Citation profile for Nick Taylor

Nick Taylor : Citation Profile

University of Bristol

H index

i10 index

418

Citations

RESEARCH PRODUCTION:

Articles

Papers

Chapters

RESEARCH ACTIVITY:

   27 years (1995 - 2022). See details.
   Cites by year: 15
   Journals where Nick Taylor has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 11 (2.56 %)

MORE DETAILS IN:

EconPapers Author's homepage

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta557
   Updated: 2024-01-16    RAS profile: 2023-06-07
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Relations with other researchers

Works with:

van Kervel, Vincent (2)

Park, Andreas (2)

Deev, Oleg (2)

Kassner, Bernhard (2)

Wilhelmsson, Anders (2)

Ait-Sahalia, Yacine (2)

Korajczyk, Robert (2)

Sojli, Elvira (2)

Chernov, Mikhail (2)

Liew, Chee (2)

Söderlind, Paul (2)

Heath, Davidson (2)

Mihet, Roxana (2)

Palan, Stefan (2)

Lopez-Lira, Alejandro (2)

Hjalmarsson, Erik (2)

Bohorquez Correa, Santiago (2)

Theissen, Erik (2)

Walther, Thomas (2)

Gerritsen, Dirk (2)

Brownlees, Christian (2)

Zhou, Chen (2)

Wolff, Christian (2)

Scaillet, Olivier (2)

Stefanova, Denitsa (2)

Caporin, Massimiliano (2)

Xia, Shuo (2)

Ferrara, Gerardo (2)

Vogel, Sebastian (2)

Menkveld, Albert (2)

Abudy, Menachem (2)

Frijns, Bart (2)

Harris, Jeffrey (2)

Talavera, Oleksandr (2)

Dumitrescu, Ariadna (2)

Hautsch, Nikolaus (2)

FERROUHI, EL MEHDI (2)

Nielsson, Ulf (2)

Jalkh, Naji (2)

Hurlin, Christophe (2)

Foucault, Thierry (2)

Vilkov, Grigory (2)

Rakowski, David (2)

He, Xuezhong (Tony) (2)

Pelizzon, Loriana (2)

Putnins, Talis (2)

Regis, Luca (2)

Frömmel, Michael (2)

Holzmeister, Felix (2)

Jurkatis, Simon (2)

Pasquariello, Paolo (2)

Rinne, Kalle (2)

Reitz, Stefan (2)

Dimpfl, Thomas (2)

Alexeev, Vitali (2)

Sarno, Lucio (2)

Verousis, Thanos (2)

Tonks, Ian (2)

Lof, Matthijs (2)

Ranaldo, Angelo (2)

Johannesson, Magnus (2)

Moinas, Sophie (2)

Adrian, Tobias (2)

Pastor, Lubos (2)

Lajaunie, Quentin (2)

Roy, Saurabh (2)

Smales, Lee (2)

LINTON, OLIVER (2)

Patton, Andrew (2)

Horenstein, Alex (2)

CAPELLE-BLANCARD, Gunther (2)

Schwarz, Marco (2)

Bos, Charles (2)

Renault, Thomas (2)

Xiu, Dacheng (2)

Kearney, Fearghal (2)

Bouri, Elie (2)

Dreber, Anna (2)

Colliard, Jean-Edouard (2)

Chow, Nikolai Sheung-Chi (2)

Gorbenko, Arseny (2)

Schenk-Hoppé, Klaus (2)

Füllbrunn, Sascha (2)

Deku, Solomon (2)

Ødegaard, Bernt (2)

PASCUAL, ROBERTO (2)

Davies, Ryan (2)

Schuerhoff, Norman (2)

Wong, Wing-Keung (2)

Prokopczuk, Marcel (2)

Patel, Vinay (2)

Gehrig, Thomas (2)

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 (7)

Nowotarski, Jakub (6)

Oxley, Les (6)

HU, YANG (5)

Knüppel, Malte (5)

Kim, Jae (5)

Hou, Yang (4)

Tsyplakov, Alexander (4)

Smith, Jeremy (4)

Clements, Adam (4)

Cites to:

Bollerslev, Tim (40)

Engle, Robert (39)

Diebold, Francis (38)

Andersen, Torben (23)

Campbell, John (17)

Shephard, Neil (16)

Roll, Richard (13)

Stulz, René (13)

French, Kenneth (13)

Lucas, Andre (13)

Franses, Philip Hans (10)

Main data

Where Nick Taylor has published?

