Professor Stephen Taylor


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.

Selected Publications Show all 47 publications

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

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

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

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