ORCA
Online Research @ CardiffÂ
Browse by Current Cardiff authors
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Up a levelNumber of items: 22.
Xu, Yongdeng  ORCID: https://orcid.org/0000-0001-8275-1585, Taylor, Nick and Lu, Wenna
2018.
Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach.
International Review of Financial Analysis
56
, pp. 208-220.
10.1016/j.irfa.2018.01.011
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| Taylor, Nick James 2014. The economic value of volatility forecasts: a conditional approach. Journal of Financial Econometrics 12 (3) , pp. 433-478. 10.1093/jjfinec/nbt021 |
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| Taylor, Nick James 2014. Economic forecast quality: information timeliness and data vintage effects. Empirical Economics 46 (1) , pp. 145-174. 10.1007/s00181-012-0672-3 |
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| Taylor, Nick James 2013. Economic Forecast Quality and Publication Lags. The Manchester School 81 (4) , pp. 518-549. 10.1111/j.1467-9957.2012.02298.x |
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Mira, Svetlana ORCID: https://orcid.org/0000-0001-7321-4104 and Taylor, Nick James
2013.
An international perspective on risk management quality.
European Financial Management
19
(5)
, pp. 935-955.
10.1111/j.1468-036X.2011.00611.x
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| Taylor, Nick James 2013. A formula for the economic value of return predictability. The European Journal of Finance 19 (1) , pp. 37-53. 10.1080/1351847X.2011.640340 |
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| Taylor, Nick James 2012. Testing forecasting model versatility. Economics Letters 117 (3) , pp. 803-806. 10.1016/j.econlet.2012.08.044 |
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| Taylor, Nick James 2012. Measuring the economic value of loan advice. Economics Letters 117 (3) , pp. 615-618. 10.1016/j.econlet.2012.08.006 |
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| Taylor, Nick James 2012. The economic significance of conditioning information on portfolio efficiency in the presence of costly short-selling. Journal of Financial Research 35 (1) , pp. 115-135. 10.1111/j.1475-6803.2011.01311.x |
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Mira, Svetlana ORCID: https://orcid.org/0000-0001-7321-4104 and Taylor, Nick James
2011.
Estimating private information usage amongst analysts: evidence from UK earnings forecasts.
Journal of Forecasting
30
(8)
, pp. 679-705.
10.1002/for.1189
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| Taylor, Nick James 2011. Time-varying price discovery in fragmented markets. Applied Financial Economics 21 (10) , pp. 717-734. 10.1080/09603107.2010.535784 |
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| Taylor, Nick James 2011. Forecast accuracy and effort: the case of US inflation rates. Journal of Forecasting 30 (7) , pp. 644-665. 10.1002/for.1199 |
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| Taylor, Nick James 2010. The determinants of future U.S. monetary policy: high-frequency evidence. Journal of Money, Credit and Banking 42 (2-3) , pp. 399-420. 10.1111/j.1538-4616.2009.00292.x |
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| Taylor, Nick James 2010. Market and idiosyncratic volatility: high frequency dynamics. Applied Financial Economics 20 (9) , pp. 739-751. 10.1080/09603100903459923 |
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| Taylor, Nick James 2008. The predictive value of temporally disaggregated volatility: evidence from index futures markets. Journal of Forecasting 27 (8) , pp. 721-742. 10.1002/for.1098 |
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| Taylor, Nick James 2008. Can idiosyncratic volatility help forecast stock market volatility? International Journal of Forecasting 24 (3) , pp. 462-479. 10.1016/j.ijforecast.2008.06.001 |
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| Taylor, Nick James 2007. A note on the importance of overnight information in risk management models. Journal of Banking & Finance 31 (1) , pp. 161-180. 10.1016/j.jbankfin.2006.01.004 |
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| Taylor, Nick James 2007. A New Econometric Model of Index Arbitrage. European Financial Management 13 (1) , pp. 159-183. 10.1111/j.1468-036X.2006.00289.x |
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| Taylor, Nick James 2004. Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market. Journal of Futures Markets 24 (9) , pp. 805-834. 10.1002/fut.20114 |
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| Taylor, Nick James 2004. Trading intensity, volatility, and arbitrage activity. Journal of Banking & Finance 28 (5) , pp. 1137-1162. 10.1016/S0378-4266(03)00116-X |
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| Clements, Michael P. and Taylor, Nick James 2003. Evaluating interval forecasts of high-frequency financial data. Journal of Applied Econometrics 18 (4) , pp. 445-456. 10.1002/jae.703 |
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| Taylor, Nick James 2002. The economic and statistical significance of spread forecasts: Evidence from the London Stock Exchange. Journal of Banking & Finance 26 (4) , pp. 795-818. 10.1016/S0378-4266(01)00173-X |
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