12
H index
16
i10 index
465
Citations
University of Bristol | 12 H index 16 i10 index 465 Citations RESEARCH PRODUCTION: 51 Articles 14 Papers 1 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Nick Taylor. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Tinbergen Institute Discussion Papers / Tinbergen Institute | 3 |
Cardiff Economics Working Papers / Cardiff University, Cardiff Business School, Economics Section | 2 |
Year | Title of citing document |
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2025 | Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics. (2025). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2401.13890. Full description at Econpapers || Download paper |
2024 | HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco. In: Papers. RePEc:arx:papers:2406.08041. Full description at Econpapers || Download paper |
2024 | A GCN-LSTM Approach for ES-mini and VX Futures Forecasting. (2024). Howison, Sam ; Michael, Nikolas ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2408.05659. Full description at Econpapers || Download paper |
2024 | Model-based and empirical analyses of stochastic fluctuations in economy and finance. (2024). Zadourian, Rubina. In: Papers. RePEc:arx:papers:2408.16010. Full description at Econpapers || Download paper |
2025 | Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767. Full description at Econpapers || Download paper |
2024 | Water risk and financial analysts information environment: Empirical evidence from China. (2024). Zhou, Ziting ; Su, Kun ; Liu, KE ; An, Hui. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:2:p:1265-1304. Full description at Econpapers || Download paper |
2024 | Investors’ Reactions to Alliance‐Engendered Acquisition Ambiguity: Evidence from U.S. Technology Deals. (2024). Phelps, Corey C ; Goossen, Martin C ; Desyllas, Panos. In: Journal of Management Studies. RePEc:bla:jomstd:v:61:y:2024:i:4:p:1618-1653. Full description at Econpapers || Download paper |
2024 | Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24. Full description at Econpapers || Download paper |
2024 | A Vector Multiplicative Error Model with Spillover Effects and Co-movements. (2024). Otranto, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:202404. Full description at Econpapers || Download paper |
2025 | Predicting cryptocurrency volatility: The power of model clustering. (2025). Qu, Shaoguang ; Qiu, Yue ; Xie, Tian ; Shi, Zhentao. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003432. Full description at Econpapers || Download paper |
2024 | Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525. Full description at Econpapers || Download paper |
2024 | Asymmetric volatility spillover between crude oil and other asset markets. (2024). Xu, Yongdeng ; Guan, Bo ; Mazouz, Khelifa. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000136. Full description at Econpapers || Download paper |
2024 | Forecasting of clean energy market volatility: The role of oil and the technology sector. (2024). Lyócsa, Štefan ; Lyocsa, Tefan ; Todorova, Neda. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001592. Full description at Econpapers || Download paper |
2024 | Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets. (2024). Xu, Yongdeng ; Lu, Wenna ; Heravi, Saeed ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004584. Full description at Econpapers || Download paper |
2024 | What drives the uranium sector risk? The role of attention, economic and geopolitical uncertainty. (2024). Todorova, Neda ; Lycsa, Tefan. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006881. Full description at Econpapers || Download paper |
2025 | Modelling time-varying volatility spillovers across crises: Evidence from major commodity futures and the US stock market. (2025). faff, robert ; Yew, Rand Kwong ; Ramesh, Shietal. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000489. Full description at Econpapers || Download paper |
2024 | Non-standard errors in the cryptocurrency world. (2024). Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383. Full description at Econpapers || Download paper |
2024 | Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Li, Dan ; Drovandi, Christopher. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408. Full description at Econpapers || Download paper |
2024 | Forecasting the equity premium with frequency-decomposed technical indicators. (2024). Stein, Tobias. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:6-28. Full description at Econpapers || Download paper |
2025 | Efficiency of poll-based multi-period forecasting systems for German state elections. (2025). Schnurbus, Joachim ; Haupt, Harry ; Fritsch, Markus. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:2:p:670-688. Full description at Econpapers || Download paper |
