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Professor Stephen Taylor

Emeritus Professor

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  1. Journal article
  2. Published

    The incremental volatility information in one million foreign exchange quotations

    Xu, X. & Taylor, S. J., 1997, In: Journal of Empirical Finance. 4, p. 317-340 24 p.

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

  3. Published

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

    Xu, X. & Taylor, S. J., 1995, In: Journal of Banking and Finance. 19, p. 803-821 19 p.

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

  4. Published

    Modelling stochastic volatility: a review and comparative study

    Taylor, S. J., 04/1994, In: Mathematical Finance. 4, 2, p. 183-204 22 p.

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

  5. Published

    The term structure of volatility implied by foreign exchange options

    Xu, X. & Taylor, S. J., 1994, In: Journal of Financial and Quantitative Analysis. 29, p. 57-74 18 p.

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

  6. Published

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

    Xu, G. & Taylor, S. J., 1994, In: Review of Futures Markets. 13, p. 355-380 26 p.

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

  7. Working paper
  8. Published

    High-frequency Covariance Matrix Estimation Using Price Durations

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

    Research output: Working paper

  9. Published

    More accurate volatility estimation and forecasts using price durations

    Zhao, X., Taylor, S. J. & Nolte, I., 2016, 41 p.

    Research output: Working paper

  10. Unpublished

    Microstructure noise components of the SandP 500 index: variation, persistence and distributions

    Taylor, S. J., 2015, (Unpublished).

    Research output: Working paper

  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

    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

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