Nicholas Taylor

University of Bristol - School of Economics, Finance and Management

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS

410

SSRN CITATIONS

5

CROSSREF CITATIONS

10

Scholarly Papers (7)

1.

Order Flow and Volatility: An Empirical Investigation

Journal of Empirical Finance, Vol. 28, 2014, Tinbergen Institute Discussion Paper No. 2011-077/4
Number of pages: 40 Posted: 23 May 2011 Last Revised: 16 Dec 2016
Vrije Universiteit Amsterdam, University of Bristol - School of Economics, Finance and Management, Erasmus University Rotterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 309 (117,295)
Citation 4

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Information, order flow, macroeconomic announcements, treasury futures

2.

Flight to Safety in Volatility Forecasting

Number of pages: 37 Posted: 30 Jun 2018
Dario Ruzzi and Nicholas Taylor
Bank of Italy and University of Bristol - School of Economics, Finance and Management
Downloads 52 (447,846)

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Flight to Safety, Realized Semi-Covariance, Volatility Forecasting

3.

Competition on the London Stock Exchange

Number of pages: 21 Posted: 13 Feb 2003
Nicholas Taylor
University of Bristol - School of Economics, Finance and Management
Downloads 26 (571,086)
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4.

A New Econometric Model of Index Arbitrage

European Financial Management, Vol. 13, No. 1, pp. 159-183, January 2007
Number of pages: 25 Posted: 08 Jan 2007
Nicholas Taylor
University of Bristol - School of Economics, Finance and Management
Downloads 23 (590,318)
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5.

Risk Control: Who Cares?

European Financial Management, Vol. 23, Issue 1, pp. 153-179, 2017
Number of pages: 27 Posted: 10 Jan 2017
Nicholas Taylor
University of Bristol - School of Economics, Finance and Management
Downloads 0 (774,963)
Citation 1
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risk control, volatility, certainty equivalent return, method of moments

6.

An International Perspective on Risk Management Quality

European Financial Management, Vol. 19, Issue 5, pp. 935-955, 2013
Number of pages: 21 Posted: 11 Oct 2013
Svetlana Mira and Nicholas Taylor
Cardiff University and University of Bristol - School of Economics, Finance and Management
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value at risk, extreme risk, causality

7.

Economic Forecast Quality and Publication Lags

The Manchester School, Vol. 81, Issue 4, pp. 518-549, 2013
Number of pages: 32 Posted: 20 Jun 2013
Nicholas Taylor
University of Bristol - School of Economics, Finance and Management
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