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Professor Stephen Taylor

Emeritus Professor

  1. 2014
  2. 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 Journal/MagazineJournal articlepeer-review

  3. 2013
  4. Published

    Investigating the information content of the model-free volatility expectation by Monte Carlo methods

    Zhang, Y., Taylor, S. J. & Wang, L., 11/2013, In: Journal of Futures Markets. 33, 11, p. 1071-1095 25 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  5. 2012
  6. Published

    Financial returns modelled by the product of two stochastic processes, a study of daily sugar prices

    Taylor, S. J., 2012, Financial risk measurement and management. Diebold, F. X. (ed.). Cheltenham: Edward Elgar, p. 441-464 24 p.

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

  7. 2010
  8. 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 Journal/MagazineJournal articlepeer-review

  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., 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

  10. Published

    Option prices and risk-neutral densities for currency cross-rates

    Taylor, S. J. & Wang, Y., 2010, In: Journal of Futures Markets. 30, p. 324-360 37 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  11. Published

    The information content of implied volatilities and model-free volatility expectations: evidence from options written on individual stocks

    Taylor, S. J., Yadav, P. K. & Zhang, Y., 2010, In: Journal of Banking and Finance. 34, p. 871-881 11 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  12. 2009
  13. Published

    Cross-sectional analysis of risk-neutral skewness

    Taylor, S. J., Yadav, P. K. & Zhang, Y., 2009, In: Journal of Derivatives. 16, 4, p. 38-52 15 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  14. Published

    Empirical pricing kernels obtained from the UK index options market

    Shackleton, M., Liu, H., Taylor, S. & Xu, G., 2009, Applied Economics Letters, 16, 10, p. 989-993 5 p.

    Research output: Contribution to specialist publicationLetter

  15. 2008
  16. Published

    Distinguishing short and long memory volatility specifications

    Pong, S., Shackleton, M. B. & Taylor, S. J., 2008, In: The Econometrics Journal. 11, 3, p. 617-637 21 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

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