Journals with more than one article published	# docs
Journal of Banking & Finance	5
Journal of Forecasting	4
European Financial Management	4
International Journal of Forecasting	4
International Review of Financial Analysis	2
Journal of Empirical Finance	2
Economics Letters	2
Applied Economics Letters	2
The European Journal of Finance	2
Manchester School	2

Working Papers Series with more than one paper published	# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute	3
Cardiff Economics Working Papers / Cardiff University, Cardiff Business School, Economics Section	2

Recent works citing Nick Taylor (2024 and 2023)

Year	Title of citing document
2023	Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651. Full description at Econpapers \|\| Download paper
2023	Co-Training Realized Volatility Prediction Model with Neural Distributional Transformation. (2023). Tanaka-Ishii, Kumiko ; Moriyama, Kai ; Du, Xin. In: Papers. RePEc:arx:papers:2310.14536. Full description at Econpapers \|\| Download paper
2023	Parameter least-squares estimation for time-inhomogeneous Ornstein–Uhlenbeck process. (2023). Getut, Pramesti. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:29:y:2023:i:1:p:1-32:n:5. Full description at Econpapers \|\| Download paper
2023	Asymmetric volatility spillover between crude oil and other asset markets. (2023). Mazouz, Khelifa ; Guan, BO ; Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/27. Full description at Econpapers \|\| Download paper
2023	On the right jump tail inferred from the VIX market. (2023). Izzeldin, Marwan ; Yao, Xingzhi ; Li, Zhenxiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000236. Full description at Econpapers \|\| Download paper
2023	Domestic macroeconomic determinants of precious metals prices in developed and emerging economies: An international analysis of the long and short run. (2023). O'Connor, Fergal ; Usman, Hafiz Muhammad. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003290. Full description at Econpapers \|\| Download paper
2023	Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561. Full description at Econpapers \|\| Download paper
2023	Air quality index and the Chinese stock market volatility: Evidence from both market and sector indices. (2023). Liang, Chao ; Duc, Toan Luu ; Lu, Xinjie ; Shen, Lihua. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:224-239. Full description at Econpapers \|\| Download paper
2023	Who benefits more? Shanghai-Hong Kong stock Connect—“Through Train”. (2023). Ohk, Ki Yool ; Wu, Ming. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:409-427. Full description at Econpapers \|\| Download paper
2023	Volatility Puzzle: Long Memory or Antipersistency. (2023). Yu, Jun ; Shi, Shuping. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:7:p:3861-3883. Full description at Econpapers \|\| Download paper
2023	Stability versus soundness: what matters for women central bank governors?. (2023). Ghosh, Saibal. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:4:d:10.1007_s10644-023-09514-8. Full description at Econpapers \|\| Download paper
2023	Hedging performance of volatility index futures: a partial cointegration approach. (2023). Sheu, Her-Jiun ; Lien, Donald ; Lee, Hsiu-Chuan. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01153-4. Full description at Econpapers \|\| Download paper
2023	Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Reproducibility, Management Science ; Katok, Elena ; Fiar, Milo. In: OSF Preprints. RePEc:osf:osfxxx:mydzv. Full description at Econpapers \|\| Download paper
2023	Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models. (2023). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:117141. Full description at Econpapers \|\| Download paper
2023	Liquidity and realized covariance forecasting: a hybrid method with model uncertainty. (2023). Li, Weiping ; Ma, Feng ; Cao, Yangli ; Qiao, Gaoxiu. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02248-y. Full description at Econpapers \|\| Download paper
2023	Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Reproducibility, Management Science ; Katok, Elena ; Greiner, Ben ; Fiar, Milo. In: Department for Strategy and Innovation Working Paper Series. RePEc:wiw:wus055:57814527. Full description at Econpapers \|\| Download paper
2023	Option pricing with overnight and intraday volatility. (2023). Du, Lingshan ; Liang, Fang ; Huang, Zhuo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1576-1614. Full description at Econpapers \|\| Download paper
2023	COVID?19 and tail risk contagion across commodity futures markets. (2023). Han, Liyan ; Qiao, Tongshuai. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:242-272. Full description at Econpapers \|\| Download paper

