Professor Stephen Taylor

Professor

Research Overview

My research interests are in Financial Econometrics, particularly theoretical and empirical research related to (1) high-frequency price observations and (2) the prices of options. I work on asset price dynamics, volatility models and forecasts, risk-neutral and real-world density estimation.

Bankruptcy probabilities inferred from option prices
Taylor, S., Tzeng, C., Widdicks, M. 2014 In: Journal of Derivatives.
Journal article

Cojumps in stock prices: empirical evidence
Gilder, D., Shackleton, M., Taylor, S. 2014 In: Journal of Banking and Finance. 40, p. 443-459. 17 p.
Journal article

Investigating the information content of the model-free volatility expectation by Monte Carlo methods
Zhang, Y., Taylor, S., Wang, L. 11/2013 In: Journal of Futures Markets. 33, 11, p. 1071-1095. 25 p.
Journal article

Financial returns modelled by the product of two stochastic processes, a study of daily sugar prices
Taylor, S. 2012 In: Financial risk measurement and management. Cheltenham : Edward Elgar p. 441-464. 24 p. ISBN: 9781849803908.
Chapter

A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices
Shackleton, M.B., Taylor, S.J., Yu, P. 11/2010 In: Journal of Banking and Finance. 34, 11, p. 2678-2693. 16 p.
Journal article

Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high frequency index returns
Blair, B.J., Poon, S., Taylor, S.J. 2010 In: Handbook of Quantitative Finance and Risk Management. Berlin : Springer p. 1333-1344. 12 p. ISBN: 9780387771168.
Chapter

The information content of implied volatilities and model-free volatility expectations: evidence from options written on individual stocks
Taylor, S.J., Yadav, P.K., Zhang, Y. 2010 In: Journal of Banking and Finance. 34, p. 871-881. 11 p.
Journal article

Option prices and risk-neutral densities for currency cross-rates
Taylor, S.J., Wang, Y. 2010 In: Journal of Futures Markets. 30, p. 324-360. 37 p.
Journal article

Cross-sectional analysis of risk-neutral skewness
Taylor, S.J., Yadav, P.K., Zhang, Y. 2009 In: Journal of Derivatives. 16, 4, p. 38-52. 15 p.
Journal article

Empirical pricing kernels obtained from the UK index options market
Shackleton, M., Liu, H., Taylor, S., Xu, G. 2009 Applied Economics Letters 5 p.
Letter

Stock price volatility
Taylor, S.J. 2008 In: The New Palgrave Dictionary of Economics (Vol 8). Basingstoke : Palgrave Macmillan p. 8-10. 3 p.
Chapter

Distinguishing short and long memory volatility specifications
Pong, S., Shackleton, M.B., Taylor, S.J. 2008 In: The Econometrics Journal. 11, 3, p. 617-637. 21 p.
Journal article

Modelling Financial Time Series (Second Edition)
Taylor, S.J. 2008 2nd ed. Singapore : World Scientific Publishing. 296 p. ISBN: 9812770844.
Book

Closed-form transformations from risk-neutral to real-world distributions
Liu, X., Shackleton, M.B., Taylor, S.J., Xu, X. 2007 In: Journal of Banking and Finance. 31, 5, p. 1501-1520. 20 p.
Journal article

The Euro and European financial market dependence
Bartram, S., Taylor, S.J., Wang, Y. 2007 In: Journal of Banking and Finance. 51, 5, p. 1461-1481. 21 p.
Journal article

Empirical pricing kernels obtained from the UK index options market
Liu, X., Shackleton, M.B., Taylor, S.J., Xu, X. 2006 Lancaster University : The Department of Accounting and Finance
Working paper

The relationships between sentiment, returns and volatility
Wang, Y., Keswani, A., Taylor, S.J. 2006 In: International Journal of Forecasting. 22, p. 109-123. 15 p.
Journal article

Financial returns modelled by the product of two stochastic processes, a study of daily sugar prices
Taylor, S.J. 2005 In: Stochastic Volatility: Selected Readings. Oxford : Oxford University Press p. 60-82. 23 p. ISBN: 0199257191.
Chapter

Asset Price Dynamics, Volatility and Prediction
Taylor, S.J. 2005 Princeton : Princeton University Press. 552 p. ISBN: 0-691-11537-0.
Book

Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models
Pong, E., Shackleton, M.B., Taylor, S.J., Xu, X. 2004 In: Journal of Banking and Finance. 28, 10, p. 2541-2563. 23 p.
Journal article

Forecasting the volatility of currency exchange rates
Taylor, S.J. 2003 In: Financial Forecasting. Cheltenham : Edward Elgar p. 389-400. 12 p. ISBN: 1-84064-034-0.
Chapter

