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Details about Nick Taylor

E-mail:
Homepage:http://www.bristol.ac.uk/efm/people/nick-j-taylor/index.html
Postal address:Office 2.03 15-19 Tyndalls Park Road Clifton Bristol BS8 1TU
Workplace:School of Economics, Finance and Management, University of Bristol, (more information at EDIRC)

Access statistics for papers by Nick Taylor.

Last updated 2020-03-28. Update your information in the RePEc Author Service.

Short-id: pta557


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Working Papers

2018

  1. Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section Downloads
    See also Journal Article in International Review of Financial Analysis (2018)

2013

  1. The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section Downloads
    See also Journal Article in Quantitative Finance (2017)

2012

  1. On the Effects of Private Information on Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads

2004

  1. A New Econometric Model Of Index Arbitrage
    Royal Economic Society Annual Conference 2004, Royal Economic Society Downloads
    See also Journal Article in European Financial Management (2007)

2002

  1. Autoregressive hidden Markov switching\\models of count data
    Royal Economic Society Annual Conference 2002, Royal Economic Society Downloads

1999

  1. A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
  2. SETS, Arbitrage Activity, and Stock Price Dynamics
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Banking & Finance (2000)

1998

  1. A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads View citations (2)

1995

  1. Comparing the Bias and Misspecification in ARFIMA Models
    Economic Research Papers, University of Warwick - Department of Economics Downloads
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1995) Downloads View citations (16)

    See also Journal Article in Journal of Time Series Analysis (1997)

Journal Articles

2019

  1. Forecasting returns in the VIX futures market
    International Journal of Forecasting, 2019, 35, (4), 1193-1210 Downloads

2018

  1. A comparison of static and dynamic portfolio policies
    International Review of Financial Analysis, 2018, 55, (C), 111-127 Downloads
  2. Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach
    International Review of Financial Analysis, 2018, 56, (C), 208-220 Downloads
    See also Working Paper (2018)

2017

  1. Realised variance forecasting under Box-Cox transformations
    International Journal of Forecasting, 2017, 33, (4), 770-785 Downloads View citations (1)
  2. Risk Control: Who Cares?
    European Financial Management, 2017, 23, (1), 153-179 Downloads
  3. The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
    Quantitative Finance, 2017, 17, (7), 1021-1035 Downloads View citations (5)
    See also Working Paper (2013)
  4. Timing strategy performance in the crude oil futures market
    Energy Economics, 2017, 66, (C), 480-492 Downloads

2016

  1. Roll strategy efficiency in commodity futures markets
    Journal of Commodity Markets, 2016, 1, (1), 14-34 Downloads
  2. Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets
    Cliometrica, Journal of Historical Economics and Econometric History, 2016, 10, (1), 5-30 Downloads View citations (3)

2015

  1. Managed portfolio performance and transaction costs
    Applied Economics Letters, 2015, 22, (4), 272-280 Downloads
  2. Realized volatility forecasting in an international context
    Applied Economics Letters, 2015, 22, (6), 503-509 Downloads
  3. The determinants of bank risks: Evidence from the recent financial crisis
    Journal of International Financial Markets, Institutions and Money, 2015, 34, (C), 277-293 Downloads View citations (3)

2014

  1. Economic forecast quality: information timeliness and data vintage effects
    Empirical Economics, 2014, 46, (1), 145-174 Downloads View citations (1)
  2. Order flow and volatility: An empirical investigation
    Journal of Empirical Finance, 2014, 28, (C), 185-201 Downloads View citations (6)
  3. The Economic Value of Volatility Forecasts: A Conditional Approach
    Journal of Financial Econometrics, 2014, 12, (3), 433-478 Downloads View citations (6)
  4. The rise and fall of technical trading rule success
    Journal of Banking & Finance, 2014, 40, (C), 286-302 Downloads View citations (21)

2013

  1. A formula for the economic value of return predictability
    The European Journal of Finance, 2013, 19, (1), 37-53 Downloads
  2. An International Perspective on Risk Management Quality
    European Financial Management, 2013, 19, (5), 935-955 Downloads
  3. ECONOMIC FORECAST QUALITY AND PUBLICATION LAGS
    Manchester School, 2013, 81, (4), 518-549 Downloads

2012

  1. Measuring the economic value of loan advice
    Economics Letters, 2012, 117, (3), 615-618 Downloads View citations (1)
  2. THE ECONOMIC SIGNIFICANCE OF CONDITIONING INFORMATION ON PORTFOLIO EFFICIENCY IN THE PRESENCE OF COSTLY SHORT‐SELLING
    Journal of Financial Research, 2012, 35, (1), 115-135 Downloads View citations (1)
  3. Testing forecasting model versatility
    Economics Letters, 2012, 117, (3), 803-806 Downloads

