Nick Taylor : Citation Profile


Are you Nick Taylor?

University of Bristol

10

H index

10

i10 index

330

Citations

RESEARCH PRODUCTION:

48

Articles

11

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (1995 - 2019). See details.
   Cites by year: 13
   Journals where Nick Taylor has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 10 (2.94 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta557
   Updated: 2021-09-18    RAS profile: 2020-10-15    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Xu, Yongdeng (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Nick Taylor.

Is cited by:

lucey, brian (8)

Weron, Rafał (6)

Oxley, Les (5)

Nowotarski, Jakub (5)

Kim, Jae (5)

Knüppel, Malte (5)

Marcellino, Massimiliano (4)

Tsyplakov, Alexander (4)

O'Connor, Fergal (4)

Jorda, Oscar (4)

Galvão, Ana (4)

Cites to:

Bollerslev, Tim (38)

Engle, Robert (37)

Diebold, Francis (32)

Andersen, Torben (23)

Shephard, Neil (15)

Campbell, John (15)

Lucas, Andre (13)

Stulz, René (12)

Granger, Clive (11)

Roll, Richard (11)

French, Kenneth (11)

Main data


Where Nick Taylor has published?


Journals with more than one article published# docs
Journal of Banking & Finance5
Applied Financial Economics4
International Journal of Forecasting4
Journal of Forecasting4
European Financial Management4
International Review of Financial Analysis2
Economics Letters2
Applied Economics Letters2
Manchester School2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute3
Cardiff Economics Working Papers / Cardiff University, Cardiff Business School, Economics Section2

Recent works citing Nick Taylor (2021 and 2020)


YearTitle of citing document
2020Long-term prediction intervals with many covariates. (2020). Chudy, Marek ; Karmakar, Sayar ; Wu, Wei Biao. In: Papers. RePEc:arx:papers:2012.08223.

Full description at Econpapers || Download paper

2021Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

Full description at Econpapers || Download paper

2021The Role of Binance in Bitcoin Volatility Transmission. (2021). Kaeck, Andreas ; Heck, Daniel ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.00298.

Full description at Econpapers || Download paper

2021Capital regulation and bank risk?taking – new global evidence. (2021). Dias, Roshanthi. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:1:p:847-884.

Full description at Econpapers || Download paper

2020Automatic frequency restoration reserve market prediction: Methodology and comparison of various approaches. (2020). Sauer, Dirk Uwe ; Schoeneberger, Ilka ; Rucker, Fabian ; Merten, Michael. In: Applied Energy. RePEc:eee:appene:v:268:y:2020:i:c:s0306261920304906.

Full description at Econpapers || Download paper

2020New continuum of stochastic static forecasting model for mutual funds at investment policy level. (2020). Sheikh, Jibran ; Ahmed, Wajid Shakeel ; Butt, Faisal Shafique ; Shad, Shafqat Ali ; Shafi, Khuram ; Ur-Rehman, Kashif. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:132:y:2020:i:c:s0960077919305193.

Full description at Econpapers || Download paper

2020The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets. (2020). Bekiros, Stelios ; Lahmiri, Salim. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:138:y:2020:i:c:s0960077920303350.

Full description at Econpapers || Download paper

2021A Bayesian semiparametric vector Multiplicative Error Model. (2021). Mira, Antonietta ; Peluso, Stefano ; Donelli, Nicola. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:161:y:2021:i:c:s0167947321000761.

Full description at Econpapers || Download paper

2020Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing. (2020). Choo, Wei-Chong ; Taylor, James W ; Liu, Min. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:651-659.

Full description at Econpapers || Download paper

2021A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation. (2021). Hong, Won-Tak ; Hwang, Eunju. In: Economics Letters. RePEc:eee:ecolet:v:203:y:2021:i:c:s0165176521001324.

Full description at Econpapers || Download paper

2021The implied arbitrage mechanism in financial markets. (2021). Liu, Qingfu ; Chng, Michael T ; Chen, Shiyi. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:468-483.

Full description at Econpapers || Download paper

2021A general property for time aggregation. (2021). Rauch, Johannes ; Alexander, Carol. In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:536-548.

