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 1 4 1,359
A New Econometric Model Of Index Arbitrage 0 0 0 246 1 1 8 375
A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests 0 0 0 216 1 2 9 1,585
Autoregressive hidden Markov switching\\models of count data 0 0 0 342 0 0 8 694
Comparing the Bias and Misspecification in ARFIMA Models 0 0 0 0 1 1 10 24
Comparing the Bias and Misspecification in Arfima Models 0 0 0 1 2 2 13 171
Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach 0 0 0 17 0 0 17 109
Non-Standard Errors 1 1 1 45 1 4 41 485
Non-Standard Errors 1 1 1 28 2 5 21 173
Nonstandard Errors 0 0 0 0 0 4 22 24
Nonstandard Errors 0 0 0 0 1 1 30 36
Nonstandard Errors 0 0 1 4 1 4 28 48
Nonstandard errors 1 1 2 13 2 5 32 84
On the Effects of Private Information on Volatility 0 0 0 40 1 1 10 143
On the Effects of Private Information on Volatility 0 0 0 15 1 2 12 111
SETS, Arbitrage Activity, and Stock Price Dynamics 0 0 0 310 0 1 7 1,390
The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data 0 1 1 88 1 2 13 352
Total Working Papers 3 4 6 1,695 15 36 285 7,163
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 0 1 8 122
A comparison of static and dynamic portfolio policies 0 0 0 11 1 2 19 71
A cross-section test of the present value model 0 0 0 53 0 3 9 352
A formula for the economic value of return predictability 0 0 0 10 0 2 18 80
A note on the importance of overnight information in risk management models 0 0 0 50 0 2 8 160
An International Perspective on Risk Management Quality 0 0 0 2 0 0 13 57
Bootstrapping prediction intervals for autoregressive models 0 0 0 88 0 0 12 255
Can idiosyncratic volatility help forecast stock market volatility? 0 0 0 39 0 0 15 125
Comparing the bias and misspecification in ARFIMA models 0 0 0 1 0 1 9 22
Competition on the London Stock Exchange 0 0 0 11 0 0 7 60
ECONOMIC FORECAST QUALITY AND PUBLICATION LAGS 0 0 0 1 0 0 4 30
Econometric Models of Company Dividends Can Be Used to Identify Underpriced Shares 0 0 0 0 0 0 4 206
Economic forecast quality: information timeliness and data vintage effects 0 0 0 16 0 0 10 72
Estimating private information usage amongst analysts: evidence from UK earnings forecasts 0 0 2 36 0 1 15 133
Evaluating interval forecasts of high-frequency financial data 0 0 1 527 1 1 17 1,418
Forecast accuracy and effort: The case of US inflation rates 0 0 0 17 0 0 9 106
Forecasting returns in the VIX futures market 0 0 0 28 1 1 9 79
Hawkes processes in finance: market structure and impact 0 0 2 10 0 3 9 25
Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach 0 0 0 5 0 1 17 60
Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market 1 1 2 285 3 5 12 862
Local versus foreign analysts' forecast accuracy: does herding matter? 0 0 0 2 3 3 20 31
Managed portfolio performance and transaction costs 0 0 0 15 1 1 11 49
Market and idiosyncratic volatility: high frequency dynamics 0 0 0 11 1 1 6 53
Measuring the economic value of loan advice 0 0 0 4 0 0 5 47
Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market 0 0 2 5 0 2 10 25
Nonstandard Errors 0 2 8 46 6 15 57 191
Optimal Variance Forecasting in a Trading Context 0 0 0 0 0 1 2 2
Order flow and volatility: An empirical investigation 0 0 1 17 0 3 22 109
Portfolio diversification and excess comovement in commodity prices 0 0 0 0 0 0 4 7
Portfolio return prediction and risk price heterogeneity 0 0 0 0 0 2 2 2
Precious metals and inflation 1 1 1 108 2 4 18 374
Realised variance forecasting under Box-Cox transformations 0 0 1 5 1 3 55 107
Realized volatility forecasting in an international context 0 0 0 21 1 5 15 69
Risk Control: Who Cares? 0 0 0 1 0 0 11 26
Robust Evaluation of Fixed-Event Forecast Rationality 0 0 0 0 0 1 8 212
Roll strategy efficiency in commodity futures markets 0 2 6 34 5 12 34 154
SETS, arbitrage activity, and stock price dynamics 0 0 0 36 0 1 11 186
THE ECONOMIC SIGNIFICANCE OF CONDITIONING INFORMATION ON PORTFOLIO EFFICIENCY IN THE PRESENCE OF COSTLY SHORT‐SELLING 0 0 0 3 0 0 2 33
Testing forecasting model versatility 0 0 0 5 0 1 11 68
The Determinants of Future U.S. Monetary Policy: High-Frequency Evidence 0 0 0 63 0 1 15 199
The Determinants of Future U.S. Monetary Policy: High‐Frequency Evidence 0 0 0 3 0 0 11 26
The Determinants of Volatility Timing Performance 0 0 1 2 0 1 24 31
The Economic Value of Volatility Forecasts: A Conditional Approach 0 0 0 11 0 1 8 65
The determinants of bank risks: Evidence from the recent financial crisis 0 0 1 60 0 0 13 185
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 2 3 13 47
The predictive value of temporally disaggregated volatility: evidence from index futures markets 0 0 0 22 0 0 9 107
The rise and fall of technical trading rule success 0 0 1 95 1 6 24 387
Time Diversification: Empirical Tests 0 0 1 15 0 1 13 49
Time-varying price discovery in fragmented markets 0 0 1 27 1 1 13 88
Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets 0 0 1 17 2 3 17 94
Timing strategy performance in the crude oil futures market 0 0 0 6 0 2 14 58
Trading intensity, volatility, and arbitrage activity 0 0 1 120 0 0 5 262
US inflation-indexed bonds in the long run: a hypothetical view 0 0 0 100 2 2 6 444
Total Journal Articles 2 6 34 2,118 34 99 726 8,241

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 1 2 35 110
Total Chapters 0 0 0 16 1 2 35 110

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Statistics updated 2026-09-10