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Research

Professor Stephen Taylor

Emeritus Professor

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  1. 2003
  2. Published

    Conditional volatility and the informational efficiency of the PHLX currency options market

    Taylor, S. J. & Xu, X., 2003, Financial Forecasting. Cheltenham: Edward Elgar, Vol. 2. p. 518-536 19 p.

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

  3. Published

    Forecasting the volatility of currency exchange rates

    Taylor, S. J., 2003, Financial Forecasting. Cheltenham: Edward Elgar, p. 389-400 12 p.

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

  4. 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

  5. 2004
  6. 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

  7. 2005
  8. Published

    Asset Price Dynamics, Volatility and Prediction

    Taylor, S. J., 2005, Princeton: Princeton University Press. 552 p.

    Research output: Book/Report/Proceedings › Book

  9. Published

    Financial returns modelled by the product of two stochastic processes, a study of daily sugar prices

    Taylor, S. J., 2005, Stochastic Volatility: Selected Readings. Oxford: Oxford University Press, p. 60-82 23 p.

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

  10. 2006
  11. 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

  12. Published

    The relationships between sentiment, returns and volatility

    Wang, Y., Keswani, A. & Taylor, S. J., 2006, In: International Journal of Forecasting. 22, p. 109-123 15 p.

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

  13. 2007
  14. 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

  15. 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

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