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Research

Professor Stephen Taylor

Emeritus Professor

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  1. Published

    A descriptive study of high-frequency trade and quote option data

    Andersen, T., Archakov, I., Grund, L., Hautsch, N., Li, Y., Nasekin, S., Nolte, I., Pham, M., Taylor, S. & Todorov, V., 31/01/2021, In: Journal of Financial Econometrics. 19, 1, p. 128-177 50 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  2. Published

    The realized volatility of FTSE-100 futures prices

    Areal, N. M. P. C. & Taylor, S. J., 2002, In: Journal of Futures Markets. 22, 7, p. 627-648 22 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  3. Published

    The Euro and European financial market dependence

    Bartram, S., Taylor, S. J. & Wang, Y., 2007, In: Journal of Banking and Finance. 51, 5, p. 1461-1481 21 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  4. Published

    Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns

    Blair, B. J., Poon, S. & Taylor, S. J., 2001, In: Journal of Econometrics. 105, 1, p. 5-26 22 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  5. Published

    Modelling S&P 100 volatility: the information content of stock returns

    Blair, B. J., Poon, S. & Taylor, S. J., 2001, In: Journal of Banking and Finance. 25, 9, p. 1665-1679 15 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  6. Published

    Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high frequency index returns

    Blair, B. J., Poon, S. & Taylor, S. J., 2010, Handbook of Quantitative Finance and Risk Management. Lee, C-F., Lee, A. C. & Lee, J. (eds.). Berlin: Springer, p. 1333-1344 12 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

  7. Published

    Intraday effects of foreign exchange intervention by the Bank of Japan

    Chang, Y. & Taylor, S. J., 1998, In: Journal of International Money and Finance. 17, p. 191-210 20 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  8. Published

    Information arrivals and intraday exchange rate volatility

    Chang, Y. & Taylor, S. J., 2003, In: Journal of International Financial Markets, Institutions and Money. 13, p. 85-112 28 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  9. Published

    Density forecast comparisons for stock prices, obtained from high-frequency returns and daily option prices

    Fan, R., Taylor, S. J. & Sandri, M., 01/2018, In: Journal of Futures Markets. 38, 1, p. 83-103 21 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  10. Published

    Cojumps in stock prices: empirical evidence

    Gilder, D., Shackleton, M. & Taylor, S. J., 2014, In: Journal of Banking and Finance. 40, p. 443-459 17 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  11. Published

    Volatility Estimation and Forecasts Based on Price Durations

    Hong, S. Y., Nolte, I., Taylor, S. & Zhao, V., 19/01/2023, In: Journal of Financial Econometrics. 21, 1, p. 106-144 39 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  12. Published

    Closed-form transformations from risk-neutral to real-world distributions

    Liu, X., Shackleton, M. B., Taylor, S. J. & Xu, X., 2007, In: Journal of Banking and Finance. 31, 5, p. 1501-1520 20 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  13. Published

    Empirical pricing kernels obtained from the UK index options market

    Liu, X., Shackleton, M. B., Taylor, S. J. & Xu, X., 2006, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  14. Published

    Intraday volatility forecasts using different seasonality adjustment methods

    Martens, M. P. E., Chang, Y. & Taylor, S. J., 2002, In: Journal of Financial Research. 25, p. 283-297 15 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  15. Published

    High-frequency Covariance Matrix Estimation Using Price Durations

    Nolte, I., Taylor, S. J. & Zhao, X., 2018.

    Research output: Working paper

  16. Published

    Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models

    Pong, E., Shackleton, M. B., Taylor, S. J. & Xu, X., 2004, In: Journal of Banking and Finance. 28, 10, p. 2541-2563 23 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  17. Published

    Distinguishing short and long memory volatility specifications

    Pong, S., Shackleton, M. B. & Taylor, S. J., 2008, In: The Econometrics Journal. 11, 3, p. 617-637 21 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  18. Published

    Asymmetric and crash effects in stock volatility for the S and P 100 index and its constituents

    Poon, S., Taylor, S. J. & Blair, B. J., 2002, In: Applied Financial Economics. 12, p. 319-329 11 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  19. Published

    A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices

    Shackleton, M. B., Taylor, S. J. & Yu, P., 11/2010, In: Journal of Banking and Finance. 34, 11, p. 2678-2693 16 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  20. Published

    Empirical pricing kernels obtained from the UK index options market

    Shackleton, M., Liu, H., Taylor, S. & Xu, G., 2009, Applied Economics Letters, 16, 10, p. 989-993 5 p.

    Research output: Contribution to specialist publication › Letter

  21. Published

    Consequences for option pricing of a long memory in volatility

    Taylor, S. J., 2001, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  22. Published

    Markov processes and the distribution of volatility: a comparison of discrete and continuous specifications

    Taylor, S. J., 1/08/1999, In: Philosophical Transactions A: Mathematical, Physical and Engineering Sciences . 357, 1758, p. 2059-2070 12 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  23. Published

    The magnitude of implied volatility smiles: theory and empirical evidence for exchange rates

    Taylor, S. J., 1998, Currency Derivatives: Pricing Theory, Exotic Options, Hedging Applications. Chichester: John Wiley and Sons Ltd, p. 165-180 16 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

  24. Published

    Modelling stochastic volatility: a review and comparative study

    Taylor, S. J., 1998, Volatility: New Estimation Techniques for Pricing Derivatives. London: Risk Books, p. 95-108 14 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

  25. Published

    The term structure of volatility implied by foreign exchange options

    Taylor, S. J., 1998, Currency Derivatives: Pricing Theory, Exotic Options, Hedging Applications. Chichester: John Wiley and Sons Ltd, p. 181-200 20 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

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