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Precious metals and inflation

Taylor, Nicholas - In: Applied financial economics 8 (1998) 2, pp. 201-210

Persistent link: https://www.econbiz.de/10001244110

Managed portfolio performance and transaction costs

Taylor, Nicholas - In: Applied economics letters 22 (2015) 4/6, pp. 272-280

Persistent link: https://www.econbiz.de/10010506781

The economic value of volatility forecasts : a conditional approach

Taylor, Nicholas - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 433-478

Persistent link: https://www.econbiz.de/10010391951

Time-varying price discovery in fragmented markets

Taylor, Nicholas - In: Applied financial economics 21 (2011) 10/12, pp. 717-734

Persistent link: https://www.econbiz.de/10009231599

Order flow and volatility : an empirical investigation

Opschoor, Anne; Taylor, Nicholas; Wel, Michel van der; … - In: Journal of empirical finance 28 (2014), pp. 185-201

Persistent link: https://www.econbiz.de/10011285068

Portfolio diversification and excess comovement in commodity prices

Garrett, Ian; Taylor, Nicholas - In: The Manchester School 69 (2001) 4, pp. 351-368

Persistent link: https://www.econbiz.de/10001601622

Estimating private information usage amongst analysts : evidence from UK earnings forecasts

Mira, Svetlana; Taylor, Nicholas - In: Journal of forecasting 30 (2011) 8, pp. 679-705

Persistent link: https://www.econbiz.de/10009423367

Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis : an MEM approach

Xu, Yongdeng; Taylor, Nicholas; Lu, Wenna - In: International review of financial analysis 56 (2018), pp. 208-220

Persistent link: https://www.econbiz.de/10012006265

Order Flow and Volatility : An Empirical Investigation

Opschoor, Anne - 2016

We study the relationship between order flow and volatility. To this end we develop a comprehensive framework that simultaneously controls for the effects of macro announcements and order flow on prices and the effect of macro announcements on volatility. Using high-frequency 30-year U.S....

Persistent link: https://www.econbiz.de/10013008625

Portfolio Return Prediction and Risk Price Heterogeneity

Taylor, Nicholas - 2023

A model of portfolio return dynamics is considered in which the price of risk is permitted to be heterogeneous. In doing this, a novel method is proposed that delivers improved out-of-sample forecasts of portfolio returns. The main innovation is the use of a set of predictors that account for...

Persistent link: https://www.econbiz.de/10014350699