{"id":42,"date":"2019-09-11T11:10:29","date_gmt":"2019-09-11T11:10:29","guid":{"rendered":"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/?page_id=42"},"modified":"2026-11-10T16:57:06","modified_gmt":"2026-11-10T16:57:06","slug":"working-papers","status":"publish","type":"page","link":"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/working-papers\/","title":{"rendered":"Working Papers"},"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>Working papers<\/h1><\/header><div class=\"downloads\"><a href=\"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/files\/2026\/11\/Ingmar-Nolte-working-papers-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=\"working-papers\">\n<div class=\"wpcf7 no-js\" id=\"wpcf7-f19020-o1\" lang=\"en-US\" dir=\"ltr\" data-wpcf7-id=\"19020\">\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\/42#wpcf7-f19020-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=\"19020\" \/><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-f19020-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=\"working-papers-year\"><select class=\"wpcf7-form-control wpcf7-select filter-year\" aria-invalid=\"false\" name=\"working-papers-year\"><option value=\"\">All years<\/option><option value=\"2026\">2026<\/option><option value=\"2025\">2025<\/option><option value=\"2024\">2024<\/option><option value=\"2022\">2022<\/option><option value=\"2021\">2021<\/option><option value=\"2020\">2020<\/option><option value=\"2019\">2019<\/option><option value=\"2018\">2018<\/option><option value=\"2017\">2017<\/option><option value=\"2015\">2015<\/option><option value=\"2013\">2013<\/option><option value=\"2011\">2011<\/option><option value=\"2009\">2009<\/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=\"working-papers-author\"><select class=\"wpcf7-form-control wpcf7-select filter-author\" aria-invalid=\"false\" name=\"working-papers-author\"><option value=\"\">All co-authors<\/option><option value=\"Anastasios Kagkadis\">Anastasios Kagkadis<\/option><option value=\"Bruno Moreira\">Bruno Moreira<\/option><option value=\"Carsten Rother\">Carsten Rother<\/option><option value=\"David Happersberger\">David Happersberger<\/option><option value=\"Ekaterina Kazak\">Ekaterina Kazak<\/option><option value=\"Fabian Kr\u00fcger\">Fabian Kr\u00fcger<\/option><option value=\"Grzegorz Pawlina\">Grzegorz Pawlina<\/option><option value=\"Harald Lohre\">Harald Lohre<\/option><option value=\"Jonatan Groba\">Jonatan Groba<\/option><option value=\"Katarzyna Bien\">Katarzyna Bien<\/option><option value=\"Leif Brandes\">Leif Brandes<\/option><option value=\"Lewei He\">Lewei He<\/option><option value=\"Manh Cuong Pham\">Manh Cuong Pham<\/option><option value=\"Marco Cinquetti\">Marco Cinquetti<\/option><option value=\"Mark P. Taylor\">Mark P. Taylor<\/option><option value=\"Marwan Izzeldin\">Marwan Izzeldin<\/option><option value=\"Maximilian Stroh\">Maximilian Stroh<\/option><option value=\"Michalis Vasios\">Michalis Vasios<\/option><option value=\"Nikolaos Vasilas\">Nikolaos Vasilas<\/option><option value=\"Qi Xu\">Qi Xu<\/option><option value=\"Redouane Elkamhi\">Redouane Elkamhi<\/option><option value=\"Reka Lantos\">Reka Lantos<\/option><option value=\"Richard G. Payne\">Richard G. Payne<\/option><option value=\"Rodrigo Hizmeri\">Rodrigo Hizmeri<\/option><option value=\"Sandra Lechner\">Sandra Lechner<\/option><option value=\"Sandra Nolte\">Sandra Nolte<\/option><option value=\"Seok Young Hong\">Seok Young Hong<\/option><option value=\"Shushu Liao\">Shushu Liao<\/option><option value=\"Stephen J. Taylor\">Stephen J. Taylor<\/option><option value=\"Valeri Voev\">Valeri Voev<\/option><option value=\"Winfried Pohlmeier\">Winfried Pohlmeier<\/option><option value=\"Xiaolu Zhao\">Xiaolu Zhao<\/option><option value=\"Yaqiong Yao\">Yaqiong Yao<\/option><option value=\"Yifan Li\">Yifan Li<\/option><\/select><\/span><\/label><br \/>\n<a class=\"native-filter-clear\" href=\"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/working-papers\/\">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-working-papers\" class=\"tablepress tablepress-id-nolte-working-papers 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=\"cv40\" data-record=\"work-cv40\" data-year=\"2026\" data-kind=\"Working papers\" data-authors=\"[&quot;Reka Lantos&quot;, &quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;, &quot;Manh Cuong Pham&quot;]\" data-filter-authors=\"n599fc4492e n52d702f9a9 n985aa6d61c\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2026<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=7620219\">(Near) Real-Time Detection of Rapid Co-Movements with Candlestick Information<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/www.lancaster.ac.uk\/lums\/people\/reka-lantos\">Reka Lantos<\/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.lancaster.ac.uk\/lums\/people\/manh-pham\">Manh Pham<\/a><\/p><p class=\"publication\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=7620219\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Lantos\/Nolte\/Nolte\/Pham2026b,<br \/>\n  author = {Lantos, Reka and Nolte, Ingmar and Nolte, Sandra