Professor Ingmar Nolte
Professor of Finance & EconometricsResearch Overview
Personal Webpage:
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
Li, Y., Nolte, I., Pham, M. 30/04/2024 In: Journal of Econometrics. 241, 2
Journal article
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
Liao, S., Nolte, I., Pawlina, G. 31/08/2024 In: Journal of Financial and Quantitative Analysis. 59, 5, p. 2399-2424. 25 p.
Journal article
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
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
Li, Y., Nolte, I., Vasios, M., Voev, V., Xu, Q. 30/04/2022 In: Journal of Banking and Finance. 137, 21 p.
Journal article
Li, Y., Nolte, I., Nolte, S. 31/03/2021 In: Journal of Economic Dynamics and Control. 124, 20 p.
Journal article
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
Nolte, I., Xu, Q. 12/2015 In: Journal of Empirical Finance. 34, p. 45-59. 15 p.
Journal article
Nolte, I., Voev, V. 2012 In: Journal of Business and Economic Statistics. 30, 1, p. 94-108. 15 p.
Journal article
Nolte, I., Voev, V. 2011 In: Journal of Financial Econometrics. 9, 4, p. 685-716. 32 p.
Journal article
All Publications
21/04/2017 → 30/04/2021
Research
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in workshop, seminar, course
Participation in workshop, seminar, course
Visiting an external academic institution
Participation in conference -Mixed Audience
Public Lecture/ Debate/Seminar
Membership of committee
Membership of committee
Visiting an external academic institution
Member of an organisation
Membership of committee
Membership of committee
Participation in workshop, seminar, course
Visiting an external academic institution
Participation in workshop, seminar, course
Participation in conference -Mixed Audience
Editorial activity
Member of an organisation
Participation in conference -Mixed Audience
Membership of committee
Participation in workshop, seminar, course
Editorial activity
Participation in conference -Mixed Audience
Prize (including medals and awards)
Prize (including medals and awards)
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