Advanced Search
MyIDEAS: Login to follow this author

Nick Taylor

Contents:

This is information that was supplied by Nick Taylor in registering through RePEc. If you are Nick Taylor , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Nick
Middle Name:
Last Name: Taylor
Suffix:

RePEc Short-ID: pta557

Email:
Homepage: http://www.bristol.ac.uk/efm/people/nick-j-taylor/index.html
Postal Address: Office 3E3 The Priory Road Complex, Priory Road, Clifton BS8 1TU
Phone:

Affiliation

School of Economics, Finance and Management
University of Bristol
Location: Bristol, United Kingdom
Homepage: http://www.efm.bris.ac.uk/
Email:
Phone: 0117 928 8415
Fax: 0117 928 8577
Postal: 8 Woodland Road, Bristol, BS8 1TN
Handle: RePEc:edi:debriuk (more details at EDIRC)

Works

as in new window

Working papers

  1. Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor, 2011. "On the Effects of Private Information on Volatility," Tinbergen Institute Discussion Papers 11-077/4, Tinbergen Institute.
  2. Nicholas Taylor, 2004. "A New Econometric Model Of Index Arbitrage," Royal Economic Society Annual Conference 2004, Royal Economic Society 69, Royal Economic Society.
  3. Taylor, Nicholas, 2002. "Autoregressive hidden Markov switching\\models of count data," Royal Economic Society Annual Conference 2002, Royal Economic Society 174, Royal Economic Society.
  4. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute.
  5. Nick Taylor & Dick van Dijk & Philip Hans Franses & André Lucas, 1999. "SETS, Arbitrage Activity, and Stock Price Dynamics," Tinbergen Institute Discussion Papers 99-003/4, Tinbergen Institute.
  6. Boswijk, H. Peter & Lucas, Andr‚ & Taylor, Nick, 1998. "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics 0062, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  7. Smith, Jeremy & Taylor, Nick & Yadav, Sanjay, 1995. "Comparing the Bias and Misspecification in Arfima Models," The Warwick Economics Research Paper Series (TWERPS) 442, University of Warwick, Department of Economics.