and Pham, Manh},<br \/>\n  title = {(Near) Real-Time Detection of Rapid Co-Movements with Candlestick Information},<br \/>\n  year = {2026},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  doi = {10.2139\/ssrn.7620219},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=7620219},<br \/>\n  note = {SSRN Working Paper No. 7620219; revised 10 November 2026},<br \/>\n  date = {2026-11-10}<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=\"cv41\" data-record=\"work-cv41\" data-year=\"2026\" data-kind=\"Working papers\" data-authors=\"[&quot;Bruno Moreira&quot;, &quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;]\" data-filter-authors=\"n681e38269d n52d702f9a9\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2026<\/div><div class=\"paper-content\"><h3>The Frequency Term Structure of Factor Premia<\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/www.lancaster.ac.uk\/lums\/people\/bruno-suzano-de-campos-vaz-moreira\">Bruno Moreira<\/a>, <strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/wp.lancs.ac.uk\/sandranolte\/\">Sandra Nolte<\/a><\/p><p class=\"publication\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Moreira\/Nolte\/Nolte2026,<br \/>\n  author = {Moreira, Bruno and Nolte, Ingmar and Nolte, Sandra},<br \/>\n  title = {The Frequency Term Structure of Factor Premia},<br \/>\n  year = {2026},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  note = {Working paper}<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=\"cv43\" data-record=\"work-cv43\" data-year=\"2026\" data-kind=\"Working papers\" data-authors=\"[&quot;Marco Cinquetti&quot;, &quot;Seok Young Hong&quot;, &quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;]\" data-filter-authors=\"n3181f1aa92 nefacb4af3e n52d702f9a9\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2026<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=5502438\">Volatility Forecasting Factors<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/research.lancaster-university.uk\/en\/persons\/marco-cinquetti\/\">Marco Cinquetti<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/sy-hong.com\/\">Seok Young Hong<\/a>, <strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/wp.lancs.ac.uk\/sandranolte\/\">Sandra Nolte<\/a><\/p><p class=\"publication\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=5502438\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Cinquetti\/Hong\/Nolte\/Nolte2026,<br \/>\n  author = {Cinquetti, Marco and Hong, Seok Young and Nolte, Ingmar and Nolte, Sandra},<br \/>\n  title = {Volatility Forecasting Factors},<br \/>\n  year = {2026},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=5502438},<br \/>\n  note = {Working paper}<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=\"cv44\" data-record=\"work-cv44\" data-year=\"2026\" data-kind=\"Working papers\" data-authors=\"[&quot;Ekaterina Kazak&quot;, &quot;Yifan Li&quot;, &quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;]\" data-filter-authors=\"n0e71d70e35 n5d84089f67 n52d702f9a9\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2026<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4011298\">A Linear Weight Estimator for Dynamic Global Minimum Variance Portfolio Allocation<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/sites.google.com\/view\/katyakazak\/welcome\">Ekaterina Kazak<\/a>, <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\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4011298\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Kazak\/Li\/Nolte\/Nolte2024,<br \/>\n  author = {Kazak, Ekaterina and Li, Yifan and Nolte, Ingmar and Nolte, Sandra},<br \/>\n  title = {A Linear Weight Estimator for Dynamic Global Minimum Variance Portfolio Allocation},<br \/>\n  year = {2024},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  url = {https:\/\/wp.lancs.ac.uk\/fofi2024\/files\/2024\/04\/FoFI-2024-133-Yifan-Li.pdf},<br \/>\n  note = {Working paper}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><details class=\"version\"><summary>Closely related version<\/summary><div class=\"citation-body\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4011298\">Realized Weight Regression for Dynamic Realized Global Minimum Variance Portfolio Allocation<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Kazak\/Li\/Nolte\/Nolte2023,<br \/>\n  author = {Kazak, Ekaterina and Li, Yifan and Nolte, Ingmar and Nolte, Sandra},<br \/>\n  title = {Realized Weight Regression for Dynamic Realized Global Minimum Variance Portfolio Allocation},<br \/>\n  year = {2023},<br \/>\n  doi = {10.2139\/ssrn.4011298},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4011298},<br \/>\n  note = {SSRN Working Paper No. 4011298}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/details><a href=\"https:\/\/wp.lancs.ac.uk\/fofi2024\/files\/2024\/04\/FoFI-2024-133-Yifan-Li.pdf\">Manuscript<\/a><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-6\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv46\" data-record=\"work-cv46\" data-year=\"2026\" data-kind=\"Working papers\" data-authors=\"[&quot;Lewei He&quot;, &quot;Harald Lohre&quot;, &quot;Ingmar