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Professor Stephen Taylor

Emeritus Professor

  1. Journal article
  2. 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

  3. 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

  4. 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

  5. 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

  6. 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

  7. 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

  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

    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

  10. 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

  11. 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

  12. 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

  13. 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

  14. 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

  15. 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

  16. 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

  17. 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

  18. 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

  19. 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

  20. 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

  21. 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

  22. Working paper
  23. Published
  24. Published
  25. Unpublished
  26. 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

  27. 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

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