The rise and fall of technical trading rule success N Taylor Journal of Banking & Finance 40, 286-302, 2014 | 125 | 2014 |
SETS, arbitrage activity, and stock price dynamics N Taylor, D Van Dijk, PH Franses, A Lucas Journal of Banking & Finance 24 (8), 1289-1306, 2000 | 98 | 2000 |
Bootstrapping prediction intervals for autoregressive models MP Clements, N Taylor International Journal of Forecasting 17 (2), 247-267, 2001 | 92 | 2001 |
Precious metals and inflation NJ Taylor Applied Financial Economics 8 (2), 201-210, 1998 | 92 | 1998 |
Comparing the bias and misspecification in ARFIMA models J Smith, N Taylor, S Yadav Journal of Time Series Analysis 18 (5), 507-527, 1997 | 91 | 1997 |
Evaluating interval forecasts of high‐frequency financial data MP Clements, N Taylor Journal of Applied Econometrics 18 (4), 445-456, 2003 | 88* | 2003 |
A note on the importance of overnight information in risk management models N Taylor Journal of Banking & Finance 31 (1), 161-180, 2007 | 77 | 2007 |
The determinants of bank risks: Evidence from the recent financial crisis WS Leung, N Taylor, KP Evans Journal of International Financial Markets, Institutions and Money 34, 277-293, 2015 | 66 | 2015 |
Nonstandard errors AJ Menkveld, A Dreber, F Holzmeister, J Huber, M Johannesson, ... The Journal of Finance 79 (3), 2339-2390, 2024 | 63 | 2024 |
Trading intensity, volatility, and arbitrage activity N Taylor Journal of Banking & Finance 28 (5), 1137-1162, 2004 | 49 | 2004 |
Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market N Taylor Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2004 | 41 | 2004 |
Time diversification: empirical tests N Strong, N Taylor Journal of Business Finance & Accounting 28 (3‐4), 263-302, 2001 | 41 | 2001 |
Intraday and interday basis dynamics: Evidence from the FTSE 100 index futures market I Garrett, N Taylor Studies in Nonlinear Dynamics and Econometrics 5 (2), 133-152, 2001 | 40 | 2001 |
Realised variance forecasting under Box-Cox transformations N Taylor International Journal of Forecasting 33 (4), 770-785, 2017 | 36 | 2017 |
Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach Y Xu, N Taylor, W Lu International Review of Financial Analysis 56, 208-220, 2018 | 29 | 2018 |
Order flow and volatility: An empirical investigation A Opschoor, N Taylor, M van der Wel, D van Dijk Journal of Empirical Finance 28, 185-201, 2014 | 28 | 2014 |
A new econometric model of index arbitrage N Taylor European Financial Management 13 (1), 159-183, 2007 | 25 | 2007 |
Robust evaluation of fixed‐event forecast rationality MP Clements, N Taylor Journal of Forecasting 20 (4), 285-295, 2001 | 25 | 2001 |
Time-varying price discovery in fragmented markets N Taylor Applied Financial Economics 21 (10), 717-734, 2011 | 24 | 2011 |
The determinants of future US monetary policy: high‐frequency evidence N Taylor Journal of Money, credit and Banking 42 (2‐3), 399-420, 2010 | 24 | 2010 |