Financial Econometrics
Research on Financial Econometrics is led by Professor Taylor in collaboration with Professor Shackleton.
The Department has a long-standing reputation for its research on financial econometrics, based on Professor Taylor's pioneering work. His latest book, Asset Price Dynamics, Volatility, and Prediction (Princeton UP, 2005), provides a comprehensive resource for researchers in this area and is being used on advanced-level courses around the world, while his book Modelling Financial Time Series (now in its second edition) is widely acknowledged as the definitive text on the subject.
Recent contributions to the research literature on financial econometrics include work on the volatility of financial time series (Taylor), risk-neutral and real-world density estimation (Shackleton and Taylor), and the Euro’s impact on stock market dependence (Bartram and Taylor).
Ongoing research topics and interests in the field of Financial Econometrics include:
- High-frequency financial econometrics (Taylor)
- Multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices (Shackleton and Taylor)
- Investigation of volatility predictions made by options traders (Taylor)
Illustrative publications include:
- Distinguishing short and long memory volatility specifications. Econometrics Journal (S Pong, MB Shackleton and SJ Taylor, forthcoming)
- Modelling Financial Time Series (Second Edition), World Scientific Publishing, Hackensack, ISBN: 9812770844 (SJ Taylor, 2008)
- Closed-form transformations from risk-neutral to real-world distributions, Journal of Banking and Finance (X Liu, MB Shackleton, SJ Taylor, and X Xu, 2007)
Current working papers relating to Financial Econometrics are available via the School's working papers database
