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 2 2 1,357
A New Econometric Model Of Index Arbitrage 0 0 0 246 2 4 6 373
A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests 0 0 0 216 0 4 4 1,580
Autoregressive hidden Markov switching\\models of count data 0 0 0 342 1 3 5 690
Comparing the Bias and Misspecification in ARFIMA Models 0 0 0 0 1 3 5 19
Comparing the Bias and Misspecification in Arfima Models 0 0 0 1 0 5 7 165
Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach 0 0 0 17 1 10 15 106
Non-Standard Errors 0 0 0 27 0 6 20 163
Non-Standard Errors 0 0 2 44 4 18 38 470
Nonstandard Errors 0 0 0 0 1 8 16 16
Nonstandard Errors 0 0 0 0 0 5 23 23
Nonstandard Errors 0 1 2 4 1 10 25 39
Nonstandard errors 0 0 1 12 2 11 28 71
On the Effects of Private Information on Volatility 0 0 0 15 1 5 9 107
On the Effects of Private Information on Volatility 0 0 0 40 4 7 8 141
SETS, Arbitrage Activity, and Stock Price Dynamics 0 0 0 310 1 5 6 1,388
The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data 0 0 0 87 0 5 7 345
Total Working Papers 0 1 5 1,691 19 111 224 7,053
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 3 5 119
A comparison of static and dynamic portfolio policies 0 0 0 11 2 9 13 64
A cross-section test of the present value model 0 0 0 53 1 5 5 348
A formula for the economic value of return predictability 0 0 0 10 0 5 7 69
A note on the importance of overnight information in risk management models 0 0 0 50 0 3 5 155
An International Perspective on Risk Management Quality 0 0 0 2 3 8 9 53
Bootstrapping prediction intervals for autoregressive models 0 0 0 88 2 6 10 252
Can idiosyncratic volatility help forecast stock market volatility? 0 0 0 39 2 7 12 121
Comparing the bias and misspecification in ARFIMA models 0 0 0 1 0 4 6 19
Competition on the London Stock Exchange 0 0 1 11 0 3 6 58
ECONOMIC FORECAST QUALITY AND PUBLICATION LAGS 0 0 0 1 0 3 3 29
Econometric Models of Company Dividends Can Be Used to Identify Underpriced Shares 0 0 0 0 0 2 3 205
Economic forecast quality: information timeliness and data vintage effects 0 0 0 16 2 6 8 69
Estimating private information usage amongst analysts: evidence from UK earnings forecasts 1 2 2 36 1 10 12 130
Evaluating interval forecasts of high-frequency financial data 1 1 2 527 2 5 9 1,409
Forecast accuracy and effort: The case of US inflation rates 0 0 0 17 0 7 7 104
Forecasting returns in the VIX futures market 0 0 1 28 0 5 7 75
Hawkes processes in finance: market structure and impact 0 1 2 10 0 3 6 22
Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach 0 0 0 5 4 7 12 53
Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market 0 0 2 284 0 3 6 855
Local versus foreign analysts' forecast accuracy: does herding matter? 0 0 1 2 0 2 9 16
Managed portfolio performance and transaction costs 0 0 0 15 0 5 6 44
Market and idiosyncratic volatility: high frequency dynamics 0 0 0 11 0 2 3 50
Measuring the economic value of loan advice 0 0 0 4 0 2 5 45
Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market 0 0 1 4 0 3 4 19
Nonstandard Errors 0 1 11 42 6 16 61 167
Order flow and volatility: An empirical investigation 0 0 1 17 2 8 12 97
Portfolio diversification and excess comovement in commodity prices 0 0 0 0 0 2 2 5
Precious metals and inflation 0 0 1 107 1 5 11 362
Realised variance forecasting under Box-Cox transformations 1 1 1 5 1 44 49 98
Realized volatility forecasting in an international context 0 0 1 21 0 5 8 60
Risk Control: Who Cares? 0 0 0 1 0 9 9 24
Robust Evaluation of Fixed-Event Forecast Rationality 0 0 0 0 1 5 7 210
Roll strategy efficiency in commodity futures markets 0 0 5 32 1 6 18 135
SETS, arbitrage activity, and stock price dynamics 0 0 0 36 2 7 8 182
THE ECONOMIC SIGNIFICANCE OF CONDITIONING INFORMATION ON PORTFOLIO EFFICIENCY IN THE PRESENCE OF COSTLY SHORT‐SELLING 0 0 0 3 0 1 1 32
Testing forecasting model versatility 0 0 0 5 0 4 4 61
The Determinants of Future U.S. Monetary Policy: High-Frequency Evidence 0 0 0 63 1 12 14 196
The Determinants of Future U.S. Monetary Policy: High‐Frequency Evidence 0 0 0 3 1 6 7 21
The Determinants of Volatility Timing Performance 0 1 1 2 2 9 16 20
The Economic Value of Volatility Forecasts: A Conditional Approach 0 0 0 11 0 1 6 61
The determinants of bank risks: Evidence from the recent financial crisis 0 0 4 60 2 6 15 182
The economic and statistical significance of spread forecasts: Evidence from the London Stock Exchange 0 0 0 41 0 13 13 159
The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data 0 0 0 4 1 4 7 40
The predictive value of temporally disaggregated volatility: evidence from index futures markets 0 0 0 22 0 3 9 106
The rise and fall of technical trading rule success 0 1 3 95 1 6 17 377
Time Diversification: Empirical Tests 0 1 1 15 2 6 9 43
Time-varying price discovery in fragmented markets 0 0 0 26 0 0 2 76
Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets 0 0 0 16 0 4 12 85
Timing strategy performance in the crude oil futures market 0 0 0 6 0 4 5 49
Trading intensity, volatility, and arbitrage activity 0 1 1 120 0 3 3 260
US inflation-indexed bonds in the long run: a hypothetical view 0 0 0 100 0 2 2 440
Total Journal Articles 3 10 43 2,107 43 309 505 7,931

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 9 22 25 100
Total Chapters 0 0 0 16 9 22 25 100

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Statistics updated 2026-03-04