Professor Sandra Nolte

Personal Chair

Research Overview

Personal Webpage: www.lancs.ac.uk/staff/noltes/

My research interests lie in the areas of empirical finance, financial econometrics and factor investing. My work in financial econometrics focuses on point process-based volatility modelling using high-frequency data. The work is important because volatility modelling is critical for asset pricing, portfolio management, risk management and other areas in economics and finance. My research on factor investing produces superior portfolio allocations with lower transaction costs. It also helps construct superior portfolio insurance strategies, which is particularly important in crisis periods and near-zero interest rates regimes. I have also introduced methods in other disciplines including Human Resources and Political Science.

5th Frontiers of Factor Investing Conference
Participation in conference -Mixed Audience

Organizer, 4th Frontiers of Factor Investing Conference
Participation in conference -Mixed Audience

Workshop in Financial Econometrics
Participation in workshop, seminar, course

Konstanz-Lancaster-Manchester-Warwick Joint PhD Workshop on Quantitative Finance and Econometrics
Participation in workshop, seminar, course

3rd Workshop on Macroeconomic and Financial Time Series Analysis
Participation in conference -Mixed Audience

Mutual Funds, Hedge Funds and Factor Investing Conference
Participation in conference -Mixed Audience

Finance-Econometrics Workshops at CREATES
Participation in workshop, seminar, course

Financial Econometrics Conference: Market Micro-structure
Participation in conference -Mixed Audience

Limit Order Books and Derivative Markets
Participation in conference -Mixed Audience

Faculty Seminar
Invited talk

Faculty Seminar
Invited talk

CFE Conference
Participation in conference -Mixed Audience

Financial Econometrics and Empirical Asset Pricing
Participation in workshop, seminar, course

Econometric conference in honour of François Laisney
Participation in conference -Mixed Audience

68th European Meeting of the Econometric Society
Participation in conference -Mixed Audience

1st International Association for Applied Econometrics Conference
Participation in conference -Mixed Audience

2013 British Accounting and Finance Association Annual Conference
Participation in conference -Mixed Audience

European Financial Management Association, 2012 Annual Meetings
Participation in conference -Mixed Audience

30th CIRET Conference
Participation in conference -Mixed Audience

25th Annual Congress of the European Economic Association
Participation in conference -Mixed Audience

Qualitative Survey Data: New Methods and Application Conference
Participation in conference -Mixed Audience

Individual Decision Making, High Frequency Econometrics and Limit Order Book Dynamics, Warwick Business School
Participation in workshop, seminar, course

Complexity and Agent-Based Models in Economics and Finance workshop
Participation in workshop, seminar, course

CQA 2023 Best Paper Award - Power Sorting
Prize (including medals and awards)

Moncef Asmar

Moncef Asmar

PhD student, Associate Lecturer

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Investments and Asset Pricing

Marco Cinquetti

Marco Cinquetti

PhD student

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Financial Econometrics and Financial Markets, Investments and Asset Pricing

Reka Lantos

Reka Lantos

Doctoral Research Associate, PhD student

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Financial Econometrics and Financial Markets

Bruno Moreira

Bruno Moreira

Doctoral Research Associate, PhD student

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Financial Econometrics and Financial Markets, Investments and Asset Pricing

  • Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
  • Financial Econometrics and Financial Markets
  • Investments and Asset Pricing