Professor Nick Taylor

Professor Nick Taylor

Professor Nick Taylor
Professor of Financial Economics

2.03, 15-19 Tyndalls Park Road,
The Priory Road Complex, Priory Road, Clifton
(See a map)

Telephone Number (0117) 39 41498

Department of Accounting and Finance

Personal profile

Nick Taylor is Professor of Financial Economics in the Department of Accounting and Finance. He has previously worked at Manchester, Warwick, and Cardiff University.


Nick's research interests lie in the field of financial econometrics, with a particular interest in modeling and forecasting risk. 


  • Derivatives (MSc)
  • Advanced Asset Pricing (PhD)

Fields of interest

Financial Econometrics, Forecasting, Risk Modelling.

Key publications

  1. Taylor, N, 2017, ‘Timing strategy performance in the crude oil futures market’. Energy Economics, vol 66., pp. 480-492
  2. Taylor, N, 2017, ‘Realised variance forecasting under Box-Cox transformations’. International Journal of Forecasting, vol 33., pp. 770-785
  3. Opschoor, A, Taylor, NJ, Wel, Mvd & van Dijk, D, 2014, ‘Order Flow and Volatility: An Empirical Investigation’. Journal of Empirical Finance.
  4. Taylor, NJ, 2014, ‘The Rise and Fall of Technical Trading Rule Success’. Journal of Banking and Finance.

Latest publications

  1. Wang, J & Taylor, N, 2018, ‘A comparison of static and dynamic portfolio policies’. International Review of Financial Analysis, vol 55., pp. 111-127
  2. Xu, Y, Taylor, N & Lu, W, 2018, ‘Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: an MEM approach’. International Review of Financial Analysis, vol 56., pp. 208-220
  3. Taylor, NJ, 2017, ‘Risk Control: Who Cares?’. European Financial Management, vol 23., pp. 153-179
  4. Taylor, NJ, 2016, ‘Roll strategy efficiency in commodity futures markets’. Journal of Commodity Markets, vol 1., pp. 14-34
  5. Bell, A, Brooks, C & Taylor, NJ, 2016, ‘Time-varying Price Discovery in the Eighteenth Century: Empirical Evidence from the London and Amsterdam Stock Markets’. Cliometrica.
  6. Taylor, N & Xu, Y, 2016, ‘The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data’. Quantitative Finance.
  7. Leung, WS, Taylor, NJ & Evans, K, 2015, ‘The Determinants of Bank Risks: Evidence from the Recent Financial Crisis’. Journal of International Financial Markets, Institutions and Money.
  8. Taylor, NJ, 2015, ‘Realized Volatility Forecasting in an International Context’. Applied Economics Letters.
  9. Taylor, NJ, 2015, ‘Managed Portfolio Performance and Transaction Costs’. Applied Economics Letters.
  10. Taylor, NJ, 2014, ‘Economic Forecast Quality: Information Timeliness and Data Vintage Effects’. Empirical Economics.
  11. Taylor, NJ, 2014, ‘The Economic Value of Volatility Forecasts: A Conditional Approach’. Journal of Financial Econometrics.
  12. Taylor, NJ, 2013, ‘A Formula for the Economic Value of Return Predictability’. European Journal of Finance.
  13. Mira, S & Taylor, NJ, 2013, ‘An International Perspective on Risk Management Quality’. European Financial mangement.
  14. Taylor, NJ, 2013, ‘Economic Forecast Quality in the Presence of Publication Lags’. The Manchester School.
  15. Taylor, NJ, 2012, ‘The Economic Significance of Conditioning Information on Portfolio Efficiency in the Presence of Costly Short-Selling’. Journal of Financial Research.
  16. Taylor, NJ, 2012, ‘Testing Forecasting Model Versatility’. Economics Letters.
  17. Taylor, NJ, 2012, ‘Measuring the Economic Value of Loan Advice’. Economics Letters.
  18. Taylor, NJ, 2011, ‘Time-varying Price Discovery in Fragmented Markets’. Applied Financial Economics.
  19. Mira, S & Taylor, NJ, 2011, ‘Estimating Private Information Usage Amongst Analysts: Evidence from UK Earnings Forecasts’. Journal of Forecasting.
  20. Taylor, NJ, 2011, ‘Forecast Accuracy and Effort: The Case of U.S. Inflation Rates’. Journal of Forecasting.
  21. Taylor, NJ, 2010, ‘Market and Idiosyncratic Volatility: High Frequency Dynamics’. Applied Financial Economics.
  22. Taylor, NJ, 2010, ‘The Determinants of Future U.S. Monetary Policy: High Frequency Evidence’. Journal of Money, Credit and Banking.
  23. Taylor, NJ, 2008, ‘Can Idiosyncratic Volatility Help Forecast Market Volatility?’. International Journal of Forecasting.

Full publications list in the University of Bristol publications system

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