Ingmar Nolte : Citation Profile

Lancaster University

10

H index

10

i10 index

247

Citations

RESEARCH PRODUCTION:

28

Articles

11

Papers

2

Chapters

RESEARCH ACTIVITY:

   19 years (2006 - 2025). See details.
   Cites by year: 13
   Journals where Ingmar Nolte has often published
   Relations with other researchers
   Recent citing documents: 34.    Total self citations: 10 (3.89 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pno71
   Updated: 2026-03-28    RAS profile: 2026-02-23    
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Relations with other researchers

Works with:

Andersen, Torben (3)

Nolte (Lechner), Sandra (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Ingmar Nolte.

Is cited by:

Claveria, Oscar (17)

Voev, Valeri (10)

Halbleib, Roxana (6)

Hautsch, Nikolaus (6)

Galati, Gabriele (4)

Sorić, Petar (4)

Rime, Dagfinn (4)

Moessner, Richhild (4)

Casarin, Roberto (3)

van Rooij, Maarten (3)

Fengler, Matthias (3)

Cites to:

Bollerslev, Tim (27)

Andersen, Torben (26)

Shephard, Neil (25)

Lunde, Asger (21)

Diebold, Francis (20)

Hansen, Peter (18)

Patton, Andrew (11)

Reis, Ricardo (10)

Ait-Sahalia, Yacine (10)

Corsi, Fulvio (10)

Engle, Robert (9)

Main data

Where Ingmar Nolte has published?

Journals with more than one article published# docs
Journal of Banking & Finance4
The European Journal of Finance3
Journal of Time Series Analysis3
Journal of Financial Econometrics3
Journal of Business & Economic Statistics2
International Journal of Forecasting2
Journal of Econometrics2

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 (2025 and 2024)

YearTitle of citing document
2024First-order integer-valued autoregressive processes with Generalized Katz innovations. (2024). Casarin, Roberto ; Carallo, Giulia ; Bassetti, Federico. In: Papers. RePEc:arx:papers:2202.02029.

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2024Prediction intervals for economic fixed-event forecasts. (2024). Plett, Hendrik ; Kruger, Fabian. In: Papers. RePEc:arx:papers:2210.13562.

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2025Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2023). Polivka, Jeannine ; Dimitriadis, Timo ; Streicher, Sina ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2212.11833.

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2024High-Frequency Volatility Estimation with Fast Multiple Change Points Detection. (2024). Polak, Pawel ; Balabhadra, Greeshma ; Ainasse, El Mehdi. In: Papers. RePEc:arx:papers:2303.10550.

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2024Optimal VPPI strategy under Omega ratio with stochastic benchmark. (2024). Liang, Zongxia ; Zhang, Litian ; He, Lin ; Guan, Guohui. In: Papers. RePEc:arx:papers:2403.13388.

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2024Crisis Alpha: A High-Performance Trading Algorithm Tested in Market Downturns. (2024). Babazadeh, Reza ; Gharanchaei, Maysam Khodayari. In: Papers. RePEc:arx:papers:2409.14510.

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2025Beyond Returns: A Candlestick-Based Approach to Spot Covariance Estimation. (2025). Simsek, Yasin. In: Papers. RePEc:arx:papers:2510.12911.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2449.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Janeway Institute Working Papers. RePEc:cam:camjip:2423.

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2024The Transmission of Monetary Policy to the Cost of Hedging. (2024). Koeniger, Winfried ; Fengler, Matthias ; Minger, Stephan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11556.

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2024Capitalised development costs and future cash flows: The effect of CEO overconfidence and board gender diversity. (2024). Tsalavoutas, Ioannis ; Tsoligkas, Fanis ; Slack, Richard ; Almaghrabi, Khadija S. In: The British Accounting Review. RePEc:eee:bracre:v:56:y:2024:i:6:s0890838924001902.

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2024The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing. (2024). Hung, Jui-Cheng ; Yang, Jimmy J ; Liu, Hung-Chun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001852.

