Details about Nick Taylor

Access statistics for papers by Nick Taylor.

Last updated 2024-04-06. Update your information in the RePEc Author Service.

Short-id: pta557

Working Papers

2021

1. Non-Standard Errors
   Working Papers, Lund University, Department of Economics
   Also in Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)

2018

2. 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 View citations (10)
   See also Journal Article Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach, International Review of Financial Analysis, Elsevier (2018) View citations (7) (2018)

2013

3. 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
   See also Journal Article The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data, Quantitative Finance, Taylor & Francis Journals (2017) View citations (11) (2017)

2012

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

2004

5. A New Econometric Model Of Index Arbitrage
   Royal Economic Society Annual Conference 2004, Royal Economic Society
   See also Journal Article A New Econometric Model of Index Arbitrage, European Financial Management, European Financial Management Association (2007) View citations (5) (2007)

2002

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

1999

7. A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
8. SETS, Arbitrage Activity, and Stock Price Dynamics
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
   See also Journal Article SETS, arbitrage activity, and stock price dynamics, Journal of Banking & Finance, Elsevier (2000) View citations (34) (2000)

1998

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

1995

10. Comparing the Bias and Misspecification in ARFIMA Models
    Economic Research Papers, University of Warwick - Department of Economics
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1995) View citations (16)
    See also Journal Article Comparing the bias and misspecification in ARFIMA models, Journal of Time Series Analysis, Wiley Blackwell (1997) View citations (18) (1997)

Journal Articles

2023

1. The Determinants of Volatility Timing Performance
   Journal of Financial Econometrics, 2023, 21, (4), 1228-1257

2022

2. Hawkes processes in finance: market structure and impact
   The European Journal of Finance, 2022, 28, (7), 621-626 View citations (1)
3. Local versus foreign analysts' forecast accuracy: does herding matter?
   Accounting and Finance, 2022, 62, (S1), 1143-1188 View citations (2)

2019

4. Forecasting returns in the VIX futures market
   International Journal of Forecasting, 2019, 35, (4), 1193-1210 View citations (8)

2018

5. A comparison of static and dynamic portfolio policies
   International Review of Financial Analysis, 2018, 55, (C), 111-127
6. 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 View citations (7)
   See also Working Paper Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach, Cardiff Economics Working Papers (2018) View citations (10) (2018)

2017

7. Realised variance forecasting under Box-Cox transformations
   International Journal of Forecasting, 2017, 33, (4), 770-785 View citations (11)
8. Risk Control: Who Cares?
   European Financial Management, 2017, 23, (1), 153-179 View citations (1)
9. The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
   Quantitative Finance, 2017, 17, (7), 1021-1035 View citations (11)
   See also Working Paper The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data, Cardiff Economics Working Papers (2013) (2013)
10. Timing strategy performance in the crude oil futures market
    Energy Economics, 2017, 66, (C), 480-492

2016

11. Roll strategy efficiency in commodity futures markets
    Journal of Commodity Markets, 2016, 1, (1), 14-34
12. 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 View citations (4)

2015

13. Managed portfolio performance and transaction costs
    Applied Economics Letters, 2015, 22, (4), 272-280
14. Realized volatility forecasting in an international context
    Applied Economics Letters, 2015, 22, (6), 503-509 View citations (3)
15. The determinants of bank risks: Evidence from the recent financial crisis
    Journal of International Financial Markets, Institutions and Money, 2015, 34, (C), 277-293 View citations (15)

2014

16. Economic forecast quality: information timeliness and data vintage effects
    Empirical Economics, 2014, 46, (1), 145-174 View citations (2)
17. Order flow and volatility: An empirical investigation
    Journal of Empirical Finance, 2014, 28, (C), 185-201 View citations (14)
18. The Economic Value of Volatility Forecasts: A Conditional Approach
    Journal of Financial Econometrics, 2014, 12, (3), 433-478 View citations (8)
19. The rise and fall of technical trading rule success
    Journal of Banking & Finance, 2014, 40, (C), 286-302 View citations (41)

2013

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

2012

23. Measuring the economic value of loan advice
    Economics Letters, 2012, 117, (3), 615-618 View citations (1)
24. 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 View citations (2)
25. Testing forecasting model versatility
    Economics Letters, 2012, 117, (3), 803-806

2011

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

2010

29. Market and idiosyncratic volatility: high frequency dynamics
    Applied Financial Economics, 2010, 20, (9), 739-751 View citations (2)
30. 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 (12)
    Also in Journal of Money, Credit and Banking, 2010, 42, (2‐3), 399-420 (2010)

2008

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

2007

33. A New Econometric Model of Index Arbitrage
    European Financial Management, 2007, 13, (1), 159-183 View citations (5)
    See also Working Paper A New Econometric Model Of Index Arbitrage, Royal Economic Society Annual Conference 2004 (2004) (2004)
34. A note on the importance of overnight information in risk management models
    Journal of Banking & Finance, 2007, 31, (1), 161-180 View citations (27)

2004

35. Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market
    Journal of Futures Markets, 2004, 24, (9), 805-834 View citations (8)
36. Trading intensity, volatility, and arbitrage activity
    Journal of Banking & Finance, 2004, 28, (5), 1137-1162 View citations (13)

2003

37. Evaluating interval forecasts of high-frequency financial data
    Journal of Applied Econometrics, 2003, 18, (4), 445-456 View citations (30)

2002

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

2001

40. Bootstrapping prediction intervals for autoregressive models
    International Journal of Forecasting, 2001, 17, (2), 247-267 View citations (44)
41. Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market
    Studies in Nonlinear Dynamics & Econometrics, 2001, 5, (2), 22 View citations (5)
42. Portfolio diversification and excess comovement in commodity prices
    Manchester School, 2001, 69, (4), 351-368 View citations (2)
43. Robust Evaluation of Fixed-Event Forecast Rationality
    Journal of Forecasting, 2001, 20, (4), 285-95 View citations (8)
44. Time Diversification: Empirical Tests
    Journal of Business Finance & Accounting, 2001, 28, (3‐4), 263-302 View citations (7)

2000

45. SETS, arbitrage activity, and stock price dynamics
    Journal of Banking & Finance, 2000, 24, (8), 1289-1306 View citations (34)
    See also Working Paper SETS, Arbitrage Activity, and Stock Price Dynamics, Tinbergen Institute Discussion Papers (1999) View citations (1) (1999)
46. US inflation-indexed bonds in the long run: a hypothetical view
    Applied Financial Economics, 2000, 10, (6), 667-677 View citations (2)

1998

47. Precious metals and inflation
    Applied Financial Economics, 1998, 8, (2), 201-210 View citations (41)

1997

48. Comparing the bias and misspecification in ARFIMA models
    Journal of Time Series Analysis, 1997, 18, (5), 507-527 View citations (18)
    See also Working Paper Comparing the Bias and Misspecification in ARFIMA Models, Economic Research Papers (1995) (1995)

1996

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

1995

50. 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 View citations (1)