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Forecasting returns in the VIX futures market

Taylor, Nicholas - In: International journal of forecasting 35 (2019) 4, pp. 1193-1210

Persistent link: https://www.econbiz.de/10012305251

Realised variance forecasting under Box-Cox transformations

Taylor, Nicholas - In: International journal of forecasting 33 (2017) 4, pp. 770-785

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Timing strategy performance in the crude oil futures market

Taylor, Nicholas - In: Energy economics 66 (2017), pp. 480-492

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Risk control : who cares?

Taylor, Nicholas - In: European financial management : the journal of the … 23 (2017) 1, pp. 153-179

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The determinants of volatility timing performance

Taylor, Nicholas - In: Journal of financial econometrics 21 (2023) 4, pp. 1228-1257

Persistent link: https://www.econbiz.de/10014391452

On the Effects of Private Information on Volatility

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

Persistent link: https://www.econbiz.de/10010325972