Nick Taylor : Citation Profile

Are you Nick Taylor?

University of Bristol

10

H index

12

i10 index

413

Citations

RESEARCH PRODUCTION:

50

Articles

13

Papers

1

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: 46.    Total self citations: 11 (2.59 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pta557
   Updated: 2023-11-04    RAS profile: 2023-06-07    
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Relations with other researchers

Works with:

Park, Andreas (2)

Pelizzon, Loriana (2)

Rinne, Kalle (2)

Xia, Shuo (2)

Rakowski, David (2)

Jurkatis, Simon (2)

Zhou, Chen (2)

LINTON, OLIVER (2)

Palan, Stefan (2)

Dumitrescu, Ariadna (2)

Frijns, Bart (2)

Kassner, Bernhard (2)

Tonks, Ian (2)

Mihet, Roxana (2)

Chernov, Mikhail (2)

Colliard, Jean-Edouard (2)

Putnins, Talis (2)

Nielsson, Ulf (2)

Vilkov, Grigory (2)

Hautsch, Nikolaus (2)

He, Xuezhong (Tony) (2)

FERROUHI, EL MEHDI (2)

Foucault, Thierry (2)

Bos, Charles (2)

Renault, Thomas (2)

Xiu, Dacheng (2)

Brownlees, Christian (2)

PASCUAL, ROBERTO (2)

Hurlin, Christophe (2)

Caporin, Massimiliano (2)

van Kervel, Vincent (2)

Ferrara, Gerardo (2)

Pastor, Lubos (2)

Wolff, Christian (2)

Reitz, Stefan (2)

Deev, Oleg (2)

Sarno, Lucio (2)

Dimpfl, Thomas (2)

Holzmeister, Felix (2)

Lajaunie, Quentin (2)

Ranaldo, Angelo (2)

Lof, Matthijs (2)

Liew, Chee (2)

Sojli, Elvira (2)

Verousis, Thanos (2)

Wilhelmsson, Anders (2)

Kearney, Fearghal (2)

Chow, Nikolai Sheung-Chi (2)

Schwarz, Marco (2)

Roy, Saurabh (2)

Frömmel, Michael (2)

Stefanova, Denitsa (2)

Davies, Ryan (2)

Korajczyk, Robert (2)

CAPELLE-BLANCARD, Gunther (2)

Jalkh, Naji (2)

Alexeev, Vitali (2)

Deku, Solomon (2)

Talavera, Oleksandr (2)

Pasquariello, Paolo (2)

Vogel, Sebastian (2)

Johannesson, Magnus (2)

Gehrig, Thomas (2)

Schenk-Hoppé, Klaus (2)

Bouri, Elie (2)

Menkveld, Albert (2)

Scaillet, Olivier (2)

Ait-Sahalia, Yacine (2)

Schuerhoff, Norman (2)

Hjalmarsson, Erik (2)

Adrian, Tobias (2)

Regis, Luca (2)

Patel, Vinay (2)

Dreber, Anna (2)

Walther, Thomas (2)

Harris, Jeffrey (2)

Bohorquez Correa, Santiago (2)

Moinas, Sophie (2)

Theissen, Erik (2)

Ødegaard, Bernt (2)

Xu, Yongdeng (2)

Horenstein, Alex (2)

Patton, Andrew (2)

Smales, Lee (2)

Heath, Davidson (2)

Wong, Wing-Keung (2)

Gorbenko, Arseny (2)

Prokopczuk, Marcel (2)

Lopez-Lira, Alejandro (2)

Gerritsen, Dirk (2)

Abudy, Menachem (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)

Oxley, Les (6)

Nowotarski, Jakub (6)

Knüppel, Malte (5)

Kim, Jae (5)

HU, YANG (5)

O'Connor, Fergal (4)

Clements, Adam (4)

Clements, Michael (4)

Tsyplakov, Alexander (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)

Reinhart, Carmen (10)

Main data

Where Nick Taylor has published?