Full description at Econpapers || Download paper

2020Predicting stock returns in the presence of COVID-19 pandemic: The role of health news. (2020). Vo, Xuan Vinh ; Salisu, Afees. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301903.

Full description at Econpapers || Download paper

2020What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?. (2020). Oxley, Les ; Hu, Yang ; Hou, Yang Greg. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302131.

Full description at Econpapers || Download paper

2021The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model. (2021). Sivaprasad, Sheeja ; Pappas, Vasileios ; Muradolu, Yaz Gulnur ; Izzeldin, Marwan. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000144.

Full description at Econpapers || Download paper

2021Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information. (2021). Wei, YU ; Ma, Feng ; Li, Yan ; Liang, Chao. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000922.

Full description at Econpapers || Download paper

2020Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?. (2020). Lyócsa, Štefan ; Todorova, Neda. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:628-645.

Full description at Econpapers || Download paper

2020Bias corrections for exponentially transformed forecasts: Are they worth the effort?. (2020). Demetrescu, Matei ; Titova, Anna ; Golosnoy, Vasyl. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:761-780.

Full description at Econpapers || Download paper

2020An information-theoretic approach for forecasting interval-valued SP500 daily returns. (2020). Golan, Amos ; Ullah, Aman ; Amanullah, ; Tuang, T S. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:800-813.

Full description at Econpapers || Download paper

2021Realized volatility forecasting: Robustness to measurement errors. (2021). Otranto, Edoardo ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:44-57.

Full description at Econpapers || Download paper

2021Multivariate volatility forecasts for stock market indices. (2021). Croux, Christophe ; Rombouts, Jeroen ; Wilms, Ines. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:484-499.

Full description at Econpapers || Download paper

2021Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting. (2021). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:622-633.

Full description at Econpapers || Download paper

2021Data Snooping Bias in Tests of the Relative Performance of Multiple Forecasting Models. (2021). Anghel, Dan Gabriel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000716.

Full description at Econpapers || Download paper

2020Market impact and performance of arbitrageurs of financial bubbles in an agent-based model. (2020). Sornette, Didier ; Westphal, Rebecca. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:171:y:2020:i:c:p:1-23.

Full description at Econpapers || Download paper

2020Dynamics and correlation of platinum-group metals spot prices. (2020). Bao, Dun. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720301975.

Full description at Econpapers || Download paper

2020Misinformation corrections of corporate news: Corporate clarification announcements. (2020). Yang, Ann Shawing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x19302884.

Full description at Econpapers || Download paper

2020Sequential forecasting of downside extreme risk during overnight and daytime: Evidence from the Chinese Stock Market?. (2020). Zhu, Zhican ; Li, Xupei ; Jian, Zhihong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:64:y:2020:i:c:s0927538x20306661.

Full description at Econpapers || Download paper

2021Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre. (2021). Oxley, Les ; Corbet, Shaen ; Xu, Danyang ; Hu, Yang ; Hou, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:55-81.

Full description at Econpapers || Download paper

2020Temporal optimisation of signals emitted automatically by securities exchange indicators. (2020). Perez, Enrique Ventura ; Garcia, Rodrigo Martin ; Sanz, Raquel Arguedas. In: Cuadernos de Gestión. RePEc:ehu:cuader:49124.

Full description at Econpapers || Download paper

2020Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein. (2020). van der Wel, M. In: ERIM Inaugural Address Series Research in Management. RePEc:ems:euriar:124748.

Full description at Econpapers || Download paper

2021Risk exposures of European cooperative banks: a comparative analysis. (2021). Mare, Davide Salvatore ; Gramlich, Dieter. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:1:d:10.1007_s11156-020-00884-y.

Full description at Econpapers || Download paper

2021Time-varying information share and autoregressive loading factors: evidence from S&P 500 cash and E-mini futures markets. (2021). Wen, Fenghua ; Li, Steven ; Hou, Yang. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:1:d:10.1007_s11156-020-00940-7.

Full description at Econpapers || Download paper

2020R&D Investments and Idiosyncratic Volatility. (2020). Hamim, Md Tanvir. In: MPRA Paper. RePEc:pra:mprapa:101330.

