  title = {Modelling financial transaction price movements: a dynamic integer count data model},<br \/>\n  journal = {Empirical Economics},<br \/>\n  volume = {30},<br \/>\n  number = {4},<br \/>\n  pages = {795-825},<br \/>\n  year = {2006},<br \/>\n  doi = {10.1007\/s00181-005-0001-1},<br \/>\n  url = {https:\/\/doi.org\/10.1007\/s00181-005-0001-1}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-32\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv31\" data-record=\"work-cv31\" data-year=\"2026\" data-kind=\"Editorials\" data-authors=\"[&quot;Alexandre M. Baptista&quot;, &quot;Ingmar Nolte&quot;]\" data-filter-authors=\"n0f1f49b301\" data-filter-type=\"ne8cf74d583\"><div class=\"year\">2026<span class=\"research-kind\">Editorials<\/span><\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1080\/1351847X.2026.2631794\">Advances in portfolio selection and asset pricing in honor of Harry Markowitz<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/business.gwu.edu\/alexandre-m-baptista\">Alexandre M. Baptista<\/a> and <strong>Ingmar Nolte<\/strong><\/p><p class=\"publication\"><em>The European Journal of Finance<\/em>, 32(4\u20136), 422\u2013426.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/eprints.lancs.ac.uk\/235642\/1\/REJF-2026-0039.pdf\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Baptista\/Nolte2026a,<br \/>\n  author = {Baptista, Alexandre M. and Nolte, Ingmar},<br \/>\n  title = {Advances in portfolio selection and asset pricing in honor of Harry Markowitz},<br \/>\n  journal = {The European Journal of Finance},<br \/>\n  volume = {32},<br \/>\n  number = {4-6},<br \/>\n  pages = {422-426},<br \/>\n  year = {2026},<br \/>\n  doi = {10.1080\/1351847X.2026.2631794},<br \/>\n  url = {https:\/\/doi.org\/10.1080\/1351847X.2026.2631794}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-33\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv32\" data-record=\"work-cv32\" data-year=\"2026\" data-kind=\"Editorials\" data-authors=\"[&quot;Lukas Bauer&quot;, &quot;Roxana Halbleib&quot;, &quot;Richard Olsen&quot;, &quot;Torben G. Andersen&quot;, &quot;Ingmar Nolte&quot;]\" data-filter-authors=\"n2f9a08b0ce ndb88e60628 n5707424397 nb631b3dbe9\" data-filter-type=\"ne8cf74d583\"><div class=\"year\">2026<span class=\"research-kind\">Editorials<\/span><\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1016\/j.jeconom.2025.106175\">Introduction to the Issue on High Frequency Econometrics<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/lb-22.github.io\/\">Lukas Bauer<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/uni-freiburg.de\/econ-econometrics\/prof-dr-roxana-halbleib\/\">Roxana Halbleib<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/www.researchgate.net\/profile\/Richard-Olsen-5\">Richard Olsen<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/www.kellogg.northwestern.edu\/academics-research\/faculty\/andersen_torben\/\">Torben G. Andersen<\/a> and <strong>Ingmar Nolte<\/strong><\/p><p class=\"publication\"><em>Journal of Econometrics<\/em>, 254A, 106175.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/eprints.lancs.ac.uk\/234622\/1\/HFEconometrics_master.pdf\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Bauer\/Halbleib\/Olsen\/Andersen\/Nolte2026a,<br \/>\n  author = {Bauer, Lukas and Halbleib, Roxana and Olsen, Richard and Andersen, Torben G. and Nolte, Ingmar},<br \/>\n  title = {Introduction to the Issue on High Frequency Econometrics},<br \/>\n  journal = {Journal of Econometrics},<br \/>\n  volume = {254},<br \/>\n  number = {A},<br \/>\n  pages = {106175},<br \/>\n  year = {2026},<br \/>\n  doi = {10.1016\/j.jeconom.2025.106175},<br \/>\n  url = {https:\/\/doi.org\/10.1016\/j.jeconom.2025.106175}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-34\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv33\" data-record=\"work-cv33\" data-year=\"2025\" data-kind=\"Editorials\" data-authors=\"[&quot;Torben G. Andersen&quot;, &quot;Kim Christensen&quot;, &quot;Ingmar Nolte&quot;]\" data-filter-authors=\"nb631b3dbe9 nd506d5a0b3\" data-filter-type=\"ne8cf74d583\"><div class=\"year\">2025<span class=\"research-kind\">Editorials<\/span><\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1111\/jtsa.70014\">Special Issue in Honour of Stephen J. Taylor: Guest Editors' Introduction<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/www.kellogg.northwestern.edu\/academics-research\/faculty\/andersen_torben\/\">Torben G. Andersen<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/pure.au.dk\/portal\/en\/persons\/kim%40econ.au.dk\/\">Kim Christensen<\/a> and <strong>Ingmar Nolte<\/strong><\/p><p class=\"publication\"><em>Journal of Time Series Analysis<\/em>, 46(6), 1029\u20131031.