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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
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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
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Realized volatility forecasting in an international context
Taylor, Nicholas - In: Applied economics letters 22 (2015) 4/6, pp. 503-509
Persistent link: https://www.econbiz.de/10010510802
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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
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The predictive value of temporally disaggregated volatility : evidence from index futures markets
Taylor, Nicholas - In: Journal of forecasting 27 (2008) 8, pp. 721-742
Persistent link: https://www.econbiz.de/10003799956
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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
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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
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Trading intensity, volatility, and arbitrage activity
Taylor, Nicholas - In: Journal of banking & finance 28 (2004) 5, pp. 1137-1162
Persistent link: https://www.econbiz.de/10002006814
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Testing for seasonal patterns in conditional return volatility : evidence from Asia-Pacific markets
Clare, Andrew D. - In: Applied financial economics 7 (1997) 5, pp. 517-523
Persistent link: https://www.econbiz.de/10001229835
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Early exercise, implied volatility spread and future stock return : jumps bind them all
Garrett, Ian; Gazi, Adnan - In: The journal of futures markets 44 (2024) 5, pp. 720-743
Persistent link: https://www.econbiz.de/10014536677