Articles

  1. Taylor, Nick, 2014. "The rise and fall of technical trading rule success," Journal of Banking & Finance, Elsevier, Elsevier, vol. 40(C), pages 286-302.
  2. Nicholas Taylor, 2014. "Economic forecast quality: information timeliness and data vintage effects," Empirical Economics, Springer, Springer, vol. 46(1), pages 145-174, February.
  3. Nicholas Taylor, 2013. "Economic Forecast Quality And Publication Lags," Manchester School, University of Manchester, vol. 81(4), pages 518-549, 07.
  4. Nicholas Taylor, 2013. "A formula for the economic value of return predictability," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 19(1), pages 37-53, January.
  5. Taylor, Nicholas, 2012. "Testing forecasting model versatility," Economics Letters, Elsevier, Elsevier, vol. 117(3), pages 803-806.
  6. Nicholas Taylor, 2012. "The Economic Significance Of Conditioning Information On Portfolio Efficiency In The Presence Of Costly Short‐Selling," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 35(1), pages 115-135, 03.
  7. Taylor, Nicholas, 2012. "Measuring the economic value of loan advice," Economics Letters, Elsevier, Elsevier, vol. 117(3), pages 615-618.
  8. Svetlana Mira & Nicholas Taylor, 2011. "Estimating private information usage amongst analysts: evidence from UK earnings forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 30(8), pages 679-705, December.
  9. Nicholas Taylor, 2011. "Time-varying price discovery in fragmented markets," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 21(10), pages 717-734.
  10. Nicholas Taylor, 2011. "Forecast accuracy and effort: The case of US inflation rates," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 30(7), pages 644-665, November.
  11. Nicholas Taylor, 2010. "The Determinants of Future U.S. Monetary Policy: High-Frequency Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 42(2-3), pages 399-420, 03.
  12. Nicholas Taylor, 2010. "Market and idiosyncratic volatility: high frequency dynamics," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 20(9), pages 739-751.
  13. Taylor, Nicholas, 2008. "Can idiosyncratic volatility help forecast stock market volatility?," International Journal of Forecasting, Elsevier, Elsevier, vol. 24(3), pages 462-479.
  14. Nicholas Taylor, 2008. "The predictive value of temporally disaggregated volatility: evidence from index futures markets," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 27(8), pages 721-742.
  15. Nicholas Taylor, 2007. "A New Econometric Model of Index Arbitrage," European Financial Management, European Financial Management Association, European Financial Management Association, vol. 13(1), pages 159-183.
  16. Taylor, Nicholas, 2007. "A note on the importance of overnight information in risk management models," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(1), pages 161-180, January.
  17. Taylor, Nicholas, 2004. "Trading intensity, volatility, and arbitrage activity," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(5), pages 1137-1162, May.
  18. Michael P. Clements & Nick Taylor, 2003. "Evaluating interval forecasts of high-frequency financial data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 18(4), pages 445-456.
  19. Taylor, Nicholas, 2002. "The economic and statistical significance of spread forecasts: Evidence from the London Stock Exchange," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(4), pages 795-818, April.
  20. Nicholas Taylor, 2002. "Competition on the London Stock Exchange," European Financial Management, European Financial Management Association, European Financial Management Association, vol. 8(4), pages 399-419.
  21. Clements, Michael P. & Taylor, Nick, 2001. "Bootstrapping prediction intervals for autoregressive models," International Journal of Forecasting, Elsevier, Elsevier, vol. 17(2), pages 247-267.
  22. Garrett, Ian & Taylor, Nick, 2001. "Portfolio Diversification and Excess Comovement in Commodity Prices," Manchester School, University of Manchester, vol. 69(4), pages 351-68, September.
  23. Garrett Ian & Taylor Nicholas, 2001. "Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 5(2), pages 1-22, July.
  24. Norman Strong & Nicholas Taylor, 2001. "Time Diversification: Empirical Tests," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 28(3-4), pages 263-302.
  25. Clements, Michael P & Taylor, Nick, 2001. "Robust Evaluation of Fixed-Event Forecast Rationality," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 20(4), pages 285-95, July.
  26. Taylor, Nick & Dijk, Dick van & Franses, Philip Hans & Lucas, Andre, 2000. "SETS, arbitrage activity, and stock price dynamics," Journal of Banking & Finance, Elsevier, Elsevier, vol. 24(8), pages 1289-1306, August.
  27. Nicholas Taylor, 2000. "US inflation-indexed bonds in the long run: a hypothetical view," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(6), pages 667-677.
  28. Nicholas Taylor, 1998. "Precious metals and inflation," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(2), pages 201-210.
  29. Bulkley, George & Taylor, Nick, 1996. "A cross-section test of the present value model," Journal of Empirical Finance, Elsevier, Elsevier, vol. 2(4), pages 295-306, February.
  30. Bulkley, George & Taylor, Nick, 1995. "Econometric Models of Company Dividends Can Be Used to Identify Underpriced Shares," The Manchester School of Economic & Social Studies, University of Manchester, University of Manchester, vol. 63(0), pages 103-11, Suppl..

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CTA: Contract Theory & Applications (1) 2012-03-14
  2. NEP-ECM: Econometrics (3) 1999-05-03 2002-03-27 2002-07-12. Author is listed
  3. NEP-ETS: Econometric Time Series (4) 1999-05-03 2002-03-14 2002-07-08 2004-08-23. Author is listed
  4. NEP-FIN: Finance (2) 1999-05-03 2004-08-23. Author is listed
  5. NEP-FMK: Financial Markets (1) 2004-08-23
  6. NEP-ICT: Information & Communication Technologies (1) 2012-03-14
  7. NEP-MST: Market Microstructure (1) 2012-03-14

Statistics

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages, Weighted by Number of Authors

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Nick Taylor should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.