Professor Stephen Taylor

Emeritus 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.

Selected Publications

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

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

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

Bilateral Austria: Order Book Foundations of Price Risks and Liquidity: An Integrated Equity and Derivatives Markets Perspective
21/04/2017 → 30/04/2021
Research

University of Coimbra
Visiting an external academic institution

Society of Financial Econometrics conference, Lugano
Participation in conference -Mixed Audience

Seminar: Liverpool University
Participation in workshop, seminar, course

Vienna-Copenhagen conference on financial Econometrics
Participation in conference -Mixed Audience

International Journal of Forecasting (Journal)
Publication peer-review

Seminar: Hannover University
Participation in workshop, seminar, course

European Finance Association meeting 2016
Participation in conference -Mixed Audience

European Finance Association meeting 2015
Participation in conference -Mixed Audience

Society of Financial Econometrics conference, Aarhus
Participation in conference -Mixed Audience

European Finance Association meeting 2014
Participation in conference -Mixed Audience

Portuguese Finance Network - 8th International Conference
Participation in conference -Mixed Audience

Journal of Banking and Finance (Journal)
Publication peer-review

European Finance Association meeting 2013
Participation in conference -Mixed Audience

ESRC
Visiting an external academic institution

European Financial Management Association (EFMA) annual conference 2013
Participation in conference -Mixed Audience

Seminar: Auckland University of Technology
Invited talk

University of Queensland
Visiting an external academic institution

Seminar: University of Otago
Invited talk

Seminar: University of Auckland
Invited talk

Seminar: University of Canterbury
Invited talk

University of Auckland
Visiting an external academic institution

International Journal of Managerial Finance (Journal)
Publication peer-review

Society of Financial Econometrics conference, Oxford
Participation in conference -Mixed Audience

Review of Quantitative Finance and Accounting (Journal)
Publication peer-review

NARTI
Visiting an external academic institution

Keynote address, Financial Econometrics conference, Copenhagen
Invited talk

Seminar, Peking University
Invited talk

Financial econometrics workshop, Alesund
Participation in workshop, seminar, course

Norwegian University of Science and Technology
Visiting an external academic institution

Seminar, National Taiwan University, Taipei
Invited talk

Seminar, National Central University, Jhongli
Invited talk

Seminar, National Chengchi University, Taipei
Invited talk

National Taiwan University
Visiting an external academic institution

International Institute of Forecasting conference, Lisbon
Participation in conference -Mixed Audience

Bachelier Finance Society conference, London
Participation in conference -Mixed Audience

Keynote address, Portuguese Finance Network conference, Coimbra
Invited talk

Financial econometrics conference, Imperial College London
Participation in conference -Mixed Audience

Seminar, University of Basel
Invited talk

Journal of Banking and Finance (Journal)
Editorial activity

Journal of Business Finance and Accounting (Journal)
Editorial activity

  • Accounting, Finance, Governance and Banking
  • Asset Pricing and Financial Econometrics
  • Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy