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Stephen J. Taylor · Study
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Author
Stephen J. Taylor
36 works
· latest 2013
· 3 institutions
cluster: provisional
ORCID 0000-0003-3936-1105
Works
36 shown
Cojumps in stock prices: Empirical evidence
Journal of Banking & Finance
·
2013
·
3 authors
·
Open access
94
citations
Asset Price Dynamics, Volatility, and Prediction
Princeton University Press eBooks
·
2011
·
1 author
·
book
358
citations
A Multi-Horizon Comparison of Density Forecasts for the S&P 500 Using Index Returns and Option Prices
Journal of Banking & Finance
·
2010
·
3 authors
·
Open access
71
citations
The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks
Journal of Banking & Finance
·
2009
·
2 authors
111
citations
Cross-Sectional Analysis of Risk-Neutral Skewness
The Journal of Derivatives
·
2009
·
2 authors
31
citations
Modelling Financial Time Series
WORLD SCIENTIFIC eBooks
·
2007
·
1 author
·
book
84
citations
The Euro and European financial market dependence
Journal of Banking & Finance
·
2007
·
3 authors
233
citations
Closed-form transformations from risk-neutral to real-world distributions
Journal of Banking & Finance
·
2007
·
4 authors
·
Open access
141
citations
Modelling Financial Time Series
WORLD SCIENTIFIC eBooks
·
2007
·
1 author
·
book
1,415
citations
The relationships between sentiment, returns and volatility
International Journal of Forecasting
·
2005
·
3 authors
·
Open access
220
citations
The Euro and European Financial Market Dependence
SSRN Electronic Journal
·
2005
·
3 authors
·
preprint
·
Open access
33
citations
Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models
Journal of Banking & Finance
·
2004
·
4 authors
·
Open access
296
citations
Information arrivals and intraday exchange rate volatility
Journal of International Financial Markets Institutions and Money
·
2003
·
2 authors
·
Open access
74
citations
A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility
The Journal of Financial Research
·
2002
·
3 authors
·
Open access
121
citations
The realized volatility of FTSE‐100 futures prices
Journal of Futures Markets
·
2002
·
2 authors
·
Open access
156
citations
Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns
Journal of Econometrics
·
2001
·
3 authors
589
citations
Modelling S&P 100 volatility: The information content of stock returns
Journal of Banking & Finance
·
2001
·
3 authors
58
citations
Stock index and price dynamics in the UK and the US: new evidence from a trading rule and statistical analysis
European Journal of Finance
·
2000
·
1 author
39
citations
Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns
SSRN Electronic Journal
·
1999
·
3 authors
·
preprint
·
Open access
40
citations
Intraday effects of foreign exchange intervention by the Bank of Japan
Journal of International Money and Finance
·
1998
·
2 authors
119
citations
The incremental volatility information in one million foreign exchange quotations
Journal of Empirical Finance
·
1997
·
2 authors
346
citations
Conditional volatility and the informational efficiency of the PHLX currency options market
Journal of Banking & Finance
·
1995
·
2 authors
138
citations
MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
Mathematical Finance
·
1994
·
1 author
646
citations
Trading futures using a channel rule: A study of the predictive power of technical analysis with currency examples
Journal of Futures Markets
·
1994
·
1 author
98
citations
The Term Structure of Volatility Implied by Foreign Exchange Options
Journal of Financial and Quantitative Analysis
·
1994
·
2 authors
159
citations
The magnitude of implied volatility smiles: theory and empirical evidence for exchange rates
Lancaster EPrints (Lancaster University)
·
1994
·
2 authors
66
citations
Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing?
Economic Record
·
1992
·
1 author
83
citations
Stock returns and volatility: An empirical study of the UK stock market
Journal of Banking & Finance
·
1992
·
2 authors
200
citations
MACROECONOMIC FACTORS AND THE UK STOCK MARKET
Journal of Business Finance & Accounting
·
1991
·
2 authors
147
citations
Modelling Financial Time Series.
The Economic Journal
·
1987
·
2 authors
·
other
598
citations
Forecasting the volatility of currency exchange rates
International Journal of Forecasting
·
1987
·
1 author
187
citations
Estimating the Variances of Autocorrelations Calculated from Financial Time Series
Journal of the Royal Statistical Society Series C (Applied Statistics)
·
1984
·
1 author
32
citations
Tests of the Random Walk Hypothesis Against a Price-Trend Hypothesis
Journal of Financial and Quantitative Analysis
·
1982
·
1 author
64
citations
Financial returns modelled by the product of two stochastic processes-A study of the daily sugar prices 1961-75
Lancaster EPrints (Lancaster University)
·
1982
·
1 author
·
chapter
326
citations
Conjectured Models for Trends in Financial Prices, Tests and Forecasts
Journal of the Royal Statistical Society Series A (General)
·
1980
·
1 author
74
citations
Forecasting Economic Time Series
Journal of the Operational Research Society
·
1979
·
2 authors
1,004
citations