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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 economic significance of conditioning information on portfolio efficiency in the presence of costly short-selling

Taylor, Nicholas - In: The journal of financial research 35 (2012) 1, pp. 115-135

Persistent link: https://www.econbiz.de/10009531303

A formula for the economic value of return predictability

Taylor, Nicholas - In: The European journal of finance 19 (2013) 1/2, pp. 37-53

Persistent link: https://www.econbiz.de/10009733303

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

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

Testing forecasting model versatility

Taylor, Nicholas - In: Economics letters 117 (2012) 3, pp. 803-806

Persistent link: https://www.econbiz.de/10009682678

The economic and statistical significance of spread forecasts : evidence from the London Stock Exchange

Taylor, Nicholas - In: Journal of banking & finance 26 (2002) 4, pp. 795-818

Persistent link: https://www.econbiz.de/10001656950

SETS, arbitrage activity, and stock price dynamics

Taylor, Nicholas; Dijk, Dick van; Franses, Philip Hans; … - 1999

This paper provides an empirical description of the relationshipbetween the trading system operated by a stockexchange and the transaction costs faced by heterogeneous investors who use the exchange. Therecent introduction ofSETS in the London Stock Exchange provides an excellent opportunity...

Persistent link: https://www.econbiz.de/10011300557

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