Full description at Econpapers || Download paper

2020Long-term prediction intervals of economic time series. (2020). Wu, W B ; Karmakar, S ; Chud, M. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-019-01689-2.

Full description at Econpapers || Download paper

2020A marked point process model for intraday financial returns: modeling extreme risk. (2020). Herrera, Rodrigo ; Clements, Adam. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1600-y.

Full description at Econpapers || Download paper

2020Shall One Sit “Longer” for a Free Lunch? Impact of Trading Durations on the Realized Variances and Volatility Spillovers. (2020). Raizada, Gaurav ; S. V. D. Nageswara Rao, ; Srivastava, Vartika. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:18:y:2020:i:1:d:10.1007_s40953-019-00169-9.

Full description at Econpapers || Download paper

2021Evaluating active investing with generic trading reactions. (2021). Zoicasienciu, Adrian. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:1018-1036.

Full description at Econpapers || Download paper

2021A large constrained time?varying portfolio selection model with DCC?MIDAS: Evidence from Chinese stock market. (2021). He, Yaoyao ; Jiang, Cuixia ; Zuo, Junqing ; Xu, Qifa. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3417-3435.

Full description at Econpapers || Download paper

2021Forecasting systemic risk in portfolio selection: The role of technical trading rules. (2021). Hocine, Amin ; Kouaissah, Noureddine. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:4:p:708-729.

Full description at Econpapers || Download paper

2021Arbitrage trading and price discovery of the regular and mini Taiwan stock index futures. (2021). Chang, Yakai ; Chou, Robin K ; Lee, Yenhsien ; Chen, YuLun . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:926-948.

Full description at Econpapers || Download paper

2020Does Judgment Improve Macroeconomic Density Forecasts?. (2020). Mitchell, James ; Garratt, Anthony ; Galvao, Ana Beatriz. In: EMF Research Papers. RePEc:wrk:wrkemf:33.

Full description at Econpapers || Download paper

Works by Nick Taylor:


