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Nick Taylor

Personal Details

First Name:Nick
Middle Name:
Last Name:Taylor
Suffix:
RePEc Short-ID:pta557
[This author has chosen not to make the email address public]
http://www.bristol.ac.uk/efm/people/nick-j-taylor/index.html
Office 2.03 15-19 Tyndalls Park Road Clifton Bristol BS8 1TU

Affiliation

School of Economics
University of Bristol

Bristol, United Kingdom
http://www.bris.ac.uk/economics/
RePEc:edi:debriuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
    • Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
    • Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024. "Nonstandard Errors," Post-Print hal-04676112, HAL.
    • Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  2. Xu, Yongdeng & Taylor, Nick & Lu, Wenna, 2018. "Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach," Cardiff Economics Working Papers E2018/6, Cardiff University, Cardiff Business School, Economics Section.
  3. Taylor, Nick & Xu, Yongdeng, 2013. "The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data," Cardiff Economics Working Papers E2013/7, Cardiff University, Cardiff Business School, Economics Section.
  4. 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, Department of Economics and Business Economics, Aarhus University.
  5. Nicholas Taylor, 2004. "A New Econometric Model Of Index Arbitrage," Royal Economic Society Annual Conference 2004 69, Royal Economic Society.
  6. Taylor, Nicholas, 2002. "Autoregressive hidden Markov switching\\models of count data," Royal Economic Society Annual Conference 2002 174, Royal Economic Society.
  7. 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.
  8. 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.
  9. 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.
  10. Smith, Jeremy & Taylor, Nick & Yadav, Sanjay, 1995. "Comparing the Bias and Misspecification in ARFIMA Models," Economic Research Papers 268691, University of Warwick - Department of Economics.