Nolte&quot;, &quot;Yaqiong Yao&quot;]\" data-filter-authors=\"n1a76ca938d n2d7e159bfd n194a31aa8f\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2026<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4871393\">The Impact of Misleading Corporate Communication on Stock Performance<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/www.lancaster.ac.uk\/lums\/our-departments\/accounting-and-finance\/people\/lewei-he\">Lewei He<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/research.lancaster-university.uk\/en\/persons\/harald-lohre\/\">Harald Lohre<\/a>, <strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/chelseayao.com\/\">Yaqiong Yao<\/a><\/p><p class=\"publication\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4871393\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{He\/Lohre\/Nolte\/Yao2026,<br \/>\n  author = {He, Lewei and Lohre, Harald and Nolte, Ingmar and Yao, Yaqiong},<br \/>\n  title = {The Impact of Misleading Corporate Communication on Stock Performance},<br \/>\n  year = {2026},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4871393},<br \/>\n  note = {Working paper}<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=\"cv42\" data-record=\"work-cv42\" data-year=\"2025\" data-kind=\"Working papers\" data-authors=\"[&quot;Lewei He&quot;, &quot;Harald Lohre&quot;, &quot;Ingmar Nolte&quot;, &quot;Yaqiong Yao&quot;]\" data-filter-authors=\"n1a76ca938d n2d7e159bfd n194a31aa8f\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2025<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=5930876\">The Price of Emissions: Carbon Risk in the European Equity Market<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/www.lancaster.ac.uk\/lums\/our-departments\/accounting-and-finance\/people\/lewei-he\">Lewei He<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/research.lancaster-university.uk\/en\/persons\/harald-lohre\/\">Harald Lohre<\/a>, <strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/chelseayao.com\/\">Yaqiong Yao<\/a><\/p><p class=\"publication\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=5930876\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{He\/Lohre\/Nolte\/Yao2025,<br \/>\n  author = {He, Lewei and Lohre, Harald and Nolte, Ingmar and Yao, Yaqiong},<br \/>\n  title = {The Price of Emissions: Carbon Risk in the European Equity Market},<br \/>\n  year = {2025},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  doi = {10.2139\/ssrn.5930876},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=5930876},<br \/>\n  note = {SSRN Working Paper No. 5930876}<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=\"cv45\" data-record=\"work-cv45\" data-year=\"2024\" data-kind=\"Working papers\" data-authors=\"[&quot;Anastasios Kagkadis&quot;, &quot;Harald Lohre&quot;, &quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;, &quot;Manh Cuong Pham&quot;, &quot;Nikolaos Vasilas&quot;]\" data-filter-authors=\"n3049bfe5e8 n2d7e159bfd n52d702f9a9 n985aa6d61c nbc44a3135b\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2024<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4552208\">Power Sorting<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/sites.google.com\/site\/akagkadis\">Anastasios Kagkadis<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/research.lancaster-university.uk\/en\/persons\/harald-lohre\/\">Harald Lohre<\/a>, <strong>Ingmar Nolte<\/strong>, <a class=\"coauthor-link\" href=\"https:\/\/wp.lancs.ac.uk\/sandranolte\/\">Sandra Nolte<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/www.lancaster.ac.uk\/lums\/people\/manh-pham\">Manh Cuong Pham<\/a> and <a class=\"coauthor-link\" href=\"https:\/\/de.linkedin.com\/in\/niko-vasilas-34a125106\">Nikolaos Vasilas<\/a><\/p><p class=\"publication\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4552208\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Kagkadis\/Lohre\/Nolte\/Nolte\/Pham\/Vasilas2024,<br \/>\n  author = {Kagkadis, Anastasios and Lohre, Harald and Nolte, Ingmar and Nolte, Sandra and Pham, Manh Cuong and Vasilas, Nikolaos},<br \/>\n  title = {Power Sorting},<br \/>\n  year = {2024},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  doi = {10.2139\/ssrn.4552208},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4552208},<br \/>\n  note = {SSRN Working Paper No. 4552208}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-9\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv47\" data-record=\"work-cv47\" data-year=\"2022\" data-kind=\"Working papers\" data-authors=\"[&quot;Yifan Li&quot;, &quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;]\" data-filter-authors=\"n5d84089f67 n52d702f9a9\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2022<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/files\/2022\/09\/MAED_200922.pdf\">The Maximal Range-Return Divergence Statistic<\/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\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/files\/2022\/09\/MAED_200922.pdf\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Li\/Nolte\/Nolte2022,<br \/>\n  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra},<br \/>\n  title = {The Maximal Range-Return Divergence Statistic},<br \/>\n  year = {2022},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  url = {https:\/\/wp.lancs.ac.uk\/ingmarnolte\/files\/2022\/09\/MAED_200922.pdf},<br \/>\n  note = {Working paper}<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=\"cv48\" data-record=\"work-cv48\" data-year=\"2022\" data-kind=\"Working papers\" data-authors=\"[&quot;Ekaterina Kazak&quot;, &quot;Yifan Li&quot;, &quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;]\" data-filter-authors=\"n0e71d70e35 n5d84089f67 n52d702f9a9\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2022<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/www.efmaefm.org\/0efmameetings\/efma%20annual%20meetings\/2022-rome\/papers\/efma%202022_stage-3032_question-full%20paper_id-249.pdf\">Direct Portfolio Weight Estimator: Mitigating Specification Risk with Realized Utility<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/sites.google.com\/view\/katyakazak\/welcome\">Ekaterina Kazak<\/a>, <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\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/www.efmaefm.org\/0efmameetings\/efma%20annual%20meetings\/2022-rome\/papers\/efma%202022_stage-3032_question-full%20paper_id-249.pdf\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Kazak\/Li\/Nolte\/Nolte2022b,<br \/>\n  author = {Kazak, Ekaterina and Li, Yifan and Nolte, Ingmar and Nolte, Sandra},<br \/>\n  title = {Direct Portfolio Weight Estimator: Mitigating Specification Risk with Realized Utility},<br \/>\n  year = {2022},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  url = {https:\/\/www.efmaefm.org\/0efmameetings\/efma%20annual%20meetings\/2022-rome\/papers\/efma%202022_stage-3032_question-full%20paper_id-249.pdf},<br \/>\n  note = {Working paper}<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=\"cv49\" data-record=\"work-cv49\" data-year=\"2021\" data-kind=\"Working papers\" data-authors=\"[&quot;Yifan Li&quot;, &quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;]\" data-filter-authors=\"n5d84089f67 n52d702f9a9\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2021<\/div><div class=\"paper-content\"><h3>Volatility Estimation and Sampling Efficiency: An Intrinsic Time Approach<\/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\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Li\/Nolte\/Nolte2021b,<br \/>\n  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra},<br \/>\n  title = {Volatility Estimation and Sampling Efficiency: An Intrinsic Time Approach},<br \/>\n  year = {2021},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  note = {Working paper}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-12\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv50\" data-record=\"work-cv50\" data-year=\"2021\" data-kind=\"Working papers\" data-authors=\"[&quot;David Happersberger&quot;, &quot;Harald Lohre&quot;, &quot;Ingmar Nolte&quot;, &quot;Maximilian Stroh&quot;]\" data-filter-authors=\"nfe4690af6c n2d7e159bfd n2ac57c50ff\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2021<\/div><div class=\"paper-content\"><h3>Combining expected shortfall and value-at-risk forecasts using machine learning techniques<\/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>, <strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/www.digital-finance-msca.com\/people\/maximilian-stroh\">Maximilian Stroh<\/a><\/p><p class=\"publication\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Happersberger\/Lohre\/Nolte\/Stroh2021,<br \/>\n  author = {Happersberger, David and Lohre, Harald and Nolte, Ingmar and Stroh, Maximilian},<br \/>\n  title = {Combining expected shortfall and value-at-risk forecasts using machine learning techniques},<br \/>\n  year = {2021},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  note = {Working paper}<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=\"cv52\" data-record=\"work-cv52\" data-year=\"2021\" data-kind=\"Working papers\" data-authors=\"[&quot;Rodrigo Hizmeri&quot;, &quot;Marwan Izzeldin&quot;, &quot;Ingmar Nolte&quot;]\" data-filter-authors=\"nc55de29dba nb88748413b\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2021<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3745671\">Bolstering the Modelling and Forecasting of Realized Covariance Matrices using (Directional) Common Jumps<\/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> and <strong>Ingmar Nolte<\/strong><\/p><p class=\"publication\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3745671\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Hizmeri\/Izzeldin\/Nolte2021,<br \/>\n  author = {Hizmeri, Rodrigo and Izzeldin, Marwan and Nolte, Ingmar},<br \/>\n  title = {Bolstering the Modelling and Forecasting of Realized Covariance Matrices using (Directional) Common Jumps},<br \/>\n  year = {2021},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  doi = {10.2139\/ssrn.3745671},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3745671},<br \/>\n  note = {SSRN Working Paper No. 