Works by Nick Taylor:

Year	Title	Type	Cited
2012	On the Effects of Private Information on Volatility In: CREATES Research Papers. [Full Text][Citation analysis]	paper	1
2011	On the Effects of Private Information on Volatility.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1	paper
2016	Time-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]	article	4
1995	Comparing the Bias and Misspecification in ARFIMA Models In: Economic Research Papers. [Full Text][Citation analysis]	paper	27
1997	Comparing the bias and misspecification in ARFIMA models.(1997) In: Journal of Time Series Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27	article
1995	Comparing the Bias and Misspecification in Arfima Models.(1995) In: The Warwick Economics Research Paper Series (TWERPS). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27	paper
2022	Local versus foreign analysts forecast accuracy: does herding matter? In: Accounting and Finance. [Full Text][Citation analysis]	article	0
2007	A New Econometric Model of Index Arbitrage In: European Financial Management. [Full Text][Citation analysis]	article	5
2004	A New Econometric Model Of Index Arbitrage.(2004) In: Royal Economic Society Annual Conference 2004. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5	paper
2013	An International Perspective on Risk Management Quality In: European Financial Management. [Full Text][Citation analysis]	article	0
2017	Risk Control: Who Cares? In: European Financial Management. [Full Text][Citation analysis]	article	0
2002	Competition on the London Stock Exchange In: European Financial Management. [Full Text][Citation analysis]	article	8
2001	Time Diversification: Empirical Tests In: Journal of Business Finance & Accounting. [Full Text][Citation analysis]	article	7
2012	THE ECONOMIC SIGNIFICANCE OF CONDITIONING INFORMATION ON PORTFOLIO EFFICIENCY IN THE PRESENCE OF COSTLY SHORT?SELLING In: Journal of Financial Research. [Full Text][Citation analysis]	article	1
1995	Econometric Models of Company Dividends Can Be Used to Identify Underpriced Shares. In: The Manchester School of Economic & Social Studies. [Citation analysis]	article	0
2001	Portfolio diversification and excess comovement in commodity prices In: Manchester School. [Full Text][Citation analysis]	article	2
2013	ECONOMIC FORECAST QUALITY AND PUBLICATION LAGS In: Manchester School. [Full Text][Citation analysis]	article	0
2001	Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis]	article	3
2013	The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data In: Cardiff Economics Working Papers. [Full Text][Citation analysis]	paper	8
2017	The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data.(2017) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8	article
2018	Illiquidity 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]	paper	8
2018	Illiquidity 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 nother version. Agregated cites: 8	article
2002	Autoregressive hidden Markov switching\\models of count data In: Royal Economic Society Annual Conference 2002. [Full Text][Citation analysis]	paper	0
2012	Measuring the economic value of loan advice In: Economics Letters. [Full Text][Citation analysis]	article	1
2012	Testing forecasting model versatility In: Economics Letters. [Full Text][Citation analysis]	article	0
2014	Order flow and volatility: An empirical investigation In: Journal of Empirical Finance. [Full Text][Citation analysis]	article	14
1996	A cross-section test of the present value model In: Journal of Empirical Finance. [Full Text][Citation analysis]	article	8
2017	Timing strategy performance in the crude oil futures market In: Energy Economics. [Full Text][Citation analysis]	article	0
2018	A comparison of static and dynamic portfolio policies In: International Review of Financial Analysis. [Full Text][Citation analysis]	article	0
2015	The determinants of bank risks: Evidence from the recent financial crisis In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis]	article	13
2001	Bootstrapping prediction intervals for autoregressive models In: International Journal of Forecasting. [Full Text][Citation analysis]	article	46
2008	Can idiosyncratic volatility help forecast stock market volatility? In: International Journal of Forecasting. [Full Text][Citation analysis]	article	3
