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Can idiosyncratic volatility help forecast stock market volatility?

Taylor, Nicholas - In: International journal of forecasting 24 (2008) 3, pp. 462-479

Persistent link: https://www.econbiz.de/10003764116

Market and idiosyncratic volatility : high frequency dynamics

Taylor, Nicholas - In: Applied financial economics 20 (2010) 7/9, pp. 739-751

Persistent link: https://www.econbiz.de/10009009310

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

Order flow and volatility : an empirical investigation

Opschoor, Anne; Taylor, Nicholas; Wel, Michel van der; … - In: Journal of empirical finance 28 (2014), pp. 185-201

Persistent link: https://www.econbiz.de/10011285068

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

On the effects of private information on volatility

Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - 2011

We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and private information on prices and the effects of...