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Can idiosyncratic volatility help forecast stock market volatility?

Taylor, Nicholas - In: International journal of forecasting 24 (2008) 3, pp. 462-479

Persistent link: https://www.econbiz.de/10003764116

The determinants of future US monetary policy : high-frequency evidence

Taylor, Nicholas - In: Journal of money, credit and banking : JMCB 42 (2010) 2/3, pp. 399-420

Persistent link: https://www.econbiz.de/10003962343

Market and idiosyncratic volatility : high frequency dynamics

Taylor, Nicholas - In: Applied financial economics 20 (2010) 7/9, pp. 739-751

Persistent link: https://www.econbiz.de/10009009310

Forecast accuracy and effort : the case of US inflation rates

Taylor, Nicholas - In: Journal of forecasting 30 (2011) 7, pp. 644-665

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Economic forecast quality and publication lags

Taylor, Nicholas - In: The Manchester School 81 (2013) 4, pp. 518-549

Persistent link: https://www.econbiz.de/10009783954

On the effects of private information on volatility

Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - 2011

We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and private information on prices and the effects of...