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

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 (2023 and 2022)

YearTitle of citing document
2022Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2022Can technical indicators predict the Chinese equity risk premium?. (2022). Glabadanidis, Paskalis ; Sun, Mingwei. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:114-142.

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2022State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124.

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2023Parameter 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.

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2022Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5.

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2022Gold and Silver as Safe Havens: A Fractional Integration and Cointegration Analysis. (2022). Caporale, Guglielmo Maria ; Gil-Alana, Luis A. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10084.

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2022Financial contagion drivers during recent global crises. (2022). Perote, Javier ; Cortes, Lina M ; Pineda, Julian. In: Economic Modelling. RePEc:eee:ecmode:v:117:y:2022:i:c:s0264999322003042.

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2022Testing technical trading strategies on Chinas equity ETFs: A skewness perspective. (2022). Jin, Xiaoye. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pa:s1566014121000728.

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2022Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors. (2022). Downing, Gareth ; Semeyutin, Artur. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000503.

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2022Interbank liquidity risk transmission to large emerging markets in crisis periods. (2022). Bouri, Elie ; Hosseini, Seyedmehdi ; Sifat, Imtiaz ; Zarei, Alireza. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001612.

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2022Do capital buffers matter? Evidence from the stocks and flows of nonperforming loans. (2022). Cotugno, Matteo ; Torluccio, Giuseppe ; Perdichizzi, Salvatore ; Cicchiello, Antonella Francesca. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003192.

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2023On 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.

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2022YOLO trading: Riding with the herd during the GameStop episode. (2022). Výrost, Tomáš ; Lyócsa, Štefan ; Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003603.

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2022Risk governance and financial stability: A comparative study of conventional and Islamic banks in the GCC. (2022). Ahmed, Habib ; Raouf, Hajar. In: Global Finance Journal. RePEc:eee:glofin:v:52:y:2022:i:c:s1044028320302994.

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2022COVID-19 pandemic and liquidity commonality. (2022). Suardi, Sandy ; Zhou, Ivy Z ; Xu, Caihong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000579.

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2023Discovering 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.

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2022Loaded for bear: Bitcoin private wallets, exchange reserves and prices. (2022). Baur, Dirk G ; Hoang, Lai T. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:144:y:2022:i:c:s0378426622002023.

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2022Oil price volatility forecasts: What do investors need to know?. (2022). Filis, George ; Degiannakis, Stavros. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s026156062100245x.

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2022The relationship between global stock and precious metals under Covid-19 and happiness perspectives. (2022). Quc, Nguyn Khc ; Vn, LE. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722000836.

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2022When is gold an effective hedge against inflation?. (2022). Chiah, Mardy ; Nguyen, Jeremy ; Valadkhani, Abbas. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004524.

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2023Air 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.

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2023Who 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.

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2022How to calm down the markets? The effects of COVID-19 economic policy responses on financial market uncertainty. (2022). Plihal, Toma ; Deev, Oleg. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531922000010.

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2022A hybrid approach to forecasting futures prices with simultaneous consideration of optimality in ensemble feature selection and advanced artificial intelligence. (2022). Garcia, Noelia ; Alfaro-Cortes, Esteban ; Gamez, Matias ; Ghosh, Indranil ; Chaudhuri, Tamal Datta. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:181:y:2022:i:c:s0040162522002827.

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2022Methodology for Constructing an Experimental Investment Strategy Formed in Crisis Conditions. (2022). Ivanyuk, Vera. In: Economies. RePEc:gam:jecomi:v:10:y:2022:i:12:p:325-:d:1006134.

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2022Investor Perception, Market Reaction, and Post-Issue Performance in Bank Seasoned Equity Offerings. (2022). He, YU ; Krishnan, Cnv. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:7:p:275-:d:845689.

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2022How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective. (2022). Yuferova, Darya ; van Dijk, Mathijs ; Rosch, Dominik ; Roll, Richard ; Bongaerts, Dion. In: Management Science. RePEc:inm:ormnsc:v:68:y:2022:i:4:p:3071-3089.

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2023Volatility 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.

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2022Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07.

