††† Stephen Taylorís short CV
Professor of Finance since 1993,
now partially retired
B.G. Kingsman and S.J. Taylor (editors), 1989, A Reappraisal of the Efficiency
of Financial Markets, Springer-Verlag.
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 Ö.,
reprinted in Stochastic Volatility: Selected Readings, N. Shephard editor,
Oxford University Press, 60-82.
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,
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.
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.
Areal and S.J. Taylor, 2002, The realized
volatility of FTSE-100 futures prices, Journal of Futures Markets, 22, 627-648.
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
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,
Current areas of interest
High-frequency financial econometrics, applied to
stock and options prices.
Last revised in October 2018