YearTitleTypeCited
2012On the Effects of Private Information on Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]
paper1
2011On the Effects of Private Information on Volatility.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2016Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets In: Cliometrica, Journal of Historical Economics and Econometric History.
[Full Text][Citation analysis]
article4
1995Comparing the Bias and Misspecification in ARFIMA Models In: Economic Research Papers.
[Full Text][Citation analysis]
paper16
1997Comparing the bias and misspecification in ARFIMA models.(1997) In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
article
1995Comparing the Bias and Misspecification in Arfima Models.(1995) In: The Warwick Economics Research Paper Series (TWERPS).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2007A New Econometric Model of Index Arbitrage In: European Financial Management.
[Full Text][Citation analysis]
article5
2004A New Econometric Model Of Index Arbitrage.(2004) In: Royal Economic Society Annual Conference 2004.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2013An International Perspective on Risk Management Quality In: European Financial Management.
[Full Text][Citation analysis]
article0
2017Risk Control: Who Cares? In: European Financial Management.
[Full Text][Citation analysis]
article0
2002Competition on the London Stock Exchange In: European Financial Management.
[Full Text][Citation analysis]
article7
2001Time Diversification: Empirical Tests In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]
article1
2012THE ECONOMIC SIGNIFICANCE OF CONDITIONING INFORMATION ON PORTFOLIO EFFICIENCY IN THE PRESENCE OF COSTLY SHORT?SELLING In: Journal of Financial Research.
[Full Text][Citation analysis]
article1
1995Econometric Models of Company Dividends Can Be Used to Identify Underpriced Shares. In: The Manchester School of Economic & Social Studies.
[Citation analysis]
article0
2001Portfolio diversification and excess comovement in commodity prices In: Manchester School.
[Full Text][Citation analysis]
article0
2013ECONOMIC FORECAST QUALITY AND PUBLICATION LAGS In: Manchester School.
[Full Text][Citation analysis]
article0
2001Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article2
2013The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data In: Cardiff Economics Working Papers.
[Full Text][Citation analysis]
paper8
2017The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data.(2017) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
2018Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach In: Cardiff Economics Working Papers.
[Full Text][Citation analysis]
paper2
2018Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach.(2018) In: International Review of Financial Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2002Autoregressive hidden Markov switching\\models of count data In: Royal Economic Society Annual Conference 2002.
[Full Text][Citation analysis]
paper0
2012Measuring the economic value of loan advice In: Economics Letters.
[Full Text][Citation analysis]
article1
2012Testing forecasting model versatility In: Economics Letters.
[Full Text][Citation analysis]
article0
2014Order flow and volatility: An empirical investigation In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article9
1996A cross-section test of the present value model In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article8
2017Timing strategy performance in the crude oil futures market In: Energy Economics.
[Full Text][Citation analysis]
article0
2018A comparison of static and dynamic portfolio policies In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article0
2015The determinants of bank risks: Evidence from the recent financial crisis In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
article7
2001Bootstrapping prediction intervals for autoregressive models In: International Journal of Forecasting.
[Full Text][Citation analysis]
article45
2008Can idiosyncratic volatility help forecast stock market volatility? In: International Journal of Forecasting.
[Full Text][Citation analysis]
article3
2017Realised variance forecasting under Box-Cox transformations In: International Journal of Forecasting.
[Full Text][Citation analysis]
article3
2019Forecasting returns in the VIX futures market In: International Journal of Forecasting.
[Full Text][Citation analysis]
article2
2000SETS, arbitrage activity, and stock price dynamics In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article26
1999SETS, Arbitrage Activity, and Stock Price Dynamics.(1999) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
paper
2002The economic and statistical significance of spread forecasts: Evidence from the London Stock Exchange In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article3
2004Trading intensity, volatility, and arbitrage activity In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article10
2007A note on the importance of overnight information in risk management models In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article19
2014The rise and fall of technical trading rule success In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article27
2016Roll strategy efficiency in commodity futures markets In: Journal of Commodity Markets.
[Full Text][Citation analysis]
article0
2013Testing for contagion: the impact of US structured markets on international financial markets In: Chapters.
[Full Text][Citation analysis]
chapter1
2003Evaluating interval forecasts of high-frequency financial data In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article28
2001Robust Evaluation of Fixed-Event Forecast Rationality. In: Journal of Forecasting.
[Citation analysis]
article9
2008The predictive value of temporally disaggregated volatility: evidence from index futures markets In: Journal of Forecasting.
[Full Text][Citation analysis]
article1
2011Forecast accuracy and effort: The case of US inflation rates In: Journal of Forecasting.
[Full Text][Citation analysis]
article1
2011Estimating private information usage amongst analysts: evidence from UK earnings forecasts In: Journal of Forecasting.
[Full Text][Citation analysis]
article1
2010The Determinants of Future U.S. Monetary Policy: High-Frequency Evidence In: Journal of Money, Credit and Banking.
[Citation analysis]
article12
2010The Determinants of Future U.S. Monetary Policy: High‐Frequency Evidence.(2010) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
article
2014The Economic Value of Volatility Forecasts: A Conditional Approach In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article3
2014Economic forecast quality: information timeliness and data vintage effects In: Empirical Economics.
[Full Text][Citation analysis]
article2
2015Managed portfolio performance and transaction costs In: Applied Economics Letters.
[Full Text][Citation analysis]
article0
2015Realized volatility forecasting in an international context In: Applied Economics Letters.
[Full Text][Citation analysis]
article2
2000US inflation-indexed bonds in the long run: a hypothetical view In: Applied Financial Economics.
[Full Text][Citation analysis]
article2
2010Market and idiosyncratic volatility: high frequency dynamics In: Applied Financial Economics.
[Full Text][Citation analysis]
article1
2011Time-varying price discovery in fragmented markets In: Applied Financial Economics.
[Full Text][Citation analysis]
article10
1998Precious metals and inflation In: Applied Financial Economics.
[Full Text][Citation analysis]
article33
2013A formula for the economic value of return predictability In: The European Journal of Finance.
[Full Text][Citation analysis]
article0
1999A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper5
1998A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests In: Serie Research Memoranda.
[Full Text][Citation analysis]
paper2
2004Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market In: Journal of Futures Markets.
[Full Text][Citation analysis]
article7

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team