Nick Taylor
Names
Identifer
Contact
Affiliations
-
University of Bristol
/ School of Economics
Research profile
author of:
- On the Effects of Private Information on Volatility (RePEc:aah:create:2012-08)
by Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor - Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets (RePEc:afc:cliome:v:10:y:2016:i:1:p:5-30)
by Adrian R. Bell & Chris Brooks & Nick Taylor - Comparing the Bias and Misspecification in ARFIMA Models (RePEc:ags:uwarer:268691)
by Smith, Jeremy & Taylor, Nick & Yadav, Sanjay - Local versus foreign analysts' forecast accuracy: does herding matter? (RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1143-1188)
by Young‐Soo Choi & Svetlana Mira & Nicholas Taylor - A New Econometric Model of Index Arbitrage (RePEc:bla:eufman:v:13:y:2007:i:1:p:159-183)
by Nicholas Taylor - An International Perspective on Risk Management Quality (RePEc:bla:eufman:v:19:y:2013:i:5:p:935-955)
by Svetlana Mira & Nicholas Taylor - Risk Control: Who Cares? (RePEc:bla:eufman:v:23:y:2017:i:1:p:153-179)
by Nick Taylor - Competition on the London Stock Exchange (RePEc:bla:eufman:v:8:y:2002:i:4:p:399-419)
by Nicholas Taylor - Time Diversification: Empirical Tests (RePEc:bla:jbfnac:v:28:y:2001:i:3-4:p:263-302)
by Norman Strong & Nicholas Taylor - The Economic Significance Of Conditioning Information On Portfolio Efficiency In The Presence Of Costly Short‐Selling (RePEc:bla:jfnres:v:35:y:2012:i:1:p:115-135)
by Nicholas Taylor - Comparing the bias and misspecification in ARFIMA models (RePEc:bla:jtsera:v:18:y:1997:i:5:p:507-527)
by Jeremy Smith & Nick Taylor & Sanjay Yadav - Econometric Models of Company Dividends Can Be Used to Identify Underpriced Shares (RePEc:bla:manch2:v:63:y:1995:i:0:p:103-11)
by Bulkley, George & Taylor, Nick - Portfolio diversification and excess comovement in commodity prices (RePEc:bla:manchs:v:69:y:2001:i:4:p:351-368)
by Ian Garrett & Nick Taylor - Economic Forecast Quality And Publication Lags (RePEc:bla:manchs:v:81:y:2013:i:4:p:518-549)
by Nicholas Taylor - Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market (RePEc:bpj:sndecm:v:5:y:2001:i:2:n:3)
by Garrett Ian & Taylor Nicholas - Unknown item RePEc:bri:accfin:15/1 (paper)
- Unknown item RePEc:bri:accfin:16/4 (paper)
- Unknown item RePEc:bri:accfin:17/7 (paper)
- The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data (RePEc:cdf:wpaper:2013/7)
by Taylor, Nick & Xu, Yongdeng - Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach (RePEc:cdf:wpaper:2018/6)
by Xu, Yongdeng & Taylor, Nick & Lu, Wenna - Autoregressive hidden Markov switching\\models of count data (RePEc:ecj:ac2002:174)
by Taylor, Nicholas - A New Econometric Model Of Index Arbitrage (RePEc:ecj:ac2004:69)
by Nicholas Taylor - Measuring the economic value of loan advice (RePEc:eee:ecolet:v:117:y:2012:i:3:p:615-618)
by Taylor, Nicholas - Testing forecasting model versatility (RePEc:eee:ecolet:v:117:y:2012:i:3:p:803-806)
by Taylor, Nicholas - A cross-section test of the present value model (RePEc:eee:empfin:v:2:y:1996:i:4:p:295-306)
by Bulkley, George & Taylor, Nick - Order flow and volatility: An empirical investigation (RePEc:eee:empfin:v:28:y:2014:i:c:p:185-201)
by Opschoor, Anne & Taylor, Nick & van der Wel, Michel & van Dijk, Dick - Timing strategy performance in the crude oil futures market (RePEc:eee:eneeco:v:66:y:2017:i:c:p:480-492)
by Taylor, Nick - A comparison of static and dynamic portfolio policies (RePEc:eee:finana:v:55:y:2018:i:c:p:111-127)
by Wang, Jianshen & Taylor, Nick - Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach (RePEc:eee:finana:v:56:y:2018:i:c:p:208-220)
by Xu, Yongdeng & Taylor, Nick & Lu, Wenna - The determinants of bank risks: Evidence from the recent financial crisis (RePEc:eee:intfin:v:34:y:2015:i:c:p:277-293)
by Leung, W.S. & Taylor, N. & Evans, K.P. - Bootstrapping prediction intervals for autoregressive models (RePEc:eee:intfor:v:17:y:2001:i:2:p:247-267)
by Clements, Michael P. & Taylor, Nick - Can idiosyncratic volatility help forecast stock market volatility? (RePEc:eee:intfor:v:24:y:2008:i:3:p:462-479)
by Taylor, Nicholas - Realised variance forecasting under Box-Cox transformations (RePEc:eee:intfor:v:33:y:2017:i:4:p:770-785)
by Taylor, Nick - Forecasting returns in the VIX futures market (RePEc:eee:intfor:v:35:y:2019:i:4:p:1193-1210)
by Taylor, Nick - SETS, arbitrage activity, and stock price dynamics (RePEc:eee:jbfina:v:24:y:2000:i:8:p:1289-1306)
by Taylor, Nick & Dijk, Dick van & Franses, Philip Hans & Lucas, Andre - The economic and statistical significance of spread forecasts: Evidence from the London Stock Exchange (RePEc:eee:jbfina:v:26:y:2002:i:4:p:795-818)
by Taylor, Nicholas - Trading intensity, volatility, and arbitrage activity (RePEc:eee:jbfina:v:28:y:2004:i:5:p:1137-1162)
by Taylor, Nicholas - A note on the importance of overnight information in risk management models (RePEc:eee:jbfina:v:31:y:2007:i:1:p:161-180)
by Taylor, Nicholas - The rise and fall of technical trading rule success (RePEc:eee:jbfina:v:40:y:2014:i:c:p:286-302)
by Taylor, Nick - Roll strategy efficiency in commodity futures markets (RePEc:eee:jocoma:v:1:y:2016:i:1:p:14-34)
by Taylor, Nick - Testing for contagion: the impact of US structured markets on international financial markets (RePEc:elg:eechap:14545_11)
by Woon Sau Leung & Nicholas Taylor - Non-Standard Errors (RePEc:grz:wpsses:2021-08)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-DÃaz & Menachem Abudy & To - Non-Standard Errors (RePEc:hhs:lunewp:2021_017)
by Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena - Non-Standard Errors (RePEc:inn:wpaper:2021-31)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & Tobi - Evaluating interval forecasts of high-frequency financial data (RePEc:jae:japmet:v:18:y:2003:i:4:p:445-456)
by Michael P. Clements & Nick Taylor - Robust Evaluation of Fixed-Event Forecast Rationality (RePEc:jof:jforec:v:20:y:2001:i:4:p:285-95)
by Clements, Michael P & Taylor, Nick - The predictive value of temporally disaggregated volatility: evidence from index futures markets (RePEc:jof:jforec:v:27:y:2008:i:8:p:721-742)
by Nicholas Taylor - Forecast accuracy and effort: The case of US inflation rates (RePEc:jof:jforec:v:30:y:2011:i:7:p:644-665)
by Nicholas Taylor - Estimating private information usage amongst analysts: evidence from UK earnings forecasts (RePEc:jof:jforec:v:30:y:2011:i:8:p:679-705)
by Svetlana Mira & Nicholas Taylor - The Determinants of Future U.S. Monetary Policy: High-Frequency Evidence (RePEc:mcb:jmoncb:v:42:y:2010:i:2-3:p:399-420)
by Nicholas Taylor - The Economic Value of Volatility Forecasts: A Conditional Approach (RePEc:oup:jfinec:v:12:y:2014:i:3:p:433-478.)
by Nicholas Taylor - The Determinants of Volatility Timing Performance (RePEc:oup:jfinec:v:21:y:2023:i:4:p:1228-1257.)
by Nick Taylor - Economic forecast quality: information timeliness and data vintage effects (RePEc:spr:empeco:v:46:y:2014:i:1:p:145-174)
by Nicholas Taylor - Managed portfolio performance and transaction costs (RePEc:taf:apeclt:v:22:y:2015:i:4:p:272-280)
by Nicholas Taylor - Realized volatility forecasting in an international context (RePEc:taf:apeclt:v:22:y:2015:i:6:p:503-509)
by Nicholas Taylor - Unknown item RePEc:taf:apfiec:v:10:y:2000:i:6:p:667-677 (article)
- Unknown item RePEc:taf:apfiec:v:20:y:2010:i:9:p:739-751 (article)
- Unknown item RePEc:taf:apfiec:v:21:y:2011:i:10:p:717-734 (article)
- Unknown item RePEc:taf:apfiec:v:8:y:1998:i:2:p:201-210 (article)
- A formula for the economic value of return predictability (RePEc:taf:eurjfi:v:19:y:2013:i:1:p:37-53)
by Nicholas Taylor - Hawkes processes in finance: market structure and impact (RePEc:taf:eurjfi:v:28:y:2022:i:7:p:621-626)
by Jing Chen & Nick Taylor & Steve Yang & Qian Han - The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data (RePEc:taf:quantf:v:17:y:2017:i:7:p:1021-1035)
by N. Taylor & Y. Xu - SETS, Arbitrage Activity, and Stock Price Dynamics (RePEc:tin:wpaper:19990003)
by Nick Taylor & Dick van Dijk & Philip Hans Franses & André Lucas - A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests (RePEc:tin:wpaper:19990012)
by H. Peter Boswijk & Andre Lucas & Nick Taylor - On the Effects of Private Information on Volatility (RePEc:tin:wpaper:20110077)
by Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor - A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests (RePEc:vua:wpaper:1998-62)
by Boswijk, H. Peter & Lucas, André & Taylor, Nick - Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market (RePEc:wly:jfutmk:v:24:y:2004:i:9:p:805-834)
by Nicholas Taylor - The Determinants of Future U.S. Monetary Policy: High‐Frequency Evidence (RePEc:wly:jmoncb:v:42:y:2010:i:2-3:p:399-420)
by Nicholas Taylor - Comparing the Bias and Misspecification in Arfima Models (RePEc:wrk:warwec:442)
by Smith, Jeremy & Taylor, Nick & Yadav, Sanjay