<\/p><div class=\"paper-actions references\"><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Andersen\/Christensen\/Nolte2025,<br \/>\n  author = {Andersen, Torben G. and Christensen, Kim and Nolte, Ingmar},<br \/>\n  title = {Special Issue in Honour of Stephen J. Taylor: Guest Editors' Introduction},<br \/>\n  journal = {Journal of Time Series Analysis},<br \/>\n  volume = {46},<br \/>\n  number = {6},<br \/>\n  pages = {1029-1031},<br \/>\n  year = {2025},<br \/>\n  doi = {10.1111\/jtsa.70014},<br \/>\n  url = {https:\/\/doi.org\/10.1111\/jtsa.70014}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-35\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv34\" data-record=\"work-cv34\" data-year=\"2014\" data-kind=\"Editorials\" data-authors=\"[&quot;Meryem Duygun&quot;, &quot;Ingmar Nolte&quot;, &quot;Filipa S\u00e1&quot;, &quot;Mohamed Shaban&quot;]\" data-filter-authors=\"n4ab7ffbb18 nf03b7e6a20 ndb75bb49aa\" data-filter-type=\"ne8cf74d583\"><div class=\"year\">2014<span class=\"research-kind\">Editorials<\/span><\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1016\/j.jbankfin.2014.08.026\">The search for financial stability: Models, policies and prospects<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/nottingham-repository.worktribe.com\/person\/237392\/meryem-duygun\">Meryem Duygun<\/a>, <strong>Ingmar Nolte<\/strong>, <a class=\"coauthor-link\" href=\"https:\/\/sites.google.com\/site\/filipasa16n\/\">Filipa S\u00e1<\/a> and <a class=\"coauthor-link\" href=\"https:\/\/le.ac.uk\/people\/mohamed-shaban\">Mohamed Shaban<\/a><\/p><p class=\"publication\"><em>Journal of Banking &amp; Finance<\/em>, 49, 323\u2013325.<\/p><div class=\"paper-actions references\"><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@article{Duygun\/Nolte\/Sa\/Shaban2014,<br \/>\n  author = {Duygun, Meryem and Nolte, Ingmar and S\u00e1, Filipa and Shaban, Mohamed},<br \/>\n  title = {The search for financial stability: Models, policies and prospects},<br \/>\n  journal = {Journal of Banking &amp; Finance},<br \/>\n  volume = {49},<br \/>\n  pages = {323-325},<br \/>\n  year = {2014},<br \/>\n  doi = {10.1016\/j.jbankfin.2014.08.026},<br \/>\n  url = {https:\/\/doi.org\/10.1016\/j.jbankfin.2014.08.026}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-36\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv35\" data-record=\"work-cv35\" data-year=\"2015\" data-kind=\"Books\" data-authors=\"[&quot;Ingmar Nolte&quot;, &quot;Mark Salmon&quot;, &quot;Chris Adcock&quot;]\" data-filter-authors=\"n237b81a824 n416d353ada\" data-filter-type=\"n4a7fdd8c17\"><div class=\"year\">2015<span class=\"research-kind\">Books<\/span><\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.4324\/9781315737676\">High Frequency Trading and Limit Order Book Dynamics<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><strong>Ingmar Nolte<\/strong>, <a class=\"coauthor-link\" href=\"https:\/\/cepr.org\/about\/people\/mark-salmon-0\">Mark Salmon<\/a> and <a class=\"coauthor-link\" href=\"https:\/\/sheffield.ac.uk\/management\/people\/emeritus-honorary-and-visiting-staff\/chris-adcock\">Chris Adcock<\/a> (eds.)<\/p><p class=\"publication\">Routledge, 1st edition.