Stephen J. Taylor

Lancaster University - Department of Accounting and Finance

The Management School

Lancaster LA1 4YX

United Kingdom

http://www.lancs.ac.uk/staff/afasjt

SCHOLARLY PAPERS

27

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96

CROSSREF CITATIONS

33

Scholarly Papers (27)

Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models

Lancaster University Working Paper; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 40 Posted: 16 Mar 2002
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management
Downloads 1,360 (13,422)
Citation 15

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Realized volatility, Fractional integration, Forecasting, Implied volatilities, Exchange rates

Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models

Journal of Banking and Finance, Forthcoming
Posted: 10 Dec 2003
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management

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Realized volatility, Fractional integration, Forecasting, Implied volatilities, Exchange rates

Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns

Lancaster University Management School, Accounting and Finance Working Paper No. 99/014
Number of pages: 35 Posted: 29 Oct 1999
Bevan Blair, Ser-Huang Poon and Stephen J. Taylor
Ingenious, University of Manchester - Manchester Business School and Lancaster University - Department of Accounting and Finance
Downloads 1,352 (13,548)
Citation 7

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Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns

Journal of Econometrics, Forthcoming
Posted: 17 Oct 2001
Bevan Blair, Ser-Huang Poon and Stephen J. Taylor
Ingenious, University of Manchester - Manchester Business School and Lancaster University - Department of Accounting and Finance

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3.

Closed-Form Transformations from Risk-Neutral to Real-World Distributions

EFA 2003 Annual Conference Paper No. 144
Number of pages: 48 Posted: 03 Jun 2004
Xiaoquan Liu, Mark B. Shackleton, Stephen J. Taylor and Xinzhong Xu
Essex Business School, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management
Downloads 1,302 (14,654)
Citation 21

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4.

The Relationships between Sentiment, Returns and Volatility

EFMA 2004 Basel Meetings Paper, Cass Business School Research Paper, International Journal of Forecasting, Vol. 21, No. 1, 2006
Number of pages: 34 Posted: 12 May 2004 Last Revised: 27 Feb 2019
Yaw-Huei Wang, Aneel Keswani and Stephen J. Taylor
UNSW, Faculty of Finance, Cass Business School, City University, London and Lancaster University - Department of Accounting and Finance
Downloads 1,048 (20,308)
Citation 18

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Causality, Investor Surveys, Market based sentiment measures, Realized volatility, Stock index returns

5.
Downloads 921 ( 24,584)
Citation 3

The Euro and European Financial Market Dependence

AFA 2007 Chicago Meetings Paper, Journal of Banking and Finance, Vol. 31, No. 5, 2007
Number of pages: 34 Posted: 02 Jul 2005 Last Revised: 27 Feb 2019
Söhnke M. Bartram, Stephen J. Taylor and Yaw-Huei Wang
Warwick Business School - Department of Finance, Lancaster University - Department of Accounting and Finance and UNSW
Downloads 710 (34,775)
Citation 4

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Euro, financial markets, dependence, co-movement, copula, GARCH, international finance, integration

The Euro and European Financial Market Dependence

Journal of Banking and Finance, Vol. 51, No. 5, pp. 1461-1481, May 2007
Number of pages: 34 Posted: 15 Aug 2006 Last Revised: 11 Mar 2014
Yaw