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Articles

  1. Nick Taylor, 2023. "The Determinants of Volatility Timing Performance," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1228-1257.
  2. Young‐Soo Choi & Svetlana Mira & Nicholas Taylor, 2022. "Local versus foreign analysts' forecast accuracy: does herding matter?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(S1), pages 1143-1188, April.
  3. Jing Chen & Nick Taylor & Steve Yang & Qian Han, 2022. "Hawkes processes in finance: market structure and impact," The European Journal of Finance, Taylor & Francis Journals, vol. 28(7), pages 621-626, May.
  4. Taylor, Nick, 2019. "Forecasting returns in the VIX futures market," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1193-1210.
  5. Xu, Yongdeng & Taylor, Nick & 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, Elsevier, vol. 56(C), pages 208-220.
  6. Wang, Jianshen & Taylor, Nick, 2018. "A comparison of static and dynamic portfolio policies," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 111-127.
  7. Taylor, Nick, 2017. "Timing strategy performance in the crude oil futures market," Energy Economics, Elsevier, vol. 66(C), pages 480-492.
  8. Taylor, Nick, 2017. "Realised variance forecasting under Box-Cox transformations," International Journal of Forecasting, Elsevier, vol. 33(4), pages 770-785.
  9. N. Taylor & Y. Xu, 2017. "The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1021-1035, July.
  10. Nick Taylor, 2017. "Risk Control: Who Cares?," European Financial Management, European Financial Management Association, vol. 23(1), pages 153-179, January.
  11. Taylor, Nick, 2016. "Roll strategy efficiency in commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 1(1), pages 14-34.
  12. Adrian R. Bell & Chris Brooks & Nick Taylor, 2016. "Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 10(1), pages 5-30, january.
  13. Nicholas Taylor, 2015. "Realized volatility forecasting in an international context," Applied Economics Letters, Taylor & Francis Journals, vol. 22(6), pages 503-509, April.
  14. Nicholas Taylor, 2015. "Managed portfolio performance and transaction costs," Applied Economics Letters, Taylor & Francis Journals, vol. 22(4), pages 272-280, March.
  15. Leung, W.S. & Taylor, N. & Evans, K.P., 2015. "The determinants of bank risks: Evidence from the recent financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 277-293.
  16. Nicholas Taylor, 2014. "The Economic Value of Volatility Forecasts: A Conditional Approach," Journal of Financial Econometrics, Oxford University Press, vol. 12(3), pages 433-478.
  17. Taylor, Nick, 2014. "The rise and fall of technical trading rule success," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 286-302.
  18. Nicholas Taylor, 2014. "Economic forecast quality: information timeliness and data vintage effects," Empirical Economics, Springer, vol. 46(1), pages 145-174, February.
  19. 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.
  20. Svetlana Mira & Nicholas Taylor, 2013. "An International Perspective on Risk Management Quality," European Financial Management, European Financial Management Association, vol. 19(5), pages 935-955, November.
  21. Nicholas Taylor, 2013. "Economic Forecast Quality And Publication Lags," Manchester School, University of Manchester, vol. 81(4), pages 518-549, July.
  22. 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.
  23. 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, March.
  24. Taylor, Nicholas, 2012. "Testing forecasting model versatility," Economics Letters, Elsevier, vol. 117(3), pages 803-806.
  25. Taylor, Nicholas, 2012. "Measuring the economic value of loan advice," Economics Letters, Elsevier, vol. 117(3), pages 615-618.
  26. 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.
  27. 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.
  28. 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, March.
  29. Taylor, Nicholas, 2008. "Can idiosyncratic volatility help forecast stock market volatility?," International Journal of Forecasting, Elsevier, vol. 24(3), pages 462-479.
  30. 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.
  31. Nicholas Taylor, 2007. "A New Econometric Model of Index Arbitrage," European Financial Management, European Financial Management Association, vol. 13(1), pages 159-183, January.
  32. 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.
  33. Nicholas Taylor, 2004. "Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(9), pages 805-834, September.
  34. Taylor, Nicholas, 2004. "Trading intensity, volatility, and arbitrage activity," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1137-1162, May.
  35. 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.
  36. Nicholas Taylor, 2002. "Competition on the London Stock Exchange," European Financial Management, European Financial Management Association, vol. 8(4), pages 399-419, December.
  37. 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.
  38. Clements, Michael P & Taylor, Nick, 2001. "Robust Evaluation of Fixed-Event Forecast Rationality," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(4), pages 285-295, July.
  39. 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.
  40. Clements, Michael P. & Taylor, Nick, 2001. "Bootstrapping prediction intervals for autoregressive models," International Journal of Forecasting, Elsevier, vol. 17(2), pages 247-267.
  41. Ian Garrett & Nick Taylor, 2001. "Portfolio diversification and excess comovement in commodity prices," Manchester School, University of Manchester, vol. 69(4), pages 351-368, September.
  42. Norman Strong & Nicholas Taylor, 2001. "Time Diversification: Empirical Tests," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(3‐4), pages 263-302, April.
  43. 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.
  44. Jeremy Smith & Nick Taylor & Sanjay Yadav, 1997. "Comparing the bias and misspecification in ARFIMA models," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(5), pages 507-527, September.
  45. 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.
  46. 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 103-111, Suppl..
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Chapters

  1. Woon Sau Leung & Nicholas Taylor, 2013. "Testing for contagion: the impact of US structured markets on international financial markets," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 11, pages 256-284, Edward Elgar Publishing.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages
  2. Number of Journal Pages, Weighted by Number of Authors
  3. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  4. Closeness measure in co-authorship network
  5. Betweenness measure in co-authorship network

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (4) 1999-05-03 2002-03-27 2002-07-12 2013-05-05
  2. NEP-ETS: Econometric Time Series (4) 1999-05-03 2002-07-08 2004-08-23 2013-05-05
  3. NEP-MST: Market Microstructure (3) 2012-03-14 2013-05-05 2017-04-02
  4. NEP-FIN: Finance (2) 1999-05-03 2004-08-23
  5. NEP-CTA: Contract Theory and Applications (1) 2012-03-14
  6. NEP-ENE: Energy Economics (1) 2017-04-02
  7. NEP-EXP: Experimental Economics (1) 2021-12-06
  8. NEP-FMK: Financial Markets (1) 2004-08-23
  9. NEP-FOR: Forecasting (1) 2016-07-09
  10. NEP-ICT: Information and Communication Technologies (1) 2012-03-14
  11. NEP-INT: International Trade (1) 2013-05-05
  12. NEP-ORE: Operations Research (1) 2017-04-02

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