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 1 342 0 1 3 686
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 2 3 4 94
Non-Standard Errors 0 0 2 44 0 6 31 446
Non-Standard Errors 0 0 1 27 1 4 29 155
Nonstandard Errors 0 0 3 3 4 7 27 27
Nonstandard Errors 0 0 0 0 5 6 8 8
Nonstandard Errors 0 0 0 0 3 9 14 14
Nonstandard errors 0 1 2 12 1 6 28 57
On the Effects of Private Information on Volatility 0 0 0 15 2 3 3 101
On the Effects of Private Information on Volatility 0 0 0 40 1 1 1 134
SETS, Arbitrage Activity, and Stock Price Dynamics 0 0 0 310 0 0 2 1,383
The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data 0 0 0 87 0 1 1 339
Total Working Papers 0 1 9 1,690 19 47 151 6,914
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 1 1 1 29 1 1 2 115
A comparison of static and dynamic portfolio policies 0 0 0 11 1 2 3 53
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 1 1 1 63
A note on the importance of overnight information in risk management models 0 0 0 50 0 0 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 2 3 4 245
Can idiosyncratic volatility help forecast stock market volatility? 0 0 0 39 2 2 3 112
Comparing the bias and misspecification in ARFIMA models 0 0 0 1 1 1 3 14
Competition on the London Stock Exchange 0 0 1 11 1 2 3 55
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 1 1 62
Estimating private information usage amongst analysts: evidence from UK earnings forecasts 0 0 0 34 0 1 1 119
Evaluating interval forecasts of high-frequency financial data 0 0 1 526 2 2 3 1,403
Forecast accuracy and effort: The case of US inflation rates 0 0 0 17 0 0 0 97
Forecasting returns in the VIX futures market 0 0 1 28 0 1 2 70
Hawkes processes in finance: market structure and impact 0 0 1 8 1 1 2 17
Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach 0 0 0 5 2 3 5 45
Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market 0 1 2 284 1 2 3 852
Local versus foreign analysts' forecast accuracy: does herding matter? 0 0 1 2 0 1 5 12
Managed portfolio performance and transaction costs 0 0 0 15 0 1 2 39
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 0 0 4 42
Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market 1 1 1 4 1 1 3 16
Nonstandard Errors 2 3 20 41 10 16 76 148
Order flow and volatility: An empirical investigation 0 1 1 17 0 1 3 88
Portfolio diversification and excess comovement in commodity prices 0 0 0 0 0 0 0 3
Precious metals and inflation 0 0 1 107 1 2 8 357
Realised variance forecasting under Box-Cox transformations 0 0 0 4 1 1 5 53
Realized volatility forecasting in an international context 0 0 1 21 0 1 2 54
Risk Control: Who Cares? 0 0 0 1 0 0 0 15
Robust Evaluation of Fixed-Event Forecast Rationality 0 0 0 0 0 0 5 204
Roll strategy efficiency in commodity futures markets 4 4 5 32 6 8 13 127
SETS, arbitrage activity, and stock price dynamics 0 0 1 36 0 0 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 0 57
The Determinants of Future U.S. Monetary Policy: High-Frequency Evidence 0 0 0 63 0 0 2 184
The Determinants of Future U.S. Monetary Policy: High‐Frequency Evidence 0 0 1 3 0 1 3 15
The Determinants of Volatility Timing Performance 0 0 0 1 4 5 9 11
The Economic Value of Volatility Forecasts: A Conditional Approach 0 0 0 11 1 3 3 58
The determinants of bank risks: Evidence from the recent financial crisis 0 1 4 60 3 4 12 176
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 2 2 3 36
The predictive value of temporally disaggregated volatility: evidence from index futures markets 0 0 0 22 1 1 3 99
The rise and fall of technical trading rule success 0 0 4 94 5 6 13 369
Time Diversification: Empirical Tests 0 0 0 14 0 2 3 37
Time-varying price discovery in fragmented markets 0 0 0 26 0 0 3 75
Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets 0 0 0 16 1 2 8 79
Timing strategy performance in the crude oil futures market 0 0 1 6 0 0 1 44
Trading intensity, volatility, and arbitrage activity 0 0 0 119 0 0 1 257
US inflation-indexed bonds in the long run: a hypothetical view 0 0 0 100 0 0 0 438
Total Journal Articles 8 12 49 2,096 51 81 237 7,581

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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