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 1 1 3 1,358
A New Econometric Model Of Index Arbitrage 0 0 0 246 1 3 7 374
A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests 0 0 0 216 2 2 6 1,582
Autoregressive hidden Markov switching\\models of count data 0 0 0 342 4 5 9 694
Comparing the Bias and Misspecification in ARFIMA Models 0 0 0 0 3 4 8 22
Comparing the Bias and Misspecification in Arfima Models 0 0 0 1 3 4 11 169
Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach 0 0 0 17 3 4 18 109
Non-Standard Errors 0 0 0 44 5 10 38 476
Non-Standard Errors 0 0 0 27 2 5 23 168
Nonstandard Errors 0 0 0 0 4 9 32 32
Nonstandard Errors 0 0 2 4 2 5 24 43
Nonstandard Errors 0 0 0 0 3 4 19 19
Nonstandard errors 0 0 1 12 3 10 35 79
On the Effects of Private Information on Volatility 0 0 0 15 1 3 11 109
On the Effects of Private Information on Volatility 0 0 0 40 1 5 9 142
SETS, Arbitrage Activity, and Stock Price Dynamics 0 0 0 310 0 1 6 1,388
The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data 0 0 0 87 2 3 10 348
Total Working Papers 0 0 3 1,691 40 78 269 7,112
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 29 1 1 6 120
A comparison of static and dynamic portfolio policies 0 0 0 11 2 7 18 69
A cross-section test of the present value model 0 0 0 53 0 1 5 348
A formula for the economic value of return predictability 0 0 0 10 7 8 15 77
A note on the importance of overnight information in risk management models 0 0 0 50 2 3 8 158
An International Perspective on Risk Management Quality 0 0 0 2 4 7 13 57
Bootstrapping prediction intervals for autoregressive models 0 0 0 88 1 4 12 254
Can idiosyncratic volatility help forecast stock market volatility? 0 0 0 39 2 5 15 124
Comparing the bias and misspecification in ARFIMA models 0 0 0 1 2 2 8 21
Competition on the London Stock Exchange 0 0 1 11 1 2 8 60
ECONOMIC FORECAST QUALITY AND PUBLICATION LAGS 0 0 0 1 1 1 4 30
Econometric Models of Company Dividends Can Be Used to Identify Underpriced Shares 0 0 0 0 1 1 4 206
Economic forecast quality: information timeliness and data vintage effects 0 0 0 16 0 5 11 72
Estimating private information usage amongst analysts: evidence from UK earnings forecasts 0 1 2 36 2 3 14 132
Evaluating interval forecasts of high-frequency financial data 0 1 2 527 8 10 17 1,417
Forecast accuracy and effort: The case of US inflation rates 0 0 0 17 2 2 9 106
Forecasting returns in the VIX futures market 0 0 1 28 2 3 10 78
Hawkes processes in finance: market structure and impact 0 0 2 10 0 0 6 22
Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach 0 0 0 5 3 10 18 59
Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market 0 0 2 284 1 1 7 856
Local versus foreign analysts' forecast accuracy: does herding matter? 0 0 1 2 10 11 20 27
Managed portfolio performance and transaction costs 0 0 0 15 4 4 10 48
Market and idiosyncratic volatility: high frequency dynamics 0 0 0 11 1 1 4 51
Measuring the economic value of loan advice 0 0 0 4 2 2 7 47
Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market 1 1 2 5 2 3 7 22
Nonstandard Errors 0 2 8 44 4 15 58 176
Order flow and volatility: An empirical investigation 0 0 1 17 5 11 20 106
Portfolio diversification and excess comovement in commodity prices 0 0 0 0 2 2 4 7
Precious metals and inflation 0 0 1 107 6 9 19 370
Realised variance forecasting under Box-Cox transformations 0 1 1 5 4 6 54 103
Realized volatility forecasting in an international context 0 0 1 21 4 4 12 64
Risk Control: Who Cares? 0 0 0 1 1 2 11 26
Robust Evaluation of Fixed-Event Forecast Rationality 0 0 0 0 1 2 8 211
Roll strategy efficiency in commodity futures markets 0 0 5 32 1 5 22 139
SETS, arbitrage activity, and stock price dynamics 0 0 0 36 1 4 9 184
THE ECONOMIC SIGNIFICANCE OF CONDITIONING INFORMATION ON PORTFOLIO EFFICIENCY IN THE PRESENCE OF COSTLY SHORT‐SELLING 0 0 0 3 1 1 2 33
Testing forecasting model versatility 0 0 0 5 6 6 10 67
The Determinants of Future U.S. Monetary Policy: High-Frequency Evidence 0 0 0 63 2 3 16 198
The Determinants of Future U.S. Monetary Policy: High‐Frequency Evidence 0 0 0 3 2 4 10 24
The Determinants of Volatility Timing Performance 0 0 1 2 7 12 26 30
The Economic Value of Volatility Forecasts: A Conditional Approach 0 0 0 11 2 3 9 64
The determinants of bank risks: Evidence from the recent financial crisis 0 0 3 60 2 4 16 184
The economic and statistical significance of spread forecasts: Evidence from the London Stock Exchange 0 0 0 41 0 0 13 159
The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data 0 0 0 4 4 5 11 44
The predictive value of temporally disaggregated volatility: evidence from index futures markets 0 0 0 22 1 1 10 107
The rise and fall of technical trading rule success 0 0 2 95 1 3 18 379
Time Diversification: Empirical Tests 0 0 1 15 3 7 14 48
Time-varying price discovery in fragmented markets 0 1 1 27 6 10 12 86
Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets 1 1 1 17 4 5 16 90
Timing strategy performance in the crude oil futures market 0 0 0 6 3 6 11 55
Trading intensity, volatility, and arbitrage activity 0 0 1 120 2 2 5 262
US inflation-indexed bonds in the long run: a hypothetical view 0 0 0 100 2 2 4 442
Total Journal Articles 2 8 41 2,112 138 231 676 8,119

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 3 14 30 105
Total Chapters 0 0 0 16 3 14 30 105

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Statistics updated 2026-05-06