Professor Sandra Nolte

Personal Chair

Research Overview

Personal Webpage:

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.


  • 01/10/2019 → 30/09/2023
    Research

  • 01/01/2012 → 12/07/2013
    Other

  • 01/01/2009 → 31/12/2009
    Other


Participation in conference -Mixed Audience


Participation in conference -Mixed Audience


Participation in workshop, seminar, course


Participation in workshop, seminar, course


Participation in conference -Mixed Audience


Participation in conference -Mixed Audience


Participation in workshop, seminar, course


Participation in conference -Mixed Audience


Participation in conference -Mixed Audience


Invited talk


Invited talk


Participation in conference -Mixed Audience


Participation in workshop, seminar, course


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


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