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Professor Stephen Taylor

Emeritus Professor

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  1. 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 Journal/Magazine › Journal article › peer-review

  2. 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/ISSN › Chapter

  3. 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 Journal/Magazine › Journal article › peer-review

  4. 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/Magazine › Journal article › peer-review

  5. Published

    More accurate volatility estimation and forecasts using price durations

    Zhao, X., Taylor, S. J. & Nolte, I., 2016, 41 p.

    Research output: Working paper

  6. 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/ISSN › Chapter

  7. 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 Journal/Magazine › Journal article › peer-review

  8. 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 Journal/Magazine › Journal article › peer-review

  9. Published

    Modelling Financial Time Series (Second Edition)

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

    Research output: Book/Report/Proceedings › Book

  10. Unpublished

    Microstructure noise components of the SandP 500 index: variation, persistence and distributions

    Taylor, S. J., 2015, (Unpublished).

    Research output: Working paper

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