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Stephen Taylor
Stephen Taylor
Professor of Finance, Lancaster University, UK
Verified email at lancaster.ac.uk - Homepage
Title
Cited by
Cited by
Year
Modelling financial time series
SJ Taylor
Stephen J. Taylor, MODELLING FINANCIAL TIME SERIES (SECOND EDITION), World …, 2007
45632007
Modeling stochastic volatility: A review and comparative study
SJ Taylor
Mathematical finance 4 (2), 183-204, 1994
11061994
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, 2010
921*2010
Asset price dynamics, volatility, and prediction
SJ Taylor
Princeton university press, 2011
7442011
Financial returns modelled by the product of two stochastic processes, a study of daily sugar prices
SJ Taylor
Edward Elgar, 2012
691*2012
The incremental volatility information in one million foreign exchange quotations
SJ Taylor, X Xu
Journal of Empirical Finance 4 (4), 317-340, 1997
4341997
Stock returns and volatility: An empirical study of the UK stock market
SH Poon, SJ Taylor
Journal of banking & finance 16 (1), 37-59, 1992
3761992
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, 2004
3722004
The relationships between sentiment, returns and volatility
YH Wang, A Keswani, SJ Taylor
International Journal of Forecasting 22 (1), 109-123, 2006
3592006
The Euro and European financial market dependence
SM Bartram, SJ Taylor, YH Wang
Journal of Banking & Finance 31 (5), 1461-1481, 2007
3352007
Macroeconomic factors and the UK stock market
S Poon, SJ Taylor
Journal of Business Finance & Accounting 18 (5), 619-636, 1991
318*1991
Forecasting the volatility of currency exchange rates
SJ Taylor
Edward Elgar 2, 125-136, 2002
307*2002
Forecasting the volatility of currency exchange rates
SJ Taylor
International Journal of Forecasting 3 (1), 159-170, 1987
3071987
The term structure of volatility implied by foreign exchange options
X Xu, SJ Taylor
Journal of Financial and Quantitative Analysis 29 (01), 57-74, 1994
2541994
The realized volatility of FTSE‐100 futures prices
NMPC Areal, SJ Taylor
Journal of Futures Markets 22 (7), 627-648, 2002
2442002
Conditional volatility and the informational efficiency of the PHLX currency options market
X Xu, SJ Taylor
Journal of Banking & Finance 19 (5), 803-821, 1995
2001995
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, 2007
1842007
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, 1994
1651994
The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks
SJ Taylor, PK Yadav, Y Zhang
Journal of Banking & Finance 34 (4), 871-881, 2010
1642010
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, 1998
1631998
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