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. Taylor, N, 2019, ‘Forecasting returns in the VIX futures market’. International Journal of Forecasting, vol 35., pp. 1193-1210
  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. Wang, J & Taylor, N, 2018, ‘A comparison of static and dynamic portfolio policies’. International Review of Financial Analysis, vol 55., pp. 111-127
  4. Taylor, NJ, 2017, ‘Risk Control: Who Cares?’. European Financial Management, vol 23., pp. 153-179
  5. Taylor, N & Xu, Y, 2016, ‘The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data’. Quantitative Finance.
  6. 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.
  7. Taylor, NJ, 2016, ‘Roll strategy efficiency in commodity futures markets’. Journal of Commodity Markets, vol 1., pp. 14-34
  8. 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.
  9. Taylor, NJ, 2015, ‘Managed Portfolio Performance and Transaction Costs’. Applied Economics Letters.
  10. Taylor, NJ, 2015, ‘Realized Volatility Forecasting in an International Context’. Applied Economics Letters.
  11. Taylor, NJ, 2014, ‘Economic Forecast Quality: Information Timeliness and Data Vintage Effects’. Empirical Economics.
  12. Taylor, NJ, 2014, ‘The Economic Value of Volatility Forecasts: A Conditional Approach’. Journal of Financial Econometrics.
  13. Taylor, NJ, 2013, ‘A Formula for the Economic Value of Return Predictability’. European Journal of Finance.
  14. Taylor, NJ, 2013, ‘Economic Forecast Quality in the Presence of Publication Lags’. The Manchester School.
  15. Mira, S & Taylor, NJ, 2013, ‘An International Perspective on Risk Management Quality’. European Financial Management.
  16. Taylor, NJ, 2012, ‘The Economic Significance of Conditioning Information on Portfolio Efficiency in the Presence of Costly Short-Selling’. Journal of Financial Research.
  17. Taylor, NJ, 2012, ‘Testing Forecasting Model Versatility’. Economics Letters.
  18. Taylor, NJ, 2012, ‘Measuring the Economic Value of Loan Advice’. Economics Letters.
  19. Taylor, NJ, 2011, ‘Time-varying Price Discovery in Fragmented Markets’. Applied Financial Economics.
  20. Taylor, NJ, 2011, ‘Forecast Accuracy and Effort: The Case of U.S. Inflation Rates’. Journal of Forecasting.
  21. Mira, S & Taylor, NJ, 2011, ‘Estimating Private Information Usage Amongst Analysts: Evidence from UK Earnings Forecasts’. Journal of Forecasting.
  22. Taylor, NJ, 2010, ‘Market and Idiosyncratic Volatility: High Frequency Dynamics’. Applied Financial Economics.
  23. Taylor, NJ, 2010, ‘The Determinants of Future U.S. Monetary Policy: High Frequency Evidence’. Journal of Money, Credit and Banking.
  24. Taylor, N, 2008, ‘The Predictive Value of Temporally Disaggregated Volatility: Evidence from Index Futures Markets’. Journal of Forecasting.
  25. Taylor, NJ, 2008, ‘Can Idiosyncratic Volatility Help Forecast Market Volatility?’. International Journal of Forecasting.
  26. Taylor, N, 2007, ‘The Importance of Overnight Information in Risk Management Models'’. Journal of Banking and Finance.
  27. Taylor, N, 2007, ‘A New Econometric Model of Index Arbitrage’. European Financial Management, vol 13.
  28. Taylor, N, 2004, ‘Trading Intensity, Volatility, and Arbitrage Activity’. Journal of Banking and Finance.
  29. Taylor, N, 2004, ‘Modelling Discontinuous Periodic Conditional Volatility: Evidence from the Commodity Futures Market’. Journal of Futures Markets.
  30. Taylor, N & Clements, M, 2003, ‘Evaluating Interval Forecasts of High Frequency Financial Data’. Journal of Applied Econometrics.

Full publications list in the University of Bristol publications system

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