10
H index
12
i10 index
413
Citations
University of Bristol | 10 H index 12 i10 index 413 Citations RESEARCH PRODUCTION: 50 Articles 13 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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2022 | Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467. Full description at Econpapers || Download paper |
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 |
2022 | Can 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. Full description at Econpapers || Download paper |
2022 | State 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. 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 |
2022 | Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5. Full description at Econpapers || Download paper |
2022 | Gold 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. Full description at Econpapers || Download paper |
2022 | Financial 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. Full description at Econpapers || Download paper |
2022 | Testing 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. Full description at Econpapers || Download paper |
2022 | Co-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. Full description at Econpapers || Download paper |
2022 | Interbank 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. Full description at Econpapers || Download paper |
2022 | Do 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. 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 |
2022 | YOLO 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. Full description at Econpapers || Download paper |
2022 | Risk 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. Full description at Econpapers || Download paper |
2022 | COVID-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. 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 |
2022 | Loaded 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. Full description at Econpapers || Download paper |
2022 | Oil 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2022 | When 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. 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 |
2022 | How 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. Full description at Econpapers || Download paper |
2022 | A 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. Full description at Econpapers || Download paper |
2022 | Methodology 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. Full description at Econpapers || Download paper |
2022 | Investor 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. Full description at Econpapers || Download paper |
2022 | How 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. 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 |
2022 | Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07. 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 | 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 |
2022 | The 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. Full description at Econpapers || Download paper |
2022 | Adaptive 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. 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 |
2022 | Testing 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. Full description at Econpapers || Download paper |
2022 | Can 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2022 | Technical 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. Full description at Econpapers || Download paper |
2022 | Bootstrap 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. Full description at Econpapers || Download paper |
2022 | Evaluating 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. Full description at Econpapers || Download paper |
2022 | Overnight 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. 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 |
2022 | A note on the use of syndicated loan data. (2022). Tonzer, Lena ; Noth, Felix ; Muller, Isabella. 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 another 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 another 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 another 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 another 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 another 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 | 7 |
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 another version. Agregated cites: 7 | 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 another 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 | 24 |
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 | 2 |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | 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 another 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 | 38 |
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 |
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