2011

  1. Estimating private information usage amongst analysts: evidence from UK earnings forecasts
    Journal of Forecasting, 2011, 30, (8), 679-705 Downloads
  2. Forecast accuracy and effort: The case of US inflation rates
    Journal of Forecasting, 2011, 30, (7), 644-665 Downloads View citations (1)
  3. Time-varying price discovery in fragmented markets
    Applied Financial Economics, 2011, 21, (10), 717-734 Downloads View citations (8)

2010

  1. Market and idiosyncratic volatility: high frequency dynamics
    Applied Financial Economics, 2010, 20, (9), 739-751 Downloads View citations (1)
  2. The Determinants of Future U.S. Monetary Policy: High-Frequency Evidence
    Journal of Money, Credit and Banking, 2010, 42, (2-3), 399-420 View citations (11)

2008

  1. Can idiosyncratic volatility help forecast stock market volatility?
    International Journal of Forecasting, 2008, 24, (3), 462-479 Downloads View citations (1)
  2. The predictive value of temporally disaggregated volatility: evidence from index futures markets
    Journal of Forecasting, 2008, 27, (8), 721-742 Downloads

2007

  1. A New Econometric Model of Index Arbitrage
    European Financial Management, 2007, 13, (1), 159-183 Downloads View citations (3)
    See also Working Paper (2004)
  2. A note on the importance of overnight information in risk management models
    Journal of Banking & Finance, 2007, 31, (1), 161-180 Downloads View citations (14)

2004

  1. Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market
    Journal of Futures Markets, 2004, 24, (9), 805-834 Downloads View citations (6)
  2. Trading intensity, volatility, and arbitrage activity
    Journal of Banking & Finance, 2004, 28, (5), 1137-1162 Downloads View citations (12)

2003

  1. Evaluating interval forecasts of high-frequency financial data
    Journal of Applied Econometrics, 2003, 18, (4), 445-456 Downloads View citations (27)

2002

  1. Competition on the London Stock Exchange
    European Financial Management, 2002, 8, (4), 399-419 Downloads View citations (6)
  2. The economic and statistical significance of spread forecasts: Evidence from the London Stock Exchange
    Journal of Banking & Finance, 2002, 26, (4), 795-818 Downloads View citations (3)

2001

  1. Bootstrapping prediction intervals for autoregressive models
    International Journal of Forecasting, 2001, 17, (2), 247-267 Downloads View citations (41)
  2. Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market
    Studies in Nonlinear Dynamics & Econometrics, 2001, 5, (2), 1-22 Downloads View citations (4)
  3. Portfolio Diversification and Excess Comovement in Commodity Prices
    Manchester School, 2001, 69, (4), 351-68 Downloads View citations (4)
  4. Robust Evaluation of Fixed-Event Forecast Rationality
    Journal of Forecasting, 2001, 20, (4), 285-95 View citations (9)
  5. Time Diversification: Empirical Tests
    Journal of Business Finance & Accounting, 2001, 28, (3‐4), 263-302 Downloads
    Also in Journal of Business Finance & Accounting, 2001, 28, (3-4), 263-302 (2001) Downloads View citations (5)

2000

  1. SETS, arbitrage activity, and stock price dynamics
    Journal of Banking & Finance, 2000, 24, (8), 1289-1306 Downloads View citations (24)
    See also Working Paper (1999)
  2. US inflation-indexed bonds in the long run: a hypothetical view
    Applied Financial Economics, 2000, 10, (6), 667-677 Downloads View citations (2)

1998

  1. Precious metals and inflation
    Applied Financial Economics, 1998, 8, (2), 201-210 Downloads View citations (32)

1997

  1. Comparing the bias and misspecification in ARFIMA models
    Journal of Time Series Analysis, 1997, 18, (5), 507-527 Downloads View citations (1)
    See also Working Paper (1995)

1996

  1. A cross-section test of the present value model
    Journal of Empirical Finance, 1996, 2, (4), 295-306 Downloads View citations (8)

1995

  1. Econometric Models of Company Dividends Can Be Used to Identify Underpriced Shares
    The Manchester School of Economic & Social Studies, 1995, 63, 103-11

Chapters

2013

  1. Testing for contagion: the impact of US structured markets on international financial markets
    Chapter 11 in Handbook of Research Methods and Applications in Empirical Finance, 2013, pp 256-284 Downloads View citations (1)
 
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