3745671}<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=\"cv51\" data-record=\"work-cv51\" data-year=\"2020\" data-kind=\"Working papers\" data-authors=\"[&quot;David Happersberger&quot;, &quot;Harald Lohre&quot;, &quot;Ingmar Nolte&quot;, &quot;Carsten Rother&quot;]\" data-filter-authors=\"nfe4690af6c n2d7e159bfd n5d2ebae2fa\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2020<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/www.efmaefm.org\/0EFMAMEETINGS\/EFMA%20ANNUAL%20MEETINGS\/2020-Dublin\/papers\/EFMA%202020_stage-1301_question-Full%20Paper_id-515.pdf\">The relevance of high-frequency news analytics for lower-frequency investment 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>, <strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/hfrc.org\/de\/personen\/carsten-rother\">Carsten Rother<\/a><\/p><p class=\"publication\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/www.efmaefm.org\/0EFMAMEETINGS\/EFMA%20ANNUAL%20MEETINGS\/2020-Dublin\/papers\/EFMA%202020_stage-1301_question-Full%20Paper_id-515.pdf\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Happersberger\/Lohre\/Nolte\/Rother2020,<br \/>\n  author = {Happersberger, David and Lohre, Harald and Nolte, Ingmar and Rother, Carsten},<br \/>\n  title = {The relevance of high-frequency news analytics for lower-frequency investment strategies},<br \/>\n  year = {2020},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  url = {https:\/\/www.efmaefm.org\/0EFMAMEETINGS\/EFMA%20ANNUAL%20MEETINGS\/2020-Dublin\/papers\/EFMA%202020_stage-1301_question-Full%20Paper_id-515.pdf},<br \/>\n  note = {Working paper}<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=\"cv53\" data-record=\"work-cv53\" data-year=\"2019\" data-kind=\"Working papers\" data-authors=\"[&quot;Yifan Li&quot;, &quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;]\" data-filter-authors=\"n5d84089f67 n52d702f9a9\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2019<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3123062\">Renewal Based Volatility 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> and <a class=\"coauthor-link\" href=\"https:\/\/wp.lancs.ac.uk\/sandranolte\/\">Sandra Nolte<\/a><\/p><p class=\"publication\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3123062\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Li\/Nolte\/Nolte2019b,<br \/>\n  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra},<br \/>\n  title = {Renewal Based Volatility Estimation},<br \/>\n  year = {2019},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  doi = {10.2139\/ssrn.3123062},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3123062},<br \/>\n  note = {SSRN Working Paper No. 3123062}<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=\"cv54\" data-record=\"work-cv54\" data-year=\"2019\" data-kind=\"Working papers\" data-authors=\"[&quot;Shushu Liao&quot;, &quot;Ingmar Nolte&quot;, &quot;Grzegorz Pawlina&quot;]\" data-filter-authors=\"nde6296209b n22f8459f80\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2019<\/div><div class=\"paper-content\"><h3>Revisiting the Measurement Error in q: An Investigation of the Covariance among Regressors<\/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\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Liao\/Nolte\/Pawlina2019,<br \/>\n  author = {Liao, Shushu and Nolte, Ingmar and Pawlina, Grzegorz},<br \/>\n  title = {Revisiting the Measurement Error in q: An Investigation of the Covariance among Regressors},<br \/>\n  year = {2019},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  note = {Working paper}<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=\"cv55\" data-record=\"work-cv55\" data-year=\"2018\" data-kind=\"Working papers\" data-authors=\"[&quot;Xiaolu Zhao&quot;, &quot;Ingmar Nolte&quot;, &quot;Stephen J. Taylor&quot;]\" data-filter-authors=\"n7f38140084 nd74f0532d9\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2018<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3162514\">High-Frequency Covariance Matrix Estimation Using Price Durations<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/www.nottingham.ac.uk\/business\/people\/lizvz.phtml\">Xiaolu Zhao<\/a>, <strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/www.lancaster.ac.uk\/staff\/afasjt\/\">Stephen J. Taylor<\/a><\/p><p class=\"publication\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3162514\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Zhao\/Nolte\/Taylor2018,<br \/>\n  author = {Zhao, Xiaolu and Nolte, Ingmar and Taylor, Stephen J.