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Taylor, Stephen J.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
9,815 |
Total
Citations
244 |
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1.
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Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns
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Blair, Bevan
Ingenious Poon, Ser-Huang
University of Manchester - Business School Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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Posted:
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29 Oct 99
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Last Revised:
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17 Oct 01
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1,237
(6,577)
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86
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Blair, Bevan
Ingenious Poon, Ser-Huang
University of Manchester - Business School Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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Blair, Bevan
Ingenious Poon, Ser-Huang
University of Manchester - Business School Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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1,237
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86
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2.
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Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models
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Pong, Shiu-yan Eddie
Lancaster University - Department of Accounting and Finance Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Xu, Xinzhong
Peking University - Guang Hua School of Management
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Posted:
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16 Mar 02
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Last Revised:
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14 Jan 04
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1,198
(6,935)
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47
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Pong, Shiu-yan Eddie
Lancaster University - Department of Accounting and Finance Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Xu, Xinzhong
Peking University - Guang Hua School of Management
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Realized volatility, Fractional integration, Forecasting, Implied volatilities, Exchange rates
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Pong, Shiu-yan Eddie
Lancaster University - Department of Accounting and Finance Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Xu, Xinzhong
Peking University - Guang Hua School of Management
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1,198
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47
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Realized volatility, Fractional integration, Forecasting, Implied volatilities, Exchange rates
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3.
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Liu, Xiaoquan
Essex Business School Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Xu, Xinzhong
Peking University - Guang Hua School of Management
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989
(9,551)
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24
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4.
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Wang, Yaw-Huei
National Taiwan University Keswani, Aneel
Faculty of Finance, Cass Business School, City University, London Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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839
(12,380)
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9
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Causality, Investor Surveys, Market based sentiment measures, Realized volatility, Stock index returns
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5.
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The Euro and European Financial Market Dependence
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Bartram, Söhnke M.
Warwick Business School - Department of Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Wang, Yaw-Huei
National Taiwan University
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Posted:
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02 Jul 05
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Last Revised:
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21 Aug 10
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780
(13,832)
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23
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Wang, Yaw-Huei
National Taiwan University Bartram, Söhnke M.
Warwick Business School - Department of Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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15 Aug 06
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Last Revised:
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21 Aug 10
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153
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23
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Euro, international finance, dependence, copula, GARCH
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Bartram, Söhnke M.
Warwick Business School - Department of Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Wang, Yaw-Huei
National Taiwan University
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627
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23
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Euro, financial markets, dependence, co-movement, copula, GARCH, international finance, integration
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6.
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Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Wang, Yaw-Huei
National Taiwan University
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09 Mar 04
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Last Revised:
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22 Jul 09
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683
(16,768)
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2
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Option pricing, density estimation, exchange rates, cross-rate, copulas
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7.
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Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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640
(18,422)
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8
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8.
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Areal, Nelson
University of Minho - School of Economics and Management Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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633
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1
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9.
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The Information Content of Implied Volatilities and Model-Free Volatility Expectations: Evidence from Options Written on Individual Stocks
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Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Yadav, Pradeep K.
University of Oklahoma - Division of Finance Zhang, Yuanyuan
Lingnan University
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Posted:
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14 Mar 06
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Last Revised:
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16 Jun 08
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550
(22,665)
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6
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Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Yadav, Pradeep K.
University of Oklahoma - Division of Finance Zhang, Yuanyuan
Lingnan University
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212
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6
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Stock options, Information conten, Implied volatility, Model-free volatility expectations, ARCH models
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Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Zhang, Yuanyuan
Lingnan University Yadav, Pradeep K.
University of Oklahoma - Division of Finance
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338
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6
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Stock options, Implied volatility, Model-free volatility expectation, Information content, ARCH models
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10.
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Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Yu, Peng
Lancaster University - Department of Accounting and Finance
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17 Mar 08
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Last Revised:
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11 May 10
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473
(27,705)
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9
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ARCH Models, Density Forecasts, Risk-Neutral Densities, Risk Transformations
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11.
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A Comparison of Seasonal Adjustment Methods when Forecasting Intraday Volatility
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Martens, Martin
Erasmus University Rotterdam (EUR) Chang, Yuan-Chen
National Chung Hsing University Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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Posted:
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12 Apr 01
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Last Revised:
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11 Sep 01
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419
(32,504)
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15
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Martens, Martin
Erasmus University Rotterdam (EUR) Chang, Yuan-Chen
National Chung Hsing University Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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419
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15
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Martens, Martin
Erasmus University Rotterdam (EUR) Chang, Yuan-Chen
National Chung Hsing University Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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12.
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Asymmetric and Crash Effects in Stock Volatility for the S&P 100 Index and its Constituents
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Poon, Ser-Huang
University of Manchester - Business School Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Blair, Bevan
Ingenious
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348
(40,901)
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4
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Poon, Ser-Huang
University of Manchester - Business School Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Blair, Bevan
Ingenious
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0
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Poon, Ser-Huang
University of Manchester - Business School Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Blair, Bevan
Ingenious
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348
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13.
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Chang, Yuan-Chen
National Chung Hsing University Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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319
(45,350)
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8
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14.
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Pong, Shiu-yan Eddie
Lancaster University - Department of Accounting and Finance Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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| Posted: |
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31 Jan 06
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Last Revised:
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04 Apr 08
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291
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1
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long memory, volatility, spectral test
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15.
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Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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09 Feb 09
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Last Revised:
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15 Mar 11
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203
(74,507)
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Jumps, High-Frequency Prices, Bipower Variation, Realized Variance
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16.
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Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Tzeng, Chi Feng
National Tsing Hua University - College of Technology Management Widdicks, Martin
Lancaster University - Department of Accounting and Finance
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24 Aug 12
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Last Revised:
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09 Dec 12
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126
(114,710)
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Option prices, Bankruptcy probability, Risk-neutral density, Financial crisis
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17.
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Gilder, Dudley
Finance and Accounting Group, Aston Business School, Aston University Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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24 Mar 12
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Last Revised:
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06 Mar 13
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85
(152,155)
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High-Frequency Data, Non-parametric Jump Tests, Realised Volatility, Macroeconomic News
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18.
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Pong, Shiuyan
affiliation not provided to SSRN Shackleton, Mark B.
Lancaster University - Department of Accounting and Finance Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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2
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1
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19.
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Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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ARCH Models, Exchange Rates, Forecasting, Stock Markets, Time Series, Volatility
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20.
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Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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21.
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The Incremental Volatility Information in One Million Foreign Exchange Quotations
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Show Abstracts |
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Versions (2)
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Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Xu, Xinzhong
Peking University - Guang Hua School of Management
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Posted:
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25 Aug 98
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Last Revised:
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05 Sep 01
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Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Xu, Xinzhong
Peking University - Guang Hua School of Management
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0
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Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance Xu, Xinzhong
Peking University - Guang Hua School of Management
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22.
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Modelling S&P 100 Volatility: The Information Content of Stock Returns
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Blair, Bevan
Ingenious Poon, Ser-Huang
University of Manchester - Business School Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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Posted:
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03 Dec 97
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Last Revised:
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28 Sep 01
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Blair, Bevan
Ingenious Poon, Ser-Huang
University of Manchester - Business School Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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Blair, Bevan
Ingenious Poon, Ser-Huang
University of Manchester - Business School Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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