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Professor Stephen Taylor

Professor in Finance

  1. Journal 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

    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

  4. Published

    The relationships between sentiment, returns and volatility

    Wang, Y., Keswani, A. & Taylor, S. J., 2006, In : International Journal of Forecasting. 22, p. 109-123 15 p.

    Research output: Contribution to journalJournal article

  5. Published

    Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models

    Pong, E., Shackleton, M. B., Taylor, S. J. & Xu, X., 2004, In : Journal of Banking and Finance. 28, 10, p. 2541-2563 23 p.

    Research output: Contribution to journalJournal article

  6. 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

  7. 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

  8. 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

  9. 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

  10. 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

  11. 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

  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. 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

  14. 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

  15. 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 journalJournal article

  16. 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

  17. 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 journalJournal article

  18. 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 journalJournal article

  19. 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 journalJournal article

  20. Working paper
  21. Published
  22. Published
  23. Unpublished
  24. 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

  25. 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

  26. Book
  27. Published

    Modelling Financial Time Series (Second Edition)

    Taylor, S. J., 2008, 2nd ed. Singapore: World Scientific Publishing. 296 p.

    Research output: Book/Report/ProceedingsBook

  28. Published

    Asset Price Dynamics, Volatility and Prediction

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

    Research output: Book/Report/ProceedingsBook

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