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Professor Stephen Taylor

Professor in Finance

  1. 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 journalJournal article

  2. Published

    Asset Price Dynamics, Volatility and Prediction

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

    Research output: Book/Report/ProceedingsBook

  3. 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 journalJournal article

  4. Published

    Bankruptcy probabilities inferred from option prices

    Taylor, S. J., Tzeng, C-F. & Widdicks, M., 2014, In : Journal of Derivatives. 22, 2, p. 8-31 24 p.

    Research output: Contribution to journalJournal article

  5. 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

  6. 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

  7. 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/ISSNChapter

  8. 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 journalJournal article

  9. Published

    Conjectured models for trends in financial prices, tests and forecasts

    Taylor, S. J., 2002, Forecasting Financial Markets (Volume 1). Cheltenham: Edward Elgar, Vol. 1. p. 212-236 25 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  10. 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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