2024 | Behavioral risk profiling: Measuring loss aversion of individual investors. (2024). van Dolder, Dennie ; Vandenbroucke, Jurgen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002073. Full description at Econpapers || Download paper |
2024 | The role of G7 and BRICS country risks on critical metals: Evidence from time- and frequency-domain approach. (2024). Gao, Wang ; Yang, Shixiong ; Zhang, Hongwei. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723009686. Full description at Econpapers || Download paper |
2024 | Retail investors’ escaping from the bottom and clustering at the top of the trend in China. (2024). Wu, Xiang ; Zhang, Bing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:875-904. Full description at Econpapers || Download paper |
2025 | Volatility forecasting and volatility-timing strategies: A machine learning approach. (2025). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005166. Full description at Econpapers || Download paper |
2024 | Reproducibility in Management Science. (2024). Ozkes, Ali ; Merkle, Christoph ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Fiar, Milo ; Katok, Elena. In: Post-Print. RePEc:hal:journl:hal-04370984. Full description at Econpapers || Download paper |
2024 | Experimenting with Financial Professionals. (2024). Marini, Matteo M. ; Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07. Full description at Econpapers || Download paper |
2025 | The Sources of Researcher Variation in Economics. (2025). Huntington-Klein, Nick ; Gallegos, Sebastian ; Portner, Claus C. In: IZA Discussion Papers. RePEc:iza:izadps:dp17744. Full description at Econpapers || Download paper |
2024 | Forecasting Trading-Session Return Volatility in Taiwan Futures Market: A Periodic Regime Switching with Jump Approach. (2024). Chang, Yu-Ching ; Lai, Yi-Hao ; Wang, Yi-Chiuan. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:2:d:10.1007_s10690-023-09415-w. Full description at Econpapers || Download paper |
2024 | Predicting ETF liquidity. (2024). Pham, Son D ; Visaltanachoti, Nuttawat ; Nguyen, Nhut H ; Marshall, Ben R. In: Australian Journal of Management. RePEc:sae:ausman:v:49:y:2024:i:3:p:478-508. Full description at Econpapers || Download paper |
2025 | The risk–return trade-off of Bitcoin: Evidence from regime-switching analysis. (2025). Tsuji, Chikashi. In: Future Business Journal. RePEc:spr:futbus:v:11:y:2025:i:1:d:10.1186_s43093-025-00551-5. Full description at Econpapers || Download paper |
2025 | Editorial A Tribute to Professor Geoffrey Alan Hawkes (19 September 1938–9 November 2023). (2025). Chen, Jing. In: Journal of Agricultural, Biological and Environmental Statistics. RePEc:spr:jagbes:v:30:y:2025:i:1:d:10.1007_s13253-024-00661-7. Full description at Econpapers || Download paper |
2025 | Self and Mutually Exciting Point Process Embedding Flexible Residuals and Intensity with Discretely Markovian Dynamics. (2025). Lee, Kyungsub. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:2:d:10.1007_s11009-025-10159-5. Full description at Econpapers || Download paper |
2024 | Forecasting EUA futures volatility with geopolitical risk: evidence from GARCH-MIDAS models. (2024). Gao, Qiujin ; Xiao, Ling ; Lu, Hengzhen ; Dhesi, Gurjeet. In: Review of Managerial Science. RePEc:spr:rvmgts:v:18:y:2024:i:7:d:10.1007_s11846-023-00722-0. Full description at Econpapers || Download paper |
2025 | Extended Multivariate EGARCH Model: A Model for Zero‐Return and Negative Spillovers. (2025). Xu, Yongdeng. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1266-1279. Full description at Econpapers || Download paper |
2025 | Trading VIX on Volatility Forecasts: Another Volatility Puzzle?. (2025). Filis, George ; Degiannakis, Stavros ; Delis, Panagiotis ; Giannopoulos, George. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1602-1618. Full description at Econpapers || Download paper |
2024 | Heterogeneity in Effect Size Estimates: Empirical Evidence and Practical Implications. (2024). Johannesson, Magnus ; Holzmeister, Felix ; Dreber, Anna ; Böhm, Robert ; Bohm, Robert ; Kirchler, Michael ; Huber, Jurgen. In: I4R Discussion Paper Series. RePEc:zbw:i4rdps:102. Full description at Econpapers || Download paper |
