Professor Stephen Taylor
BA Cambridge, MA, PhD Lancaster
Professor of Finance
Personal Webpage
http://www.lancs.ac.uk/staff/afasjt/default.html
Department
Accounting and Finance
Organisational Roles
Associate Editor, Journal of Banking and Finance, European Financial Management, Journal of Business Finance and Accounting.
Teaching
Postgraduate: AcF 609 Financial Econometrics, AcF 802 Doctoral seminar on Finance. Other Teaching Competence: Volatility of Asset Prices.
Research Interests
Asset price dynamics. Stochastic volatility. The efficiency of financial markets. Markets for derivative securities, particularly futures and options contracts. Equity markets. Forecasting.
For a complete list of publications, please see the CV at my personal website (click on the link above).
To download my papers at www.ssrn.com, please also go via my personal website.
Current Research
Investigation of volatility predictions made by options traders. Risk-neutral and real-world density estimation. High-frequency financial econometrics.
View all publications (41)
Journal/Serial (20)
Book (2)
Chapter in Book (10)
Working Paper (9)
Selected Publications
- Taylor SJ, 2008, Modelling Financial Time Series (Second Edition), World Scientific Publishing, Singapore, ISBN: 9812770844
- Bartram S, Taylor SJ and Wang Y, 2007, 'The Euro and European financial market dependence', Journal of Banking and Finance, vol 51(5), pp 1461-1481
- Liu X, Shackleton MB, Taylor SJ and Xu X, 2007, 'Closed-form transformations from risk-neutral to real-world distributions', Journal of Banking and Finance, vol 31(5), pp 1501-1520
- Wang Y, Keswani A and Taylor SJ, 2006, 'The relationships between sentiment, returns and volatility', International Journal of Forecasting, vol 22, pp 109-123
- Taylor SJ, 2005, Asset Price Dynamics, Volatility and Prediction, Princeton University Press, Princeton, ISBN: 0-691-11537-0
- Pong E, Shackleton MB, Taylor SJ and Xu X, 2004, 'Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models', Journal of Banking and Finance, vol 28( 10), pp 2541-2563
- Chang Y and Taylor SJ, 2003, 'Information arrivals and intraday exchange rate volatility', Journal of International Financial Markets, Institutions and Money, vol 13( ), pp 85-112
- Martens MPE, Chang Y and Taylor SJ, 2002, 'Intraday volatility forecasts using different seasonality adjustment methods', Journal of Financial Research, vol 25( ), pp 283-297
- Areal NMPC and Taylor SJ, 2002, 'The realized volatility of FTSE-100 futures prices', Journal of Futures Markets, vol 22(7), pp 627-648
- Blair BJ, Poon S and Taylor SJ, 2001, 'Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns', Journal of Econometrics, vol 105(1), pp 5-26