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2024Semiparametric Averaging of Nonlinear Marginal Logistic Regressions and Forecasting for Time Series Classification. (2024). Lu, Zudi ; Peng, Rong. In: Econometrics and Statistics. RePEc:eee:ecosta:v:31:y:2024:i:c:p:19-37.

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2025The demand for hedging of oil producers: A tale of risk and regret. (2025). Six, Pierre ; Ouzan, Samuel. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:1:p:330-343.

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2024Estimation and inference in low frequency factor model regressions with overlapping observations. (2024). Dossani, Asad. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000719.

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2025Cross-quantile risk assessment: The interplay of crude oil, artificial intelligence, clean tech, and other markets. (2025). Shafiullah, Muhammad ; Gubareva, Mariya ; Teplova, Tamara. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007941.

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2024Does 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.

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2025On the efficiency contributions of analyst recommendations to financial markets. (2025). Lee, Suzanne S ; Choi, Youngmin. In: Journal of Financial Markets. RePEc:eee:finmar:v:75:y:2025:i:c:s1386418125000254.

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2024Openness 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.

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2025News and intraday retail investor order flow in foreign exchange markets. (2025). Kaourma, Theofilia ; Milidonis, Andreas ; Nishiotis, George ; Panayides, Marios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:101:y:2025:i:c:s1042443125000368.

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2025Downside belief disagreements and financial instability: Evidence from risk factor disclosures in U.S. financial institutions’ 10-K filings. (2025). Zhu, Xiaoqian ; Li, Jianping. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443125000083.

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2024Generalized Poisson difference autoregressive processes. (2024). Casarin, Roberto ; Carallo, Giulia ; Robert, Christian P. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1359-1390.

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2024Panic herding: Analysts COVID-19 experiences and the interpretation of earnings news. (2024). Vacca, Matteo. In: Journal of Economics and Business. RePEc:eee:jebusi:v:132:y:2024:i:c:s0148619524000481.

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2024Forecasting global stock market volatilities: A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set. (2024). Wang, Gang-Jin ; Zeng, Zhi-Jian ; Li, Zhao-Chen ; Zhu, You ; Gong, Jue ; Xie, Chi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:673-711.

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2025Spot Volatility Measurement Using a Change-Point Duration Model in the High-Frequency Market. (2025). Wang, Yan ; Xing, Haipeng ; Li, Zhicheng. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:4:p:186-:d:1764124.

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2025Measuring and Forecasting Stock Market Volatilities with High-Frequency Data. (2025). Vo, Minh. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10674-6.

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2025Assumptions, Disagreement, and Overprecision: Theory and Evidence. (2025). Little, Andrew T ; Moore, Don A ; Augenblick, Ned ; Backus, Matthew. In: OSF Preprints. RePEc:osf:osfxxx:mnv4k_v1.

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2024Literature review: options and its applications. (2024). Khan, Mohammad Shahfaraz ; Azad, Imran ; Jayaraman, Gopu ; Pathak, Amit Kumar ; Dar, Amir Ahmad. In: SN Business & Economics. RePEc:spr:snbeco:v:4:y:2024:i:8:d:10.1007_s43546-024-00694-7.

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2025Variable selection in sparse multivariate GLARMA models: application to germination control by environment. (2025). Sansonnet, Laure ; Ouadah, Sarah ; Lvy-Leduc, Cline ; Gomtsyan, Marina ; Rajjou, Loc ; Bailly, Christophe. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:34:y:2025:i:2:d:10.1007_s10260-025-00786-0.

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2025The Transmission of Monetary Policy to the Cost of Hedging. (2025). Koeniger, Winfried ; Fengler, Matthias ; Minger, Stephan. In: Economics Working Paper Series. RePEc:usg:econwp:2025:01.

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2025Belief Shocks and Implications of Expectations About Growth‐at‐Risk. (2025). Pfarrhofer, Michael ; Boeck, Maximilian. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:40:y:2025:i:3:p:341-348.

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2025Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?. (2025). Zhang, Xueer ; Chiu, Chienliang ; Hung, Juicheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:4:p:326-342.

