10
H index
10
i10 index
223
Citations
Ingmar Nolte : Citation Profile
Lancaster University | RESEARCH PRODUCTION: 20 Articles 11 Papers 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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17 years (2006 - 2023). 
Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Ingmar Nolte. | Is cited by:
| Cites to:
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Main data
Where Ingmar Nolte has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Banking & Finance | 4 |
| The European Journal of Finance | 3 |
| Journal of Financial Econometrics | 3 |
| International Journal of Forecasting | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| CoFE Discussion Papers / University of Konstanz, Center of Finance and Econometrics (CoFE) | 6 |
Recent works citing Ingmar Nolte (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | Prediction intervals for economic fixed-event forecasts. (2022). Plett, Hendrik ; Kruger, Fabian. In: Papers. RePEc:arx:papers:2210.13562. Full description at Econpapers || Download paper |
| 2023 | Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2022). Streicher, Sina ; Polivka, Jeannine ; Halbleib, Roxana ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2212.11833. Full description at Econpapers || Download paper |
| 2024 | High-Frequency Volatility Estimation with Fast Multiple Change Points Detection. (2023). Polak, Pawel ; Ainasse, El Mehdi ; Balabhadra, Greeshma. In: Papers. RePEc:arx:papers:2303.10550. Full description at Econpapers || Download paper |
| 2024 | Optimal VPPI strategy under Omega ratio with stochastic benchmark. (2024). Zhang, Litian ; Liang, Zongxia ; He, Lin ; Guan, Guohui. In: Papers. RePEc:arx:papers:2403.13388. Full description at Econpapers || Download paper |
| 2023 | The term structure of inflation forecasts disagreement and monetary policy transmission. (2023). Zhu, Sonya ; Xia, Dora ; Barbera, Alessandro. In: BIS Working Papers. RePEc:bis:biswps:1114. Full description at Econpapers || Download paper |
| 2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper |
| 2023 | Transformed regression-based long-horizon predictability tests. (2023). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622001294. Full description at Econpapers || Download paper |
| 2023 | Forecasting global stock market volatilities in an uncertain world. (2023). Zhang, Ting ; Wang, Gang-Jin ; Zeng, Zhi-Jian ; Xie, Chi ; Li, Zhao-Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004136. Full description at Econpapers || Download paper |
| 2024 | Does greenwashing affect Companys stock Price? Evidence from Europe. (2024). Pausini, Lorenzo ; Etro, Leonardo L ; Teti, Emanuele. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001273. Full description at Econpapers || Download paper |
| 2023 | Stock illiquidity and option returns. (2023). Uhrig-Homburg, Marliese ; Korn, Olaf ; Kanne, Stefan. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000556. Full description at Econpapers || Download paper |
| 2024 | Openness to international collaboration and tie strength in enhancing knowledge creation. (2024). Tu, Jing. In: Journal of Informetrics. RePEc:eee:infome:v:18:y:2024:i:1:s1751157723001074. Full description at Econpapers || Download paper |
| 2023 | Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289. Full description at Econpapers || Download paper |
| 2023 | On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model. (2023). Ivanov, Roman V. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:6:p:111-:d:1167116. Full description at Econpapers || Download paper |
| 2023 | Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2023). Tomanova, Petra ; Hol, Vladimir. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-021-10210-w. Full description at Econpapers || Download paper |
| 2023 | Labour market uncertainty after the irruption of COVID-19. (2023). Claveria, Oscar ; Sori, Petar. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:4:d:10.1007_s00181-022-02304-7. Full description at Econpapers || Download paper |
| 2023 | Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets. (2023). Vo, Xuan Vinh ; Ko, Hee-Un ; Gubareva, Mariya ; Mensi, Walid ; Kang, Sang Hoon. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00498-y. Full description at Econpapers || Download paper |
| 2023 | A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007. Full description at Econpapers || Download paper |
| 2023 | Forecasting realized volatility of Bitcoin: The informative role of price duration. (2023). Tabche, Ibrahim ; Slim, Skander ; Karathanasopoulos, Andreas ; Osman, Mohamed ; Koubaa, Yosra. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1909-1929. Full description at Econpapers || Download paper |
Works by Ingmar Nolte:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2008 | Estimating High-Frequency Based (Co-) Variances: A Unified Approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 10 |
| 2007 | Estimating high-frequency based (co-) variances: A unified approach.(2007) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2009 | Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
| 2011 | Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2020 | Estimating portfolio risk for tail risk protection strategies In: European Financial Management. [Full Text][Citation analysis] | article | 10 |
| 2011 | Improved Inference in Regression with Overlapping Observations In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 23 |
| 2021 | High-frequency volatility modeling: A Markov-Switching Autoregressive Conditional Intensity model In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
| 2015 | The economic value of volatility timing with realized jumps In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 16 |
| 2007 | Using forecasts of forecasters to forecast In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 24 |
| 2019 | What determines forecasters’ forecasting errors? In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
| 2022 | Weighted Least Squares Realized Covariation Estimation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
| 2011 | Cross hedging under multiplicative basis risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 15 |
| 2014 | Sell-side analysts’ career concerns during banking stresses In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 4 |
| 2016 | Disagreement versus uncertainty: Evidence from distribution forecasts In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 32 |
| 2011 | Disagreement, Uncertainty and the True Predictive Density In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] | paper | 0 |
| 2021 | A Descriptive Study of High-Frequency Trade and Quote Option Data* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2023 | Volatility Estimation and Forecasts Based on Price Durations* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2008 | Modeling a Multivariate Transaction Process In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2015 | Profiting from Mimicking Strategies in Non-Anonymous Markets In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2006 | Modelling financial transaction price movements: a dynamic integer count data model In: Empirical Economics. [Full Text][Citation analysis] | article | 28 |
| 2008 | Modelling financial transaction price movements: a dynamic integer count data model.(2008) In: Studies in Empirical Economics. [Citation analysis] This paper has nother version. Agregated cites: 28 | chapter | |
| 2008 | A multivariate integer count hurdle model: theory and application to exchange rate dynamics In: Studies in Empirical Economics. [Citation analysis] | chapter | 2 |
| 2006 | A Multivariate Integer Count Hurdle model: Theory and application to exchange rate dynamics.(2006) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2012 | A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach In: The European Journal of Finance. [Full Text][Citation analysis] | article | 10 |
| 2012 | How do individual investors trade? In: The European Journal of Finance. [Full Text][Citation analysis] | article | 6 |
| 2016 | The information content of retail investors order flow In: The European Journal of Finance. [Full Text][Citation analysis] | article | 3 |
| 2022 | A generalized heterogeneous autoregressive model using market information In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
| 2011 | An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics In: Journal of Applied Econometrics. [Citation analysis] | article | 13 |
| 2007 | An inflated Multivariate Integer Count Hurdle model: An application to bid and ask quote dynamics.(2007) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2006 | Estimating liquidity using information on the multivariate trading process In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Estimating liquidity using information on the multivariate trading process.(2006) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2007 | Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market In: CoFE Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Customer trading in the foreign exchange market empirical evidence from an internet trading platform In: CoFE Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
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