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Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market
Garrett, Ian; Taylor, Nicholas - In: Studies in Nonlinear Dynamics & Econometrics 5 (2007) 2, pp. 1076-1076
We examine the intraday and interday dynamics of both the level of and changes in the FTSE (Financial Times-Stock Exchange) 100 index futures mispricing. Like numerous previous studies we find significant evidence of mean reversion and hence predictability in mispricing changes measured over...
Persistent link: https://www.econbiz.de/10004966123
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Intraday and interday basis dynamics : evidence from the FTSE 100 index futures market
Garrett, Ian (contributor); Taylor, Nicholas (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 5 (2001) 2, pp. 133-152
Persistent link: https://www.econbiz.de/10001769747
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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
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Intraday and interday basis dynamics : evidence from the FTSE 100 index futures market
Garrett, Ian; Taylor, Nicholas - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 5 (2001) 2, pp. 133-152
Persistent link: https://www.econbiz.de/10009949756
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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 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
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Competition on the London Stock Exchange
Taylor, Nicholas - In: European financial management : the journal of the … 8 (2002) 4, pp. 399-419
Persistent link: https://www.econbiz.de/10001861032
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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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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