Conditional volatility and the informational efficiency of the PHLX currency options market
Taylor, S.J., Xu, X. 2003 In: Financial Forecasting. Cheltenham : Edward Elgar p. 518-536. 19 p. ISBN: 1-84064-034-0.
Chapter

Information arrivals and intraday exchange rate volatility
Chang, Y., Taylor, S.J. 2003 In: Journal of International Financial Markets, Institutions and Money. 13, p. 85-112. 28 p.
Journal article

Forecasting the volatility of currency exchange rates
Taylor, S.J. 2002 In: Forecasting Financial Markets (Volume 2). Cheltenham : Edward Elgar p. 125-136. 12 p. ISBN: 1-84064-497-4.
Chapter

Conjectured models for trends in financial prices, tests and forecasts
Taylor, S.J. 2002 In: Forecasting Financial Markets (Volume 1). Cheltenham : Edward Elgar p. 212-236. 25 p. ISBN: 1-84064-497-4.
Chapter

Asymmetric and crash effects in stock volatility for the S and P 100 index and its constituents
Poon, S., Taylor, S.J., Blair, B.J. 2002 In: Applied Financial Economics. 12, p. 319-329. 11 p.
Journal article

The realized volatility of FTSE-100 futures prices
Areal, N.M.P.C., Taylor, S.J. 2002 In: Journal of Futures Markets. 22, 7, p. 627-648. 22 p.
Journal article

Intraday volatility forecasts using different seasonality adjustment methods
Martens, M.P.E., Chang, Y., Taylor, S.J. 2002 In: Journal of Financial Research. 25, p. 283-297. 15 p.
Journal article

Modelling S&P 100 volatility: the information content of stock returns
Blair, B.J., Poon, S., Taylor, S.J. 2001 In: Journal of Banking and Finance. 25, 9, p. 1665-1679. 15 p.
Journal article

Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns
Blair, B.J., Poon, S., Taylor, S.J. 2001 In: Journal of Econometrics. 105, 1, p. 5-26. 22 p.
Journal article

Consequences for option pricing of a long memory in volatility
Taylor, S.J. 2001 Lancaster University : The Department of Accounting and Finance
Working paper

Stock index and price dynamics in the U.K. and the U.S.: new evidence from a trading rule and statistical analysis
Taylor, S.J. 2000 In: European Journal of Finance. 6, p. 36-69. 34 p.
Journal article

Markov processes and the distribution of volatility: a comparison of discrete and continuous specifications
Taylor, S.J. 1/08/1999 In: Philosophical Transactions A: Mathematical, Physical and Engineering Sciences. 357, 1758, p. 2059-2070. 12 p.
Journal article

The incremental volatility information in one million foreign exchange quotations
Xu, X., Taylor, S.J. 1999 In: Financial Markets Tick by Tick. Chichester : John Wiley and Sons Ltd p. 65-90. 26 p. ISBN: 0-471-98160-5.
Chapter

The term structure of volatility implied by foreign exchange options
Taylor, S.J. 1998 In: Currency Derivatives: Pricing Theory, Exotic Options, Hedging Applications. Chichester : John Wiley and Sons Ltd p. 181-200. 20 p. ISBN: 0-471-25267-0.
Chapter

Modelling stochastic volatility: a review and comparative study
Taylor, S.J. 1998 In: Volatility: New Estimation Techniques for Pricing Derivatives. London : Risk Books p. 95-108. 14 p. ISBN: 1-899332-46-4.
Chapter

The magnitude of implied volatility smiles: theory and empirical evidence for exchange rates
Taylor, S.J. 1998 In: Currency Derivatives: Pricing Theory, Exotic Options, Hedging Applications. Chichester : John Wiley and Sons Ltd p. 165-180. 16 p. ISBN: 0-471-25267-0.
Chapter

Intraday effects of foreign exchange intervention by the Bank of Japan
Chang, Y., Taylor, S.J. 1998 In: Journal of International Money and Finance. 17, p. 191-210. 20 p.
Journal article

The incremental volatility information in one million foreign exchange quotations
Xu, X., Taylor, S.J. 1997 In: Journal of Empirical Finance. 4, p. 317-340. 24 p.
Journal article

Conditional volatility and the informational efficiency of the PHLX currency options markets
Xu, X., Taylor, S.J. 1995 In: Journal of Banking and Finance. 19, p. 803-821. 19 p.
Journal article

The magnitude of implied volatility smiles: theory and empirical evidence for exchange rates
Xu, G., Taylor, S.J. 1994 In: Review of Futures Markets. 13, p. 355-380. 26 p.
Journal article

The term structure of volatility implied by foreign exchange options
Xu, X., Taylor, S.J. 1994 In: Journal of Financial and Quantitative Analysis. 29, p. 57-74. 18 p.
Journal article