Professor Stephen Taylor
BA Cambridge, MA, PhD Lancaster
Personal Chair
Department
Accounting and Finance
Research Overview
My research interests are in Financial Econometrics, particularly theoretical and empirical research related to (1) high-frequency price observations and (2) the prices of options. I work on asset price dynamics, volatility models and forecasts, risk-neutral and real-world density estimation.
Professional Role
Associate Editor, European Financial Management, Journal of Business Finance and Accounting.
My Role
Professor of Finance since 1993.
Director of School Doctoral Programmes within Lancaster University Management School.
Current Teaching
Postgraduate: AcF 501 Quantitative Methods, AcF 609 Financial Econometrics, AcF 651 Advanced Research Methods.
Current Research
Properties of one-minute stock index returns. Jumps in asset prices. Model-free measures of volatility. Forward-looking information revealed by option prices.
For a complete list of publications, please see the CV at my personal website http://www.lancs.ac.uk/staff/afasjt/.
To download my papers at www.ssrn.com, please also go via my personal website.
Career Details
Please see the CV at my personal website http://www.lancs.ac.uk/staff/afasjt/.
Journal article (23)
Book (2)
Working paper (9)
Selected publications (11)
View all publications (45)
Publications
- Taylor S J and Wang Y, 2010, 'Option prices and risk-neutral densities for currency cross-rates', Journal of Futures Markets, vol 30, pp. 324-360.
View details - Taylor S J, Yadav P K and Zhang Y, 2010, 'The information content of implied volatilities and model-free volatility expectations: evidence from options written on individual stocks', Journal of Banking and Finance, vol 34, pp. 871-881.
View details - Taylor S J, Yadav P K and Zhang Y, 2009, 'Cross-sectional analysis of risk-neutral skewness', Journal of Derivatives, vol 16, no. 4, pp. 38-52.
View details - Pong S, Shackleton M B and Taylor S J, 2008, 'Distinguishing short and long memory volatility specifications', The Econometrics Journal, vol 11, no. 3, pp. 617-637.
View details - Bartram S, Taylor S J and Wang Y, 2007, 'The Euro and European financial market dependence', Journal of Banking and Finance, vol 51, no. 5, pp. 1461-1481.
View details - Liu X, Shackleton M B, Taylor S J and Xu X, 2007, 'Closed-form transformations from risk-neutral to real-world distributions', Journal of Banking and Finance, vol 31, no. 5, pp. 1501-1520.
View details - Wang Y, Keswani A and Taylor S J, 2006, 'The relationships between sentiment, returns and volatility', International Journal of Forecasting, vol 22, pp. 109-123.
View details - Pong E, Shackleton M B, Taylor S J and Xu X, 2004, 'Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models', Journal of Banking and Finance, vol 28, no. 10, pp. 2541-2563.
View details - Chang Y and Taylor S J, 2003, 'Information arrivals and intraday exchange rate volatility', Journal of International Financial Markets, Institutions and Money, vol 13, pp. 85-112.
View details - Martens M P E, Chang Y and Taylor S J, 2002, 'Intraday volatility forecasts using different seasonality adjustment methods', Journal of Financial Research, vol 25, pp. 283-297.
View details
