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Professor Stephen Taylor

Professor in Finance

  1. 2002
  2. 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

  3. 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

  4. Published

    Forecasting the volatility of currency exchange rates

    Taylor, S. J., 2002, Forecasting Financial Markets (Volume 2). Cheltenham: Edward Elgar, Vol. 2. p. 125-136 12 p.

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

  5. Published

    Intraday volatility forecasts using different seasonality adjustment methods

    Martens, M. P. E., Chang, Y. & Taylor, S. J., 2002, In : Journal of Financial Research. 25, p. 283-297 15 p.

    Research output: Contribution to journalJournal article

  6. 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

  7. 2001
  8. 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

  9. 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

  10. 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

  11. 2000
  12. Published

    Stock index and price dynamics in the U.K. and the U.S.: new evidence from a trading rule and statistical analysis

    Taylor, S. J., 2000, In : European Journal of Finance. 6, p. 36-69 34 p.

    Research output: Contribution to journalJournal article

  13. 1999
  14. Published

    Markov processes and the distribution of volatility: a comparison of discrete and continuous specifications

    Taylor, S. J., 1/08/1999, In : Philosophical Transactions A: Mathematical, Physical and Engineering Sciences . 357, 1758, p. 2059-2070 12 p.

    Research output: Contribution to journalJournal article

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