Professor Ingmar Nolte
Professor of Finance & EconometricsResearch Overview
Personal Webpage: www.lancs.ac.uk/staff/nolte/
My research interests lie in the areas of financial econometrics, asset pricing, market microstructure and forecasting. My current research focuses on i) the construction of volatility estimators, jump and drift burst detection using high-frequency data and point process models; ii) factor investing with the aim to improve the information content of factors; and iii) the market microstructure of option markets and the estimation of risk-neutral densities using high-frequency option data. I am working on developing dynamic micro-econometric techniques (discrete choice, count data, point process models) in time-series and panel setups for the analysis of complex finance relationships and applying these models to gain a better understanding of disaggregated trading processes, which involves understanding the behaviour of individual market participants such as traders, brokers and analysts. I am also interested in the analysis of survey data and maro-forecasting with both qualitative and continuous data. My research in this area involves the analysis of forecasting combination techniques and multivariate density forecasting.
PhD Supervision Interests
All areas in financial econometrics, market microstructure and forecasting.
Selected Publications
Parametric Risk-Neutral Density Estimation via Finite Lognormal-Weibull Mixtures
Li, Y., Nolte, I., Pham, M. 13/04/2024 In: Journal of Econometrics.
Journal article
Factor Timing with Portfolio Characteristics
Kagkadis, A., Nolte, I., Nolte, S., Vasilas, N. 31/03/2024 In: Review of Asset Pricing Studies. 14, 1, p. 84-118. 35 p.
Journal article
Can Capital Adjustment Costs Explain the Decline in Investment-Cash Flow Sensitivity?
Liao, S., Nolte, I., Pawlina, G. 11/04/2023 In: Journal of Financial and Quantitative Analysis. 48 p.
Journal article
Transaction Cost-Optimized Equity Factors Around the World
Basic, F., Lohre, H., Martin Utrera, A., Nolte, I., Nolte, S. 1/04/2024 In: Journal of Portfolio Management. 50, 6, p. 40-73.
Journal article
Volatility Estimation and Forecasts Based on Price Durations
Hong, S.Y., Nolte, I., Taylor, S., Zhao, V. 19/01/2023 In: Journal of Financial Econometrics. 21, 1, p. 106-144. 39 p.
Journal article
Weighted Least Squares Realized Covariation Estimation
Li, Y., Nolte, I., Vasios, M., Voev, V., Xu, Q. 30/04/2022 In: Journal of Banking and Finance. 137, 21 p.
Journal article
High-frequency volatility modeling: A Markov-Switching Autoregressive Conditional Intensity model
Li, Y., Nolte, I., Nolte, S. 31/03/2021 In: Journal of Economic Dynamics and Control. 124, 20 p.
Journal article
A descriptive study of high-frequency trade and quote option data
Andersen, T., Archakov, I., Grund, L., Hautsch, N., Li, Y., Nasekin, S., Nolte, I., Pham, M., Taylor, S., Todorov, V. 31/01/2021 In: Journal of Financial Econometrics. 19, 1, p. 128-177. 50 p.
Journal article
The economic value of volatility timing with realized jumps
Nolte, I., Xu, Q. 12/2015 In: Journal of Empirical Finance. 34, p. 45-59. 15 p.
Journal article
Least Squares inference on integrated volatility and the relationship between efficient Prices and noise
Nolte, I., Voev, V. 2012 In: Journal of Business and Economic Statistics. 30, 1, p. 94-108. 15 p.
Journal article
Trading dynamics in the foreign exchange market: a latent factor panel intensity approach
Nolte, I., Voev, V. 2011 In: Journal of Financial Econometrics. 9, 4, p. 685-716. 32 p.
Journal article
All Publications
Bilateral Austria: Order Book Foundations of Price Risks and Liquidity: An Integrated Equity and Derivatives Markets Perspective
21/04/2017 → 30/04/2021
Research
Lancaster-Manchester Joint PhD Workshop on Quantitative Finance and Financial Econometrics
Participation in conference -Mixed Audience
Financial Econometrics Conference to mark Stephen Taylor's retirement
Participation in conference -Mixed Audience
Organizer, 3rd Frontiers of Factor Investing Conference
Participation in conference -Mixed Audience
Organizer, Volatility, Jumps and Bursts Workshop
Participation in conference -Mixed Audience
Organizer, Conference on Intrinsic Time in Finance
Participation in conference -Mixed Audience
15th International Conference on Computational and Financial Econometrics
Participation in conference -Mixed Audience
6th KoLaMaFr - Workshop on Financial Econometrics
Participation in conference -Mixed Audience
Organizer, Econometrics of Option Markets Workshop
Participation in conference -Mixed Audience
Organizer, 2nd Frontiers of Factor Investing Virtual Conference
Participation in conference -Mixed Audience
14th International Conference on Computational and Financial Econometrics
Participation in conference -Mixed Audience
13th International Conference on Computational and Financial Econometrics
Participation in conference -Mixed Audience
Organizer, Mutual Funds, Hedge Funds and Factor Investing
Participation in conference -Mixed Audience
FMA - 2019 Consortium on Factor Investing
Participation in conference -Mixed Audience
Organizer, Financial Econometrics Conference: Market Microstructure, Limit Order Books and Derivative Markets
Participation in conference -Mixed Audience
Organizer, Conference on Frontiers of Factor Investing
Participation in conference -Mixed Audience
Organizer, 1st Lancaster-Warwick (LaWa) Workshop on Financial Econometrics & Market Microstructure
Participation in workshop, seminar, course
Organizer, 3rd Konstanz-Lancaster (KoLa) Workshop on Finance and Econometrics
Participation in workshop, seminar, course
School of Management, Cranfield University
Visiting an external academic institution
Organizer, Financial Econometrics and Empirical Asset Pricing Conference
Participation in conference -Mixed Audience
Seminar, Bank of England
Public Lecture/ Debate/Seminar
ESRC (External organisation)
Membership of committee
The Leverhulme Trust (External organisation)
Membership of committee
Warwick Business School
Visiting an external academic institution
ESRC - North West Social Science Doctoral Training Partnership (External organisation)
Member of an organisation
ESRC Peer College Review (External organisation)
Membership of committee
ESRC (External organisation)
Membership of committee
Organizer, ESRC NWDTC Accounting and Finance Pathway Workshop on Job Market and Employment Skills
Participation in workshop, seminar, course
Manchester Business School
Visiting an external academic institution
Organizer, 1st Konstanz-Lancaster (KoLa) Workshop on Finance and Econometrics
Participation in workshop, seminar, course
Organizer, IFABS 2013 5th International Conference
Participation in conference -Mixed Audience
ESRC - North West Doctoral Training Centre (External organisation)
Member of an organisation
Journal of Banking and Finance (Journal)
Editorial activity
Organizer, Frontiers of Finance 2012
Participation in conference -Mixed Audience
Portuguese Foundation for Science and Technology (FCT) (External organisation)
Membership of committee
Organizer, Recent Advances in Finance - Workshop Week
Participation in workshop, seminar, course
European Journal of Finance (Journal)
Editorial activity
Organizer, Individual Decision Making, High Frequency Econometrics and Limit Order Book Dynamics
Participation in conference -Mixed Audience
EFM 2020 Top Download Award
Prize (including medals and awards)
Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
- Asset Pricing and Financial Econometrics
- Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy