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Professor Stephen Taylor

Emeritus Professor

  1. Book
  2. Published

    Modelling Financial Time Series (Second Edition)

    Taylor, S. J., 2008, 2nd ed. Singapore: World Scientific Publishing. 296 p.

    Research output: Book/Report/ProceedingsBook

  3. Published

    Asset Price Dynamics, Volatility and Prediction

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

    Research output: Book/Report/ProceedingsBook

  4. Working paper
  5. Published
  6. Published
  7. Unpublished
  8. 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

  9. 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

  10. Journal article
  11. Forthcoming

    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., 26/08/2020, (Accepted/In press) In : Journal of Financial Econometrics.

    Research output: Contribution to journalJournal article

  12. Published

    Information about price and volatility jumps inferred from options prices

    Taylor, S. J., Tzeng, J. & Widdicks, M., 10/2018, In : Journal of Futures Markets. 38, 10, p. 1206-1226 21 p.

    Research output: Contribution to journalJournal article

  13. 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 journalJournal article

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