Home > Research > Researchers > Professor Stephen Taylor > Publications

Professor Stephen Taylor

Professor in Finance

  1. 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 journalJournal article

  2. 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 journalJournal article

  3. 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 journalJournal article

  4. 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 journalJournal article

  5. 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/ISSNChapter

  6. 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 journalJournal article

  7. 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 journalJournal article

  8. 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

  9. 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 journalJournal article

  10. 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 journalJournal article

Previous 1 2 3 4 5 Next

Back to top