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Professor Stephen Taylor

Emeritus Professor

  1. E-pub ahead of print

    A descriptive study of high-frequency trade and quote option data

    Andersen, T., Archakov, I., Grund, L., Hautsch, N., Li, Y., Nasekin, S., Nolte, I., Pham, M., Taylor, S. & Todorov, V., 6/01/2021, In: Journal of Financial Econometrics. 19, 1, p. 128-177 50 p.

    Research output: Contribution to journalJournal articlepeer-review

  2. 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 articlepeer-review

  3. 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 articlepeer-review

  4. 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 articlepeer-review

  5. 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 articlepeer-review

  6. 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

  7. 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 articlepeer-review

  8. 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 articlepeer-review

  9. 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 articlepeer-review

  10. 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 articlepeer-review

  11. E-pub ahead of print

    Volatility estimation and forecasts based on price durations

    Hong, S. Y., Nolte, I., Taylor, S. & Zhao, V., 1/03/2021, In: Journal of Financial Econometrics.

    Research output: Contribution to journalJournal articlepeer-review

  12. 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 articlepeer-review

  13. 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

  14. 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 articlepeer-review

  15. Published
  16. 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 articlepeer-review

  17. 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 journalJournal articlepeer-review

  18. 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 articlepeer-review

  19. 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 articlepeer-review

  20. 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

  21. 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

  22. 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 articlepeer-review

  23. Published

    The magnitude of implied volatility smiles: theory and empirical evidence for exchange rates

    Taylor, S. J., 1998, Currency Derivatives: Pricing Theory, Exotic Options, Hedging Applications. Chichester: John Wiley and Sons Ltd, p. 165-180 16 p.

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

  24. Published

    Modelling stochastic volatility: a review and comparative study

    Taylor, S. J., 1998, Volatility: New Estimation Techniques for Pricing Derivatives. London: Risk Books, p. 95-108 14 p.

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

  25. Published

    The term structure of volatility implied by foreign exchange options

    Taylor, S. J., 1998, Currency Derivatives: Pricing Theory, Exotic Options, Hedging Applications. Chichester: John Wiley and Sons Ltd, p. 181-200 20 p.

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

  26. 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

  27. 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

  28. 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 articlepeer-review

  29. 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

  30. Published

    Forecasting the volatility of currency exchange rates

    Taylor, S. J., 2003, Financial Forecasting. Cheltenham: Edward Elgar, p. 389-400 12 p.

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

  31. Published

    Asset Price Dynamics, Volatility and Prediction

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

    Research output: Book/Report/ProceedingsBook

  32. Published

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

    Taylor, S. J., 2005, Stochastic Volatility: Selected Readings. Oxford: Oxford University Press, p. 60-82 23 p.

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

  33. Published

    Modelling Financial Time Series (Second Edition)

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

    Research output: Book/Report/ProceedingsBook

  34. Published

    Stock price volatility

    Taylor, S. J., 2008, The New Palgrave Dictionary of Economics (Vol 8). Basingstoke: Palgrave Macmillan, Vol. 8. p. 8-10 3 p.

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

  35. 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 journalJournal articlepeer-review

  36. 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 journalJournal articlepeer-review

  37. 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 journalJournal articlepeer-review

  38. 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 articlepeer-review

  39. 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

  40. Published

    Consequences for option pricing of a long memory in volatility

    Taylor, S. J., 2015, Handbook of Financial Econometrics and Statistics. Lee, C-F. & Lee, J. (eds.). New York: Springer SBM, Vol. 2. p. 903-933 31 p.

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

  41. Unpublished
  42. 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 articlepeer-review

  43. Published

    Information about price and volatility jumps inferred from options prices

    Taylor, S. J., Tzeng, J. & Widdicks, M., 10/2018, In: Journal of Futures Markets. 38, 10, p. 1206-1226 21 p.

    Research output: Contribution to journalJournal articlepeer-review

  44. Published

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

    Taylor, S. J., 2018, Volatility. Andersen, T. & Bollerslev, T. (eds.). Cheltenham: Edward Elgar, p. 423-446 24 p. (The International Library of Critical Writings in Economics ).

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

  45. 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 articlepeer-review

  46. Published

    The incremental volatility information in one million foreign exchange quotations

    Xu, X. & Taylor, S. J., 1999, Financial Markets Tick by Tick. Chichester: John Wiley and Sons Ltd, p. 65-90 26 p.

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

  47. 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 articlepeer-review

  48. 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 articlepeer-review

  49. 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 articlepeer-review

  50. 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 articlepeer-review

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