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2025The determination of the price of capital goods: A differential game approach. (2025). Guerrazzi, Marco ; Candido, Giuseppe. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:46:y:2025:i:1:p:222-234.

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2024The transmission of monetary policy to the cost of hedging. (2024). Koeniger, Winfried ; Fengler, Matthias ; Minger, Stephan. In: CFS Working Paper Series. RePEc:zbw:cfswop:308803.

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Works by Ingmar Nolte:

YearTitleTypeCited
2008Estimating High-Frequency Based (Co-) Variances: A Unified Approach In: CREATES Research Papers.
[Full Text][Citation analysis]		paper10
2007Estimating 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
2009Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise In: CREATES Research Papers.
[Full Text][Citation analysis]		paper8
2011Least 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: 8		article
2012Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise.(2012) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 8		article
2020Estimating portfolio risk for tail risk protection strategies In: European Financial Management.
[Full Text][Citation analysis]		article11
2011Improved Inference in Regression with Overlapping Observations In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]		article24
2023Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2025Special Issue in Honour of Stephen J. Taylor: Guest Editors Introduction In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2025Decoupling Interday and Intraday Volatility Dynamics With Price Durations In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2024Can Capital Adjustment Costs Explain the Decline in Investment–Cash Flow Sensitivity? In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article1
2021High-frequency volatility modeling: A Markov-Switching Autoregressive Conditional Intensity model In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
2024Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2025Realized candlestick wicks In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2015The economic value of volatility timing with realized jumps In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article18
2007Using forecasts of forecasters to forecast In: International Journal of Forecasting.
[Full Text][Citation analysis]		article24
2019What determines forecasters’ forecasting errors? In: International Journal of Forecasting.
[Full Text][Citation analysis]		article2
2022Weighted Least Squares Realized Covariation Estimation In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2011Cross hedging under multiplicative basis risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article17
2014Sell-side analysts’ career concerns during banking stresses In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article6
2016Disagreement versus uncertainty: Evidence from distribution forecasts In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article36
2011Disagreement, Uncertainty and the True Predictive Density In: Working Paper Series of the Department of Economics, University of Konstanz.
[Full Text][Citation analysis]		paper0
2021A Descriptive Study of High-Frequency Trade and Quote Option Data* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article5
2023Volatility Estimation and Forecasts Based on Price Durations* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article7
2008Modeling a Multivariate Transaction Process In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article2
2024Factor Timing with Portfolio Characteristics In: The Review of Asset Pricing Studies.
[Full Text][Citation analysis]		article0
2015Profiting from Mimicking Strategies in Non-Anonymous Markets In: MPRA Paper.
[Full Text][Citation analysis]		paper1
2006Modelling financial transaction price movements: a dynamic integer count data model In: Empirical Economics.
[Full Text][Citation analysis]		article29
2008Modelling 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: 29		chapter
2008A multivariate integer count hurdle model: theory and application to exchange rate dynamics In: Studies in Empirical Economics.
[Citation analysis]		chapter2
2006A 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
2012A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach In: The European Journal of Finance.
[Full Text][Citation analysis]		article10
2012How do individual investors trade? In: The European Journal of Finance.
[Full Text][Citation analysis]		article7
2016The information content of retail investors order flow In: The European Journal of Finance.
[Full Text][Citation analysis]		article4
2022A generalized heterogeneous autoregressive model using market information In: Quantitative Finance.
[Full Text][Citation analysis]		article2
2011An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics In: Journal of Applied Econometrics.
[Citation analysis]		article14
2007An 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: 14		paper
2006Estimating liquidity using information on the multivariate trading process In: Working Papers.
[Full Text][Citation analysis]		paper0
2006Estimating liquidity using information on the multivariate trading process.(2006) In: CoFE Discussion Papers.
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This paper has nother version. Agregated cites: 0		paper
2007Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market In: CoFE Discussion Papers.
[Full Text][Citation analysis]		paper0
2007Customer trading in the foreign exchange market empirical evidence from an internet trading platform In: CoFE Discussion Papers.
[Full Text][Citation analysis]		paper4

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