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Professor Stephen Taylor

Emeritus Professor

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  1. Book
  2. 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

  3. Published

    Asset Price Dynamics, Volatility and Prediction

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

    Research output: Book/Report/Proceedings › Book

  4. Working paper
  5. Published

    High-frequency Covariance Matrix Estimation Using Price Durations

    Nolte, I., Taylor, S. J. & Zhao, X., 2018.

    Research output: Working paper

  6. Published

    More accurate volatility estimation and forecasts using price durations

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

    Research output: Working paper

  7. Unpublished

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

    Taylor, S. J., 2015, (Unpublished).

    Research output: Working paper

  8. 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

  9. 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

  10. Journal article
  11. Published

    Volatility Estimation and Forecasts Based on Price Durations

    Hong, S. Y., Nolte, I., Taylor, S. & Zhao, V., 19/01/2023, In: Journal of Financial Econometrics. 21, 1, p. 106-144 39 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  12. Published

    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., 31/01/2021, In: Journal of Financial Econometrics. 19, 1, p. 128-177 50 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

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

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

  15. 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/Magazine › Journal article › peer-review

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

  17. 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/Magazine › Journal article › peer-review

  18. 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/Magazine › Journal article › peer-review

  19. 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

  20. 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/Magazine › Journal article › peer-review

  21. 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/Magazine › Journal article › peer-review

  22. 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/Magazine › Journal article › peer-review

  23. 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

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

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

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

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

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

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