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2023Stability 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.

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2023Hedging 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.

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2023Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models. (2023). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:117141.

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2022The effect of short selling on volatility and jumps. (2022). Wee, Marvin ; Treepongkaruna, Sirimon ; Foong, Glenn Kit ; Padungsaksawasdi, Chaiyuth. In: Australian Journal of Management. RePEc:sae:ausman:v:47:y:2022:i:1:p:34-52.

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2022Adaptive Market Hypothesis and Time-varying Contrarian Effect: Evidence From Emerging Stock Markets of South Asia. (2022). Shaharuddin, Shahrin Saaid ; Abd, Mohd Edil ; Munir, Ali Fayyaz. In: SAGE Open. RePEc:sae:sagope:v:12:y:2022:i:1:p:21582440211068490.

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2023Liquidity 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.

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2022Testing for asymmetric non-linear short- and long-run relationships between crypto-currencies and stock markets. (2022). Manzli, Yasmine Snene ; Frikha, Wajdi ; Ghorbel, Achraf. In: Eurasian Economic Review. RePEc:spr:eurase:v:12:y:2022:i:3:d:10.1007_s40822-022-00206-8.

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2022Can news-based economic sentiment predict bubbles in precious metal markets?. (2022). Maghyereh, Aktham ; Abdoh, Hussein. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00341-w.

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2022The consequence of the credit risk on the financial performance in light of COVID-19: Evidence from Islamic versus conventional banks across MEA region. (2022). Soliman, Hebatallah Ahmed ; El-Halaby, Sherif Ismail ; Ahmed, Hussien Mohsen. In: Future Business Journal. RePEc:spr:futbus:v:8:y:2022:i:1:d:10.1186_s43093-022-00122-y.

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2022Technical analysis using Heiken Ashi Stochastic: To catch a trend, use a HASTOC. (2022). Trivedi, Smita Roy. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1836-1847.

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2022Bootstrap VAR forecasts: The effect of model uncertainties. (2022). Fresoli, Diego . In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:279-293.

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2022Evaluating the predictive power of intraday technical trading in Chinas crude oil market. (2022). Jin, Xiaoye. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:7:p:1416-1432.

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2022Overnight returns of industry exchange?traded funds, investor sentiment, and futures market returns. (2022). Lee, Hsiuchuan ; Liao, Tzuhsiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:6:p:1114-1134.

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2023COVID?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.

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2022A note on the use of syndicated loan data. (2022). Tonzer, Lena ; Noth, Felix ; Muller, Isabella. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022.

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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]		paper27
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: 27		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: 27		paper
2022Local versus foreign analysts forecast accuracy: does herding matter? In: Accounting and Finance.
[Full Text][Citation analysis]		article0
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]		article8
2001Time Diversification: Empirical Tests In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]		article7
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]		article2
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]		article3
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.
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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]		paper7
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.
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This paper has another version. Agregated cites: 7		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]		article14
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]		article13
2001Bootstrapping prediction intervals for autoregressive models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article46
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]		article8
2019Forecasting returns in the VIX futures market In: International Journal of Forecasting.
[Full Text][Citation analysis]		article7
2000SETS, arbitrage activity, and stock price dynamics In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article32
1999SETS, Arbitrage Activity, and Stock Price Dynamics.(1999) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32		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]		article24
2014The rise and fall of technical trading rule success In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article35
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
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper2
2021Non-Standard Errors.(2021) In: Working Papers.
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This paper has another version. Agregated cites: 2		paper
2003Evaluating interval forecasts of high-frequency financial data In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article30
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]		article2
2011Forecast accuracy and effort: The case of US inflation rates In: Journal of Forecasting.
[Full Text][Citation analysis]		article2
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.
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2014The Economic Value of Volatility Forecasts: A Conditional Approach In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article4
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]		article3
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]		article2
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]		article38
2013A formula for the economic value of return predictability In: The European Journal of Finance.
[Full Text][Citation analysis]		article0
2022Hawkes processes in finance: market structure and impact 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]		paper6
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]		article8

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