Ingmar Nolte
Lancaster UniversityIngmar Nolte is Professor of Finance & Econometrics at Lancaster University. His research interests lie in the areas of financial econometrics, asset pricing, market microstructure and forecasting. His 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.