Access Statistics for Nick Taylor

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests 0 0 0 330 0 0 0 1,355
A New Econometric Model Of Index Arbitrage 0 0 0 246 0 0 0 367
A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests 0 0 0 216 0 0 0 1,576
Autoregressive hidden Markov switching\\models of count data 0 0 2 342 0 0 3 685
Comparing the Bias and Misspecification in ARFIMA Models 0 0 0 0 0 0 0 14
Comparing the Bias and Misspecification in Arfima Models 0 0 0 1 0 0 0 158
Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach 0 0 0 17 0 0 1 91
Non-Standard Errors 0 2 3 44 2 7 42 440
Non-Standard Errors 0 0 1 27 3 5 28 150
On the Effects of Private Information on Volatility 0 0 0 40 0 0 0 133
On the Effects of Private Information on Volatility 0 0 0 15 0 0 0 98
SETS, Arbitrage Activity, and Stock Price Dynamics 0 0 0 310 0 1 2 1,383
The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data 0 0 0 87 0 0 0 338
Total Working Papers 0 2 6 1,675 5 13 76 6,788
4 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A New Econometric Model of Index Arbitrage 0 0 1 28 0 0 2 114
A comparison of static and dynamic portfolio policies 0 0 0 11 0 0 1 51
A cross-section test of the present value model 0 0 0 53 0 0 0 343
A formula for the economic value of return predictability 0 0 0 10 0 0 0 62
A note on the importance of overnight information in risk management models 0 0 0 50 0 2 3 152
An International Perspective on Risk Management Quality 0 0 1 2 0 0 2 44
Bootstrapping prediction intervals for autoregressive models 0 0 0 88 0 0 3 242
Can idiosyncratic volatility help forecast stock market volatility? 0 0 0 39 0 1 3 110
Comparing the bias and misspecification in ARFIMA models 0 0 0 1 0 0 2 13
Competition on the London Stock Exchange 1 1 1 11 1 1 3 53
ECONOMIC FORECAST QUALITY AND PUBLICATION LAGS 0 0 0 1 0 0 1 26
Econometric Models of Company Dividends Can Be Used to Identify Underpriced Shares 0 0 0 0 0 0 0 202
Economic forecast quality: information timeliness and data vintage effects 0 0 0 16 0 0 0 61
Estimating private information usage amongst analysts: evidence from UK earnings forecasts 0 0 1 34 0 0 4 118
Evaluating interval forecasts of high-frequency financial data 0 1 1 526 0 1 1 1,401
Forecast accuracy and effort: The case of US inflation rates 0 0 2 17 0 0 3 97
Forecasting returns in the VIX futures market 1 1 1 28 1 1 2 69
Hawkes processes in finance: market structure and impact 0 0 1 8 0 0 2 16
Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach 0 0 1 5 0 0 3 41
Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market 0 0 0 282 0 0 0 849
Local versus foreign analysts' forecast accuracy: does herding matter? 0 1 1 2 1 4 4 11
Managed portfolio performance and transaction costs 0 0 0 15 0 0 1 38
Market and idiosyncratic volatility: high frequency dynamics 0 0 0 11 0 0 0 47
Measuring the economic value of loan advice 0 0 0 4 1 1 3 41
Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market 0 0 0 3 0 0 3 15
Order flow and volatility: An empirical investigation 0 0 0 16 0 2 4 87
Portfolio diversification and excess comovement in commodity prices 0 0 0 0 0 0 0 3
Precious metals and inflation 0 1 1 107 0 2 4 353
Realised variance forecasting under Box-Cox transformations 0 0 0 4 0 1 4 50
Realized volatility forecasting in an international context 1 1 1 21 1 1 1 53
Risk Control: Who Cares? 0 0 0 1 0 0 1 15
Robust Evaluation of Fixed-Event Forecast Rationality 0 0 0 0 0 1 5 204
Roll strategy efficiency in commodity futures markets 1 1 2 28 1 1 8 118
SETS, arbitrage activity, and stock price dynamics 0 0 1 36 0 1 5 175
THE ECONOMIC SIGNIFICANCE OF CONDITIONING INFORMATION ON PORTFOLIO EFFICIENCY IN THE PRESENCE OF COSTLY SHORT‐SELLING 0 0 0 3 0 0 0 31
Testing forecasting model versatility 0 0 0 5 0 0 1 57
The Determinants of Future U.S. Monetary Policy: High-Frequency Evidence 0 0 0 63 0 0 0 182
The Determinants of Future U.S. Monetary Policy: High‐Frequency Evidence 0 0 1 3 0 0 2 14
The Determinants of Volatility Timing Performance 0 0 1 1 0 2 5 6
The Economic Value of Volatility Forecasts: A Conditional Approach 0 0 0 11 0 0 0 55
The determinants of bank risks: Evidence from the recent financial crisis 0 1 2 57 0 3 7 170
The economic and statistical significance of spread forecasts: Evidence from the London Stock Exchange 0 0 0 41 0 0 0 146
The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data 0 0 0 4 0 1 1 34
The predictive value of temporally disaggregated volatility: evidence from index futures markets 0 0 0 22 0 1 3 98
The rise and fall of technical trading rule success 1 2 6 94 2 3 12 363
Time Diversification: Empirical Tests 0 0 0 14 1 1 1 35
Time-varying price discovery in fragmented markets 0 0 0 26 0 1 3 75
Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets 0 0 0 16 0 0 4 74
Timing strategy performance in the crude oil futures market 0 0 1 6 0 0 2 44
Trading intensity, volatility, and arbitrage activity 0 0 0 119 0 0 2 257
US inflation-indexed bonds in the long run: a hypothetical view 0 0 0 100 0 0 0 438
Total Journal Articles 5 10 27 2,043 9 32 121 7,353

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Testing for contagion: the impact of US structured markets on international financial markets 0 0 0 16 0 0 0 75
Total Chapters 0 0 0 16 0 0 0 75

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