<\/p><div class=\"paper-actions references\"><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@book{Nolte\/Salmon\/Adcock2015,<br \/>\n  editor = {Nolte, Ingmar and Salmon, Mark and Adcock, Chris},<br \/>\n  title = {High Frequency Trading and Limit Order Book Dynamics},<br \/>\n  year = {2015},<br \/>\n  publisher = {Routledge},<br \/>\n  doi = {10.4324\/9781315737676},<br \/>\n  url = {https:\/\/doi.org\/10.4324\/9781315737676},<br \/>\n  edition = {1},<br \/>\n  isbn = {978-1-138-82938-1}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-37\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv36\" data-record=\"work-cv36\" data-year=\"2015\" data-kind=\"Book chapters\" data-authors=\"[&quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;]\" data-filter-authors=\"n52d702f9a9\" data-filter-type=\"n59e2644fb4\"><div class=\"year\">2015<span class=\"research-kind\">Book chapters<\/span><\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.4324\/9781315737676\">How do individual investors trade?<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/wp.lancs.ac.uk\/sandranolte\/\">Sandra Nolte<\/a><\/p><p class=\"publication\">In Ingmar Nolte, Mark Salmon and Chris Adcock (eds.), <em>High Frequency Trading and Limit Order Book Dynamics<\/em>, Routledge, pp. 189\u2013215. Reprint of the 2012 article in The European Journal of Finance.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1538760\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@incollection{Nolte\/Nolte2015,<br \/>\n  author = {Nolte, Ingmar and Nolte, Sandra},<br \/>\n  editor = {Nolte, Ingmar and Salmon, Mark and Adcock, Chris},<br \/>\n  title = {How do individual investors trade?},<br \/>\n  booktitle = {High Frequency Trading and Limit Order Book Dynamics},<br \/>\n  pages = {189-215},<br \/>\n  year = {2015},<br \/>\n  publisher = {Routledge},<br \/>\n  url = {https:\/\/doi.org\/10.4324\/9781315737676},<br \/>\n  note = {Reprint of the 2012 article in The European Journal of Finance},<br \/>\n  edition = {1},<br \/>\n  chapter = {10},<br \/>\n  isbn = {978-1-138-82938-1}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-38\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv37\" data-record=\"work-cv37\" data-year=\"2015\" data-kind=\"Book chapters\" data-authors=\"[&quot;Ingmar Nolte&quot;]\" data-filter-authors=\"\" data-filter-type=\"n59e2644fb4\"><div class=\"year\">2015<span class=\"research-kind\">Book chapters<\/span><\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.4324\/9781315737676\">A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><strong>Ingmar Nolte<\/strong><\/p><p class=\"publication\">In Ingmar Nolte, Mark Salmon and Chris Adcock (eds.), <em>High Frequency Trading and Limit Order Book Dynamics<\/em>, Routledge, pp. 153\u2013187. Reprint of the 2012 article in The European Journal of Finance.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=911528\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@incollection{Nolte2015,<br \/>\n  author = {Nolte, Ingmar},<br \/>\n  editor = {Nolte, Ingmar and Salmon, Mark and Adcock, Chris},<br \/>\n  title = {A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach},<br \/>\n  booktitle = {High Frequency Trading and Limit Order Book Dynamics},<br \/>\n  pages = {153-187},<br \/>\n  year = {2015},<br \/>\n  publisher = {Routledge},<br \/>\n  url = {https:\/\/doi.org\/10.4324\/9781315737676},<br \/>\n  note = {Reprint of the 2012 article in The European Journal of Finance},<br \/>\n  edition = {1},<br \/>\n  chapter = {9},<br \/>\n  isbn = {978-1-138-82938-1}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-39\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv38\" data-record=\"work-cv38\" data-year=\"2008\" data-kind=\"Book chapters\" data-authors=\"[&quot;Katarzyna Bien&quot;, &quot;Ingmar Nolte&quot;, &quot;Winfried Pohlmeier&quot;]\" data-filter-authors=\"n809d7c7d06 nb521e8b571\" data-filter-type=\"n59e2644fb4\"><div class=\"year\">2008<span class=\"research-kind\">Book chapters<\/span><\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1007\/978-3-7908-1992-2_3\">A multivariate integer count hurdle model: theory and application to exchange rate dynamics<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/cris.sgh.waw.pl\/info\/author\/SGHaf61f0f1bcb84e019f39e662b3cdac0a\/\">Katarzyna Bien<\/a>, <strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/www.winfriedpohlmeier.com\/\">Winfried Pohlmeier<\/a><\/p><p class=\"publication\">In Luc Bauwens, Winfried Pohlmeier and David Veredas (eds.), <em>High Frequency Financial Econometrics<\/em>, Physica-Verlag HD, pp. 31\u201348.