2025 | The Sources of Researcher Variation in Economics. (2025). Williams, Kevin ; Ward, Zachary ; Tagat, Anirudh ; Szczygielski, Krzysztof ; Spantig, Lisa ; Salamanca, Nicolas ; Samahita, Margaret ; Roy, Jayjit ; Reuter, Anna ; Reimão, Maira ; Rayamajhee, Veeshan ; Pugatch, Todd ; Putman, Daniel ; Pörtner, Claus ; Porcher, Simon ; McCarthy, Ian ; Marcus, Jan ; Long, Dede ; LaFave, Daniel ; Klotzbücher, Valentin ; Kim, Sie Won ; Huntington-Klein, Nick ; Holzmeister, Felix ; Henningsen, Arne ; Henderson, Daniel ; Gay, Victor ; Gallegos, Sebastian ; Gamino, Aaron ; Fumarco, Luca ; Fitzpatrick, Anne ; Feld, Jan ; de Gendre, Alexandra ; Crawfurd, Lee ; Buisson, Florent ; Brehm, Margaret ; Bhai, Moiz ; Bech-Wysocka, Katarzyna ; Berniell, Inés ; Avdeev, Stanislav ; Angenendt, David ; Antón, José Ignacio ; Akbulut-Yuksel, Mevlude ; Deer, Lachlan ; Najam, Rafiuddin ; Wang, Yue ; Prtner, Claus C ; Ropovik, Ivan ; Baker, Bradley J ; Fradkin, Andrey ; Andresen, Martin Eckhoff ; Pitknen, Visa ; Smith, Brock ; Cullinan, John ; Ozer, Gorkem Turgut ; Hill, Andrew J ; Waters, Tom ; Adamkovic, Matus ; Gazeaud, Jules ; Mogge, Lukas ; Bandara, Imesh Nuwan ; Kronenberg, Christoph ; Naumann, Elias ; Sorensen, Lucy C ; Petroulakis, Filippos ; Herns, Ystein ; Weber, Ellerie ; Acharya, Yubraj ; Gayaker, Savas ; Merkus, Erik ; Bansal, Avijit ; Fiala, Nathan ; Klotzbcher, Valentin ; Miller, Klaus M ; Brun, Martn ; Paudel, Jayash ; Herman, Clment ; Weinberg, Stephen E ; Collins, Matthew ; Ahmad, Imtiaz ; Meinzen-Dick, Laura ; Bartram, David ; Feyman, Yevgeniy ; Huysmans, Martijn ; Burli, Pralhad ; Peukert, Christian ; Henry, Junita ; Weissmller, Kristina S ; Clement, Jeffrey ; Adema, Joop ; Gauriot, Romain ; Samudra, Aparna ; Karney, Daniel H ; Camp, Andrew M ; Prakash, Manab ; Westheide, Christian ; Reimao, Maira Emy ; Chen, Weiwei ; Mari, Gabriele ; Sanogo, Vassiki ; Bennett, Christopher Troy ; Farquharson, Christine ; Kameshwara, Kalyan Kumar ; Berha, Andu ; Tastan, Huseyin ; Cerutti, Nicola ; Heller, Blake H ; Arenas, Andreu ; Galrraga, Julio ; Sariyev, Orkhan ; Falken, Grace ; Kaire, Jos ; Agasa, Lameck Ondieki ; Trombetta, Martin ; Harris, Mark N ; Ricks, Michael David ; Antn, Jos-Ignacio ; Schaak, Henning ; Bhattacharya, Shreya ; Fages, Diego Marino ; Jakobsson, Niklas ; Venkatesan, Madhavi ; Goldhaber, Dan ; Rios-Avila, Fernando ; Aslim, Erkmen Giray ; Ligey, Maxime ; Segel, Joel E ; Duquette, Nicolas J ; Jain, Anil K ; Vernet, Antoine ; Girardi, Daniele ; Zahid, Muhammad Umer ; Rodriguez, Abel ; Lee, Ryan ; Wagner, Gary A ; Sievertsen, Hans Henrik ; Bjoerkheim, Markus ; Dorsey-Palmateer, Reid ; Nmadu, Job Nda ; Imtiaz, Saad M ; Volkov, Eden ; Woahid, S M ; Gilpin, Gregory ; Zanoli, Raffaele ; Roeckert, Julian ; Bacher-Hicks, Andrew ; French, Evaewero ; Lang, David ; Smet, Mike ; Bloem, Jeffrey R. In: I4R Discussion Paper Series. RePEc:zbw:i4rdps:209. Full description at Econpapers || Download paper |
2024 | A note on the use of syndicated loan data. (2024). Tonzer, Lena ; Muller, Isabella ; Noth, Felix. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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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 | 2 |
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 | 12 |
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: 12 | 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 | 11 |
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: 11 | 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 | 15 |
2001 | Bootstrapping prediction intervals for autoregressive models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 44 |
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 | 13 |
2019 | Forecasting returns in the VIX futures market In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 8 |
2000 | SETS, arbitrage activity, and stock price dynamics In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 31 |
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: 31 | 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 | 5 |
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 | 26 |
2014 | The rise and fall of technical trading rule success In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 40 |
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 | 5 |
2021 | Non-Standard Errors In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2003 | Evaluating interval forecasts of high-frequency financial data In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 29 |
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 | 3 |
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: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 7 |
2023 | The Determinants of Volatility Timing Performance In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 2 |
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 | 42 |
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 | 3 |
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 | 1 |
2004 | Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 8 |
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