†† Stephen Taylorís short CV







        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


             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 Ö., 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 Taylorís unofficial home page

Last revised in October 2018