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=959238\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@incollection{Bien\/Nolte\/Pohlmeier2008,<br \/>\n  author = {Bien, Katarzyna and Nolte, Ingmar and Pohlmeier, Winfried},<br \/>\n  editor = {Bauwens, Luc and Pohlmeier, Winfried and Veredas, David},<br \/>\n  title = {A multivariate integer count hurdle model: theory and application to exchange rate dynamics},<br \/>\n  booktitle = {High Frequency Financial Econometrics},<br \/>\n  pages = {31-48},<br \/>\n  year = {2008},<br \/>\n  publisher = {Physica-Verlag HD},<br \/>\n  doi = {10.1007\/978-3-7908-1992-2_3},<br \/>\n  url = {https:\/\/doi.org\/10.1007\/978-3-7908-1992-2_3},<br \/>\n  series = {Studies in Empirical Economics}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-40\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv39\" data-record=\"work-cv39\" data-year=\"2008\" data-kind=\"Book chapters\" data-authors=\"[&quot;Roman Liesenfeld&quot;, &quot;Ingmar Nolte&quot;, &quot;Winfried Pohlmeier&quot;]\" data-filter-authors=\"nfc7e2ec30c nb521e8b571\" data-filter-type=\"n59e2644fb4\"><div class=\"year\">2008<span class=\"research-kind\">Book chapters<\/span><\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/doi.org\/10.1007\/978-3-7908-1992-2_8\">Modelling financial transaction price movements: a dynamic integer count data model<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/wisostat.uni-koeln.de\/de\/team\/professoren-und-postdocs\/roman-liesenfeld\">Roman Liesenfeld<\/a>, <strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/www.winfriedpohlmeier.com\/\">Winfried Pohlmeier<\/a><\/p><p class=\"publication\">In Luc Bauwens, Winfried Pohlmeier and David Veredas (eds.), <em>High Frequency Financial Econometrics<\/em>, Physica-Verlag HD, pp. 167\u2013197.<\/p><div class=\"paper-actions references\"><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@incollection{Liesenfeld\/Nolte\/Pohlmeier2008,<br \/>\n  author = {Liesenfeld, Roman and Nolte, Ingmar and Pohlmeier, Winfried},<br \/>\n  editor = {Bauwens, Luc and Pohlmeier, Winfried and Veredas, David},<br \/>\n  title = {Modelling financial transaction price movements: a dynamic integer count data model},<br \/>\n  booktitle = {High Frequency Financial Econometrics},<br \/>\n  pages = {167-197},<br \/>\n  year = {2008},<br \/>\n  publisher = {Physica-Verlag HD},<br \/>\n  doi = {10.1007\/978-3-7908-1992-2_8},<br \/>\n  url = {https:\/\/doi.org\/10.1007\/978-3-7908-1992-2_8},<br \/>\n  series = {Studies in Empirical Economics}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<!-- #tablepress-nolte-publications from cache --><p class=\"native-filter-empty\" role=\"status\">No papers match these filters. Try a different selection or clear the filters.<\/p><\/div>\r\n<\/div>\r\n","protected":false},"excerpt":{"rendered":"<p>Research Publications Download BibTeX No papers match these filters. Try a different selection or clear the filters.<\/p>\n","protected":false},"author":1184,"featured_media":315,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"nolte-live-wide","meta":{"advanced_seo_description":"Publications by Prof Dr Ingmar Nolte: journal articles, books, chapters and editorials, with publisher links, working papers and BibTeX references.","jetpack_seo_html_title":"Publications \u2013 Prof Dr Ingmar Nolte","jetpack_seo_noindex":false,"jetpack_seo_schema_type":"","footnotes":""},"class_list":["post-41","page","type-page","status-publish","has-post-thumbnail","hentry"],"jetpack_sharing_enabled":true,"_links":{"self":[{"href":"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/pages\/41","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/users\/1184"}],"replies":[{"embeddable":true,"href":"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/comments?post=41"}],"version-history":[{"count":121,"href":"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/pages\/41\/revisions"}],"predecessor-version":[{"id":19056,"href":"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/pages\/41\/revisions\/19056"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/media\/315"}],"wp:attachment":[{"href":"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/media?parent=41"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}