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Nick Taylor

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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:
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)
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  1. Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor, 2012. "On the Effects of Private Information on Volatility," CREATES Research Papers 2012-08, School of Economics and Management, University of Aarhus.
  2. Nicholas Taylor, 2004. "A New Econometric Model Of Index Arbitrage," Royal Economic Society Annual Conference 2004 69, Royal Economic Society.
  3. Taylor, Nicholas, 2002. "Autoregressive hidden Markov switching\\models of count data," Royal Economic Society Annual Conference 2002 174, Royal Economic Society.
  4. Boswijk, H. Peter & Lucas, André & Taylor, Nick, 1998. "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda 0062, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  5. 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.
    RePEc:dgr:uvatin:19990012 is not listed on IDEAS
    RePEc:dgr:uvatin:19990003 is not listed on IDEAS
    RePEc:dgr:uvatin:20110077 is not listed on IDEAS
  1. Nicholas Taylor, 2015. "Managed portfolio performance and transaction costs," Applied Economics Letters, Taylor & Francis Journals, vol. 22(4), pages 272-280, March.
  2. Opschoor, Anne & Taylor, Nick & van der Wel, Michel & van Dijk, Dick, 2014. "Order flow and volatility: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 185-201.
  3. Taylor, Nick, 2014. "The rise and fall of technical trading rule success," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 286-302.
  4. Nicholas Taylor, 2014. "Economic forecast quality: information timeliness and data vintage effects," Empirical Economics, Springer, vol. 46(1), pages 145-174, February.
  5. Nicholas Taylor, 2013. "Economic Forecast Quality And Publication Lags," Manchester School, University of Manchester, vol. 81(4), pages 518-549, 07.
  6. Nicholas Taylor, 2013. "A formula for the economic value of return predictability," The European Journal of Finance, Taylor & Francis Journals, vol. 19(1), pages 37-53, January.
  7. Taylor, Nicholas, 2012. "Testing forecasting model versatility," Economics Letters, Elsevier, vol. 117(3), pages 803-806.
  8. Taylor, Nicholas, 2012. "Measuring the economic value of loan advice," Economics Letters, Elsevier, vol. 117(3), pages 615-618.
  9. 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.
  10. Svetlana Mira & Nicholas Taylor, 2011. "Estimating private information usage amongst analysts: evidence from UK earnings forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(8), pages 679-705, December.
  11. Nicholas Taylor, 2011. "Forecast accuracy and effort: The case of US inflation rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(7), pages 644-665, November.
  12. Nicholas Taylor, 2011. "Time-varying price discovery in fragmented markets," Applied Financial Economics, Taylor & Francis Journals, vol. 21(10), pages 717-734.
  13. Nicholas Taylor, 2010. "The Determinants of Future U.S. Monetary Policy: High-Frequency Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2-3), pages 399-420, 03.
  14. Nicholas Taylor, 2010. "Market and idiosyncratic volatility: high frequency dynamics," Applied Financial Economics, Taylor & Francis Journals, vol. 20(9), pages 739-751.
  15. Nicholas Taylor, 2008. "The predictive value of temporally disaggregated volatility: evidence from index futures markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 721-742.
  16. Taylor, Nicholas, 2008. "Can idiosyncratic volatility help forecast stock market volatility?," International Journal of Forecasting, Elsevier, vol. 24(3), pages 462-479.
  17. Taylor, Nicholas, 2007. "A note on the importance of overnight information in risk management models," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 161-180, January.
  18. Nicholas Taylor, 2007. "A New Econometric Model of Index Arbitrage," European Financial Management, European Financial Management Association, vol. 13(1), pages 159-183.
  19. Taylor, Nicholas, 2004. "Trading intensity, volatility, and arbitrage activity," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1137-1162, May.
  20. Michael P. Clements & Nick Taylor, 2003. "Evaluating interval forecasts of high-frequency financial data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 445-456.
  21. Nicholas Taylor, 2002. "Competition on the London Stock Exchange," European Financial Management, European Financial Management Association, vol. 8(4), pages 399-419.
  22. Taylor, Nicholas, 2002. "The economic and statistical significance of spread forecasts: Evidence from the London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 26(4), pages 795-818, April.
  23. Clements, Michael P & Taylor, Nick, 2001. "Robust Evaluation of Fixed-Event Forecast Rationality," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(4), pages 285-95, July.
  24. 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, vol. 5(2), pages 1-22, July.
  25. Clements, Michael P. & Taylor, Nick, 2001. "Bootstrapping prediction intervals for autoregressive models," International Journal of Forecasting, Elsevier, vol. 17(2), pages 247-267.
  26. 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.
  27. Norman Strong & Nicholas Taylor, 2001. "Time Diversification: Empirical Tests," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(3-4), pages 263-302.
  28. Nicholas Taylor, 2000. "US inflation-indexed bonds in the long run: a hypothetical view," Applied Financial Economics, Taylor & Francis Journals, vol. 10(6), pages 667-677.
  29. Taylor, Nick & Dijk, Dick van & Franses, Philip Hans & Lucas, Andre, 2000. "SETS, arbitrage activity, and stock price dynamics," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1289-1306, August.
  30. Nicholas Taylor, 1998. "Precious metals and inflation," Applied Financial Economics, Taylor & Francis Journals, vol. 8(2), pages 201-210.
  31. Bulkley, George & Taylor, Nick, 1996. "A cross-section test of the present value model," Journal of Empirical Finance, Elsevier, vol. 2(4), pages 295-306, February.
  32. 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, vol. 63(0), pages 103-11, Suppl..
5 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 (2) 1999-05-03 2002-07-12. Author is listed
  3. NEP-ETS: Econometric Time Series (3) 1999-05-03 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
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