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Citations68932912
h-index3021
i10-index4731
Citations to my articles
Citations to my articles
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Title / AuthorCited by Year
Modelling financial time series
SJ Taylor
Stephen J. Taylor, MODELLING FINANCIAL TIME SERIES (SECOND EDITION), World ...
23372007
Modeling stochastic volatility: A review and comparative study
SJ Taylor
Mathematical finance 4 (2), 183-204
6231994
Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns
BJ Blair, SH Poon, SJ Taylor
Handbook of Quantitative Finance and Risk Management, 1333-1344
4412010
Asset price dynamics, volatility, and prediction
SJ Taylor
Princeton university press
3142011
Financial returns modelled by the product of two stochastic processes, a study of daily sugar prices
SJ Taylor
Oxford University Press
2852005
The incremental volatility information in one million foreign exchange quotations
SJ Taylor, X Xu
Journal of Empirical Finance 4 (4), 317-340
2621997
Stock returns and volatility: an empirical study of the UK stock market
SH Poon, SJ Taylor
Journal of banking & finance 16 (1), 37-59
2111992
Forecasting currency volatility: A comparison of implied volatilities and AR (FI) MA models
S Pong, MB Shackleton, SJ Taylor, X Xu
Journal of Banking & Finance 28 (10), 2541-2563
1812004
The term structure of volatility implied by foreign exchange options
X Xu, SJ Taylor
Journal of Financial and Quantitative Analysis 29 (01), 57-74
1501994
The Euro and European financial market dependence
SM Bartram, SJ Taylor, YH Wang
Journal of Banking & Finance 31 (5), 1461-1481
1492007
The realized volatility of FTSE‐100 futures prices
NMPC Areal, SJ Taylor
Journal of Futures Markets 22 (7), 627-648
1472002
Macroeconomic factors and the UK stock market
S Poon, SJ Taylor
Journal of Business Finance & Accounting 18 (5), 619-636
1231991
Conditional volatility and the informational efficiency of the PHLX currency options market
X Xu, SJ Taylor
Journal of Banking & Finance 19 (5), 803-821
1141995
Intraday effects of foreign exchange intervention by the Bank of Japan
Y Chang, SJ Taylor
Journal of International Money and Finance 17 (1), 191-210
1101998
Forecasting the volatility of currency exchange rates
SJ Taylor
International Journal of Forecasting 3 (1), 159-170
1061987
Trading futures using a channel rule: A study of the predictive power of technical analysis with currency examples
SJ Taylor
Journal of Futures Markets 14 (2), 215-235
1041994
The magnitude of implied volatility smiles: Theory and empirical evidence for exchange rates
G Xu, SJ Taylor
Review of Futures Markets 13, 355-380
971994
The relationships between sentiment, returns and volatility
YH Wang, A Keswani, SJ Taylor
International Journal of Forecasting 22 (1), 109-123
872006
A comparison of seasonal adjustment methods when forecasting intraday volatility
M Martens, YC Chang, SJ Taylor
Journal of Financial Research 25 (2), 283-299
862002
Closed-form transformations from risk-neutral to real-world distributions
X Liu, MB Shackleton, SJ Taylor, X Xu
Journal of Banking & Finance 31 (5), 1501-1520
802007
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