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 2 2 369
A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests 0 0 0 216 2 2 2 1,578
Autoregressive hidden Markov switching\\models of count data 0 0 1 342 1 2 4 688
Comparing the Bias and Misspecification in ARFIMA Models 0 0 0 0 1 3 3 17
Comparing the Bias and Misspecification in Arfima Models 0 0 0 1 1 3 3 161
Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach 0 0 0 17 2 6 8 98
Non-Standard Errors 0 0 2 44 6 12 35 458
Non-Standard Errors 0 0 1 27 4 7 27 161
Nonstandard Errors 0 0 0 0 6 11 14 14
Nonstandard Errors 1 1 4 4 4 10 25 33
Nonstandard Errors 0 0 0 0 4 11 22 22
Nonstandard errors 0 0 1 12 3 7 28 63
On the Effects of Private Information on Volatility 0 0 0 15 1 4 5 103
On the Effects of Private Information on Volatility 0 0 0 40 1 2 2 135
SETS, Arbitrage Activity, and Stock Price Dynamics 0 0 0 310 4 4 5 1,387
The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data 0 0 0 87 0 1 2 340
Total Working Papers 1 1 9 1,691 40 87 187 6,982
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 1 1 29 2 4 4 118
A comparison of static and dynamic portfolio policies 0 0 0 11 4 7 9 59
A cross-section test of the present value model 0 0 0 53 2 2 2 345
A formula for the economic value of return predictability 0 0 0 10 3 5 5 67
A note on the importance of overnight information in risk management models 0 0 0 50 3 3 5 155
An International Perspective on Risk Management Quality 0 0 1 2 2 3 5 47
Bootstrapping prediction intervals for autoregressive models 0 0 0 88 1 4 6 247
Can idiosyncratic volatility help forecast stock market volatility? 0 0 0 39 0 4 5 114
Comparing the bias and misspecification in ARFIMA models 0 0 0 1 0 2 4 15
Competition on the London Stock Exchange 0 0 1 11 2 3 5 57
ECONOMIC FORECAST QUALITY AND PUBLICATION LAGS 0 0 0 1 1 1 2 27
Econometric Models of Company Dividends Can Be Used to Identify Underpriced Shares 0 0 0 0 0 1 1 203
Economic forecast quality: information timeliness and data vintage effects 0 0 0 16 1 2 3 64
Estimating private information usage amongst analysts: evidence from UK earnings forecasts 1 1 1 35 3 4 5 123
Evaluating interval forecasts of high-frequency financial data 0 0 1 526 0 3 4 1,404
Forecast accuracy and effort: The case of US inflation rates 0 0 0 17 4 4 4 101
Forecasting returns in the VIX futures market 0 0 1 28 1 1 3 71
Hawkes processes in finance: market structure and impact 0 1 2 9 2 5 6 21
Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach 0 0 0 5 0 3 6 46
Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market 0 0 2 284 1 2 4 853
Local versus foreign analysts' forecast accuracy: does herding matter? 0 0 1 2 0 2 7 14
Managed portfolio performance and transaction costs 0 0 0 15 3 3 4 42
Market and idiosyncratic volatility: high frequency dynamics 0 0 0 11 0 1 1 48
Measuring the economic value of loan advice 0 0 0 4 1 2 6 44
Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market 0 1 1 4 2 3 5 18
Nonstandard Errors 1 3 16 42 5 18 65 156
Order flow and volatility: An empirical investigation 0 0 1 17 3 4 7 92
Portfolio diversification and excess comovement in commodity prices 0 0 0 0 0 0 0 3
Precious metals and inflation 0 0 1 107 0 1 7 357
Realised variance forecasting under Box-Cox transformations 0 0 0 4 24 26 30 78
Realized volatility forecasting in an international context 0 0 1 21 2 3 5 57
Risk Control: Who Cares? 0 0 0 1 3 3 3 18
Robust Evaluation of Fixed-Event Forecast Rationality 0 0 0 0 3 4 7 208
Roll strategy efficiency in commodity futures markets 0 4 5 32 0 8 14 129
SETS, arbitrage activity, and stock price dynamics 0 0 1 36 1 1 6 176
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 6 6 8 190
The Determinants of Future U.S. Monetary Policy: High‐Frequency Evidence 0 0 1 3 0 0 3 15
The Determinants of Volatility Timing Performance 1 1 1 2 7 11 15 18
The Economic Value of Volatility Forecasts: A Conditional Approach 0 0 0 11 0 3 5 60
The determinants of bank risks: Evidence from the recent financial crisis 0 0 4 60 0 3 11 176
The economic and statistical significance of spread forecasts: Evidence from the London Stock Exchange 0 0 0 41 7 7 7 153
The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data 0 0 0 4 0 2 3 36
The predictive value of temporally disaggregated volatility: evidence from index futures markets 0 0 0 22 1 6 8 104
The rise and fall of technical trading rule success 1 1 4 95 1 8 15 372
Time Diversification: Empirical Tests 1 1 1 15 3 3 6 40
Time-varying price discovery in fragmented markets 0 0 0 26 0 1 4 76
Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets 0 0 0 16 1 4 10 82
Timing strategy performance in the crude oil futures market 0 0 1 6 2 3 4 47
Trading intensity, volatility, and arbitrage activity 1 1 1 120 1 1 2 258
US inflation-indexed bonds in the long run: a hypothetical view 0 0 0 100 1 1 1 439
Total Journal Articles 6 15 50 2,103 109 201 357 7,731

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 2 5 5 80
Total Chapters 0 0 0 16 2 5 5 80

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Statistics updated 2026-01-09