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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

Persistent link: https://www.econbiz.de/10009380002

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

Testing forecasting model versatility

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

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

Modeling discontinuous periodic conditional volatility : evidence from the commodity futures market

Taylor, Nicholas - In: The journal of futures markets 24 (2004) 9, pp. 805-834

Persistent link: https://www.econbiz.de/10002145942

A note on the importance of overnight information in risk management models

Taylor, Nicholas - In: Journal of banking & finance 31 (2007) 1, pp. 161-180

Persistent link: https://www.econbiz.de/10003403190

Winter blues and time variation in the price of risk

Garrett, Ian; Kamstra, Mark; Kramer, Lisa - 2004

Previous research has documented robust links between seasonal variation in length of day, seasonal depression (known as seasonal affective disorder, or SAD), risk aversion, and stock market returns. The influence of SAD on market returns, known as the SAD effect, is large. The authors study the...

Persistent link: https://www.econbiz.de/10010397599

Winter blues and time variation in the price of risk

Garrett, Ian; Kamstra, Mark J.; Kramer, Lisa A. - In: Journal of empirical finance 12 (2005) 2, pp. 291-316

Persistent link: https://www.econbiz.de/10002685123