2017	Realised variance forecasting under Box-Cox transformations In: International Journal of Forecasting. [Full Text][Citation analysis]	article	8
2019	Forecasting returns in the VIX futures market In: International Journal of Forecasting. [Full Text][Citation analysis]	article	7
2000	SETS, arbitrage activity, and stock price dynamics In: Journal of Banking & Finance. [Full Text][Citation analysis]	article	32
1999	SETS, Arbitrage Activity, and Stock Price Dynamics.(1999) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32	paper
2002	The economic and statistical significance of spread forecasts: Evidence from the London Stock Exchange In: Journal of Banking & Finance. [Full Text][Citation analysis]	article	3
2004	Trading intensity, volatility, and arbitrage activity In: Journal of Banking & Finance. [Full Text][Citation analysis]	article	10
2007	A note on the importance of overnight information in risk management models In: Journal of Banking & Finance. [Full Text][Citation analysis]	article	25
2014	The rise and fall of technical trading rule success In: Journal of Banking & Finance. [Full Text][Citation analysis]	article	35
2016	Roll strategy efficiency in commodity futures markets In: Journal of Commodity Markets. [Full Text][Citation analysis]	article	0
2013	Testing for contagion: the impact of US structured markets on international financial markets In: Chapters. [Full Text][Citation analysis]	chapter	1
2021	Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis]	paper	4
2021	Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4	paper
2003	Evaluating interval forecasts of high-frequency financial data In: Journal of Applied Econometrics. [Full Text][Citation analysis]	article	30
2001	Robust Evaluation of Fixed-Event Forecast Rationality. In: Journal of Forecasting. [Citation analysis]	article	9
2008	The predictive value of temporally disaggregated volatility: evidence from index futures markets In: Journal of Forecasting. [Full Text][Citation analysis]	article	2
2011	Forecast accuracy and effort: The case of US inflation rates In: Journal of Forecasting. [Full Text][Citation analysis]	article	2
2011	Estimating private information usage amongst analysts: evidence from UK earnings forecasts In: Journal of Forecasting. [Full Text][Citation analysis]	article	1
2010	The Determinants of Future U.S. Monetary Policy: High-Frequency Evidence In: Journal of Money, Credit and Banking. [Citation analysis]	article	12
2010	The 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 nother version. Agregated cites: 12	article
2014	The Economic Value of Volatility Forecasts: A Conditional Approach In: The Journal of Financial Econometrics. [Full Text][Citation analysis]	article	4
2014	Economic forecast quality: information timeliness and data vintage effects In: Empirical Economics. [Full Text][Citation analysis]	article	2
2015	Managed portfolio performance and transaction costs In: Applied Economics Letters. [Full Text][Citation analysis]	article	0
2015	Realized volatility forecasting in an international context In: Applied Economics Letters. [Full Text][Citation analysis]	article	3
2000	US inflation-indexed bonds in the long run: a hypothetical view In: Applied Financial Economics. [Full Text][Citation analysis]	article	2
2010	Market and idiosyncratic volatility: high frequency dynamics In: Applied Financial Economics. [Full Text][Citation analysis]	article	2
2011	Time-varying price discovery in fragmented markets In: Applied Financial Economics. [Full Text][Citation analysis]	article	10
1998	Precious metals and inflation In: Applied Financial Economics. [Full Text][Citation analysis]	article	39
2013	A formula for the economic value of return predictability In: The European Journal of Finance. [Full Text][Citation analysis]	article	0
2022	Hawkes processes in finance: market structure and impact In: The European Journal of Finance. [Full Text][Citation analysis]	article	0
1999	A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis]	paper	6
1998	A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests In: Serie Research Memoranda. [Full Text][Citation analysis]	paper	2
2004	Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market In: Journal of Futures Markets. [Full Text][Citation analysis]	article	8