Stephen Taylor’s short CV


 

 

 

 

 

Employment

·        At Lancaster University since 1977

·        Professor of Finance since 1993, now partially retired

·        Head, Department of Accounting and Finance, 1995 to 1998 and 2007 to 2009


 

Visiting Positions

Europe: European Institute for Advanced Studies in Management, Brussels, University of Aarhus, Institute for Advanced Studies, Vienna, Norwegian University of Science and Technology, Trondheim, University of Coimbra

Asia: Beijing University, City University of Hong Kong, National Taiwan University

The far side of the globe: University of Queensland, University of Technology, Sydney, Monash University, Melbourne, University of Auckland, University of Canterbury, Christchurch


Modelling Financial Time Series 2nd Ed.: 0               Asset Price Dynamics, Volatility, and Prediction

Books

·             S.J. Taylor, 1986 & 2008, Modelling Financial Time Series, John Wiley and Sons (first edition) and World Scientific Publishing (second edition).

·             R.M.C. Guimaraes, B.G. Kingsman and S.J. Taylor (editors), 1989, A Reappraisal of the Efficiency of Financial Markets, Springer-Verlag.

·             S.J. Taylor, 2005, Asset Price Dynamics, Volatility and Prediction, Princeton University Press.


Most highly cited papers (at Google Scholar, in chronological order)

·             S.J. Taylor, 1982 & 2005, Financial returns modelled by the product of two stochastic processes …., reprinted in Stochastic Volatility: Selected Readings, N. Shephard editor, Oxford University Press, 60-82.

·             S. Poon and S.J. Taylor, 1992, Stock returns and volatility : an empirical study of the U.K. stock market, Journal of Banking and Finance 16, 37-59.

·             S.J. Taylor, 1994, Modelling stochastic volatility: a review and comparative study, Mathematical Finance 4, 183-204.

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

·             S.J. Taylor and X. Xu , 1997, The incremental volatility information in one million foreign exchange quotations, Journal of Empirical Finance 4, 317-340.

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

·             N.M.P.C. Areal and S.J. Taylor, 2002, The realized volatility of FTSE-100 futures prices, Journal of Futures Markets, 22, 627-648.

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

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

 

·             S.M. Bartram, S.J. Taylor and Y. Wang, 2007, The Euro and European financial market dependence, Journal of Banking and Finance 31, 1461-1481.

Three more recent papers

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

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

 

·             S.J. Taylor, C.-F. Tzeng and M. Widdicks, 2018, Information about price and volatility jumps inferred from option prices, Journal of Futures Markets 38, 1206-1226.


Current areas of interest

High-frequency financial econometrics, applied to stock and options prices.



Stephen Taylor’s unofficial home page

Last revised in October 2018