},<br \/>\n  title = {High-Frequency Covariance Matrix Estimation Using Price Durations},<br \/>\n  year = {2018},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  doi = {10.2139\/ssrn.3162514},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3162514},<br \/>\n  note = {SSRN Working Paper No. 3162514}<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=\"cv57\" data-record=\"work-cv57\" data-year=\"2017\" data-kind=\"Working papers\" data-authors=\"[&quot;Yifan Li&quot;, &quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;]\" data-filter-authors=\"n5d84089f67 n52d702f9a9\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2017<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2665639\">High-Frequency Volatility Estimation and the Relative Importance of Market Microstructure Variables<\/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\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2665639\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Li\/Nolte\/Nolte2017,<br \/>\n  author = {Li, Yifan and Nolte, Ingmar and Nolte, Sandra},<br \/>\n  title = {High-Frequency Volatility Estimation and the Relative Importance of Market Microstructure Variables},<br \/>\n  year = {2017},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  doi = {10.2139\/ssrn.2665639},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2665639},<br \/>\n  note = {SSRN Working Paper No. 2665639}<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=\"cv58\" data-record=\"work-cv58\" data-year=\"2017\" data-kind=\"Working papers\" data-authors=\"[&quot;Ingmar Nolte&quot;, &quot;Michalis Vasios&quot;, &quot;Valeri Voev&quot;, &quot;Qi Xu&quot;]\" data-filter-authors=\"ne0338b1d46 nd49132019d n274acb538e\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2017<\/div><div class=\"paper-content\"><h3>A Least Squares Regression Realised Covariation Estimation under MMS Noise and Non-Synchronous Trading<\/h3><div class=\"paper-meta\"><p class=\"authors\"><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\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Nolte\/Vasios\/Voev\/Xu2017,<br \/>\n  author = {Nolte, Ingmar and Vasios, Michalis and Voev, Valeri and Xu, Qi},<br \/>\n  title = {A Least Squares Regression Realised Covariation Estimation under MMS Noise and Non-Synchronous Trading},<br \/>\n  year = {2017},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  note = {Working paper}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><details class=\"version\"><summary>Related version<\/summary><div class=\"citation-body\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2205033\">A Least Squares Regression Realized Covariation Estimation<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Nolte\/Vasios\/Voev\/Xu2019,<br \/>\n  author = {Nolte, Ingmar and Vasios, Michalis and Voev, Valeri and Xu, Qi},<br \/>\n  title = {A Least Squares Regression Realized Covariation Estimation},<br \/>\n  year = {2019},<br \/>\n  doi = {10.2139\/ssrn.2205033},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2205033},<br \/>\n  note = {SSRN Working Paper No. 2205033}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/details><a href=\"http:\/\/wp.lancs.ac.uk\/ingmarnolte\/files\/2019\/09\/NolteVasiosVoevXu2017-OnlineAppendix.pdf\">(Web-Appendix)<\/a><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-20\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv59\" data-record=\"work-cv59\" data-year=\"2017\" data-kind=\"Working papers\" data-authors=\"[&quot;Redouane Elkamhi&quot;, &quot;Jonatan Groba&quot;, &quot;Ingmar Nolte&quot;]\" data-filter-authors=\"n5aa1ef3090 n8728b7e809\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2017<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/www.efmaefm.org\/0EFMAMEETINGS\/EFMA%20ANNUAL%20MEETINGS\/2017-Athens\/papers\/EFMA2017_0258_fullpaper.pdf\">All Things both Great and Small: Transaction Cost Persistence in Corporate Bonds<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/www.rotman.utoronto.ca\/the-rotman-experience\/our-community\/people\/elkamhi-redouane\/\">Redouane Elkamhi<\/a>, <a class=\"coauthor-link\" href=\"https:\/\/www.groba.es\/home\">Jonatan Groba<\/a> and <strong>Ingmar Nolte<\/strong><\/p><p class=\"publication\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/www.efmaefm.org\/0EFMAMEETINGS\/EFMA%20ANNUAL%20MEETINGS\/2017-Athens\/papers\/EFMA2017_0258_fullpaper.pdf\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Elkamhi\/Groba\/Nolte2017,<br \/>\n  author = {Elkamhi, Redouane and Groba, Jonatan and Nolte, Ingmar},<br \/>\n  title = {All Things both Great and Small: Transaction Cost Persistence in Corporate Bonds},<br \/>\n  year = {2017},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  url = {https:\/\/www.efmaefm.org\/0EFMAMEETINGS\/EFMA%20ANNUAL%20MEETINGS\/2017-Athens\/papers\/EFMA2017_0258_fullpaper.pdf},<br \/>\n  note = {Working paper}<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=\"cv60\" data-record=\"work-cv60\" data-year=\"2015\" data-kind=\"Working papers\" data-authors=\"[&quot;Ingmar Nolte&quot;, &quot;Mark P. Taylor&quot;, &quot;Qi Xu&quot;]\" data-filter-authors=\"n20c3eddfcf n274acb538e\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2015<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2686288\">Dissecting Volatility Risks in Currency Markets<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><strong>Ingmar Nolte<\/strong>, <a class=\"coauthor-link\" href=\"https:\/\/olin.washu.edu\/faculty\/mark-taylor\">Mark P. Taylor<\/a> and <a class=\"coauthor-link\" href=\"https:\/\/person.zju.edu.cn\/en\/qixu\">Qi Xu<\/a><\/p><p class=\"publication\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2686288\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Nolte\/Taylor\/Xu2015,<br \/>\n  author = {Nolte, Ingmar and Taylor, Mark P. and Xu, Qi},<br \/>\n  title = {Dissecting Volatility Risks in Currency Markets},<br \/>\n  year = {2015},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  doi = {10.2139\/ssrn.2686288},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2686288},<br \/>\n  note = {SSRN Working Paper No. 2686288}<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=\"cv61\" data-record=\"work-cv61\" data-year=\"2015\" data-kind=\"Working papers\" data-authors=\"[&quot;Ingmar Nolte&quot;, &quot;Qi Xu&quot;]\" data-filter-authors=\"n274acb538e\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2015<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2406899\">Uncovering the Benefit of High-Frequency Data in Portfolio Allocation<\/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\">Working Paper, Lancaster University Management School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2406899\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Nolte\/Xu2015c,<br \/>\n  author = {Nolte, Ingmar and Xu, Qi},<br \/>\n  title = {Uncovering the Benefit of High-Frequency Data in Portfolio Allocation},<br \/>\n  year = {2015},<br \/>\n  institution = {Lancaster University Management School},<br \/>\n  doi = {10.2139\/ssrn.2406899},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2406899},<br \/>\n  note = {SSRN Working Paper No. 2406899}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-23\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv62\" data-record=\"work-cv62\" data-year=\"2013\" data-kind=\"Working papers\" data-authors=\"[&quot;Ingmar Nolte&quot;, &quot;Richard G. Payne&quot;, &quot;Michalis Vasios&quot;]\" data-filter-authors=\"n21fb134a62 ne0338b1d46\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2013<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1820324\">Profiting from Mimicking Strategies in Non-Anonymous Markets<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><strong>Ingmar Nolte<\/strong>, <a class=\"coauthor-link\" href=\"https:\/\/www.bayes.citystgeorges.ac.uk\/faculties-and-research\/experts\/richard-payne\">Richard G. Payne<\/a> and <a class=\"coauthor-link\" href=\"https:\/\/sites.google.com\/site\/michalisvasios\">Michalis Vasios<\/a><\/p><p class=\"publication\">Working Paper, Warwick Business School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1820324\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Nolte\/Payne\/Vasios2013,<br \/>\n  author = {Nolte, Ingmar and Payne, Richard G. and Vasios, Michalis},<br \/>\n  title = {Profiting from Mimicking Strategies in Non-Anonymous Markets},<br \/>\n  year = {2013},<br \/>\n  institution = {Warwick Business School},<br \/>\n  doi = {10.2139\/ssrn.1820324},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1820324},<br \/>\n  note = {SSRN Working Paper No. 1820324}<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=\"cv63\" data-record=\"work-cv63\" data-year=\"2013\" data-kind=\"Working papers\" data-authors=\"[&quot;Fabian Kr\u00fcger&quot;, &quot;Ingmar Nolte&quot;]\" data-filter-authors=\"n676bb32f3a\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2013<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1743707\">An MCMC Approach to Multivariate Density Forecasting: An Application to Liquidity<\/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\">Working Paper, Warwick Business School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1743707\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Kruger\/Nolte2013,<br \/>\n  author = {Kr\u00fcger, Fabian and Nolte, Ingmar},<br \/>\n  title = {An MCMC Approach to Multivariate Density Forecasting: An Application to Liquidity},<br \/>\n  year = {2013},<br \/>\n  institution = {Warwick Business School},<br \/>\n  doi = {10.2139\/ssrn.1743707},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1743707},<br \/>\n  note = {SSRN Working Paper No. 1743707}<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=\"cv64\" data-record=\"work-cv64\" data-year=\"2011\" data-kind=\"Working papers\" data-authors=\"[&quot;Leif Brandes&quot;, &quot;Ingmar Nolte&quot;, &quot;Sandra Nolte&quot;]\" data-filter-authors=\"n36ecd8efaa n52d702f9a9\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2011<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1921358\">Where Do the Joneses Go on Vacation? Social Distance and the Influence of Online Reviews on Product Sales<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/www.unilu.ch\/en\/faculties\/overview\/professorships\/prof-dr-leif-brandes\/\">Leif Brandes<\/a>, <strong>Ingmar Nolte<\/strong> and <a class=\"coauthor-link\" href=\"https:\/\/wp.lancs.ac.uk\/sandranolte\/\">Sandra Nolte<\/a><\/p><p class=\"publication\">Working Paper, Warwick Business School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1921358\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Brandes\/Nolte\/Nolte2011,<br \/>\n  author = {Brandes, Leif and Nolte, Ingmar and Nolte, Sandra},<br \/>\n  title = {Where Do the Joneses Go on Vacation? Social Distance and the Influence of Online Reviews on Product Sales},<br \/>\n  year = {2011},<br \/>\n  institution = {Warwick Business School},<br \/>\n  doi = {10.2139\/ssrn.1921358},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1921358},<br \/>\n  note = {SSRN Working Paper No. 1921358}<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=\"cv65\" data-record=\"work-cv65\" data-year=\"2009\" data-kind=\"Working papers\" data-authors=\"[&quot;Sandra Lechner&quot;, &quot;Ingmar Nolte&quot;]\" data-filter-authors=\"n27aba6116a\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2009<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=908255\">Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform<\/a><\/h3><div class=\"paper-meta\"><p class=\"authors\"><a class=\"coauthor-link\" href=\"https:\/\/wp.lancs.ac.uk\/sandranolte\/\">Sandra Lechner<\/a> and <strong>Ingmar Nolte<\/strong><\/p><p class=\"publication\">FERC Working Paper 09-01, Warwick Business School.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=908255\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Lechner\/Nolte2009,<br \/>\n  author = {Lechner, Sandra and Nolte, Ingmar},<br \/>\n  title = {Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform},<br \/>\n  number = {09-01},<br \/>\n  year = {2009},<br \/>\n  institution = {Warwick Business School},<br \/>\n  doi = {10.2139\/ssrn.908255},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=908255},<br \/>\n  note = {SSRN Working Paper No. 908255},<br \/>\n  series = {FERC Working Paper}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<tr class=\"row-27\">\n\t<td class=\"column-1\"><article class=\"paper\" id=\"cv66\" data-record=\"work-cv66\" data-year=\"2007\" data-kind=\"Working papers\" data-authors=\"[&quot;Ingmar Nolte&quot;, &quot;Valeri Voev&quot;]\" data-filter-authors=\"nd49132019d\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2007<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1003201\">Estimating High-Frequency Based (Co-) Variances: A Unified 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\">CoFE Working Paper 07\/07, University of Konstanz.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1003201\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Nolte\/Voev2007a,<br \/>\n  author = {Nolte, Ingmar and Voev, Valeri},<br \/>\n  title = {Estimating High-Frequency Based (Co-) Variances: A Unified Approach},<br \/>\n  number = {07\/07},<br \/>\n  year = {2007},<br \/>\n  institution = {University of Konstanz},<br \/>\n  doi = {10.2139\/ssrn.1003201},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1003201},<br \/>\n  note = {SSRN Working Paper No. 1003201},<br \/>\n  series = {CoFE Working Paper}<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=\"cv68\" data-record=\"work-cv68\" data-year=\"2006\" data-kind=\"Working papers\" data-authors=\"[&quot;Katarzyna Bien&quot;, &quot;Ingmar Nolte&quot;, &quot;Winfried Pohlmeier&quot;]\" data-filter-authors=\"n809d7c7d06 nb521e8b571\" data-filter-type=\"n66ef9ede50\"><div class=\"year\">2006<\/div><div class=\"paper-content\"><h3><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=915348\">Estimating Liquidity Using Information on the Multivariate Trading Process<\/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\">CoFE Working Paper 06\/03, University of Konstanz.<\/p><div class=\"paper-actions references\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=915348\">Working paper<\/a><details class=\"citation\"><summary>BibTeX<\/summary><div class=\"citation-body\"><pre><code>@unpublished{Bien\/Nolte\/Pohlmeier2006,<br \/>\n  author = {Bien, Katarzyna and Nolte, Ingmar and Pohlmeier, Winfried},<br \/>\n  title = {Estimating Liquidity Using Information on the Multivariate Trading Process},<br \/>\n  number = {06\/03},<br \/>\n  year = {2006},<br \/>\n  institution = {University of Konstanz},<br \/>\n  doi = {10.2139\/ssrn.915348},<br \/>\n  url = {https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=915348},<br \/>\n  note = {SSRN Working Paper No. 915348},<br \/>\n  series = {CoFE Working Paper}<br \/>\n}<br \/>\n<\/code><\/pre><\/div><\/details><\/div><\/div><\/div><\/article><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<!-- #tablepress-nolte-working-papers 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 Working papers 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":"Working papers by Prof Dr Ingmar Nolte and co-authors, with available manuscripts, research links and downloadable BibTeX references.","jetpack_seo_html_title":"Working Papers \u2013 Prof Dr Ingmar Nolte","jetpack_seo_noindex":false,"jetpack_seo_schema_type":"","footnotes":""},"class_list":["post-42","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\/42","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=42"}],"version-history":[{"count":78,"href":"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/pages\/42\/revisions"}],"predecessor-version":[{"id":19073,"href":"https:\/\/wp.lancs.ac.uk\/ingmarnolte\/wp-json\/wp\/v2\/pages\/42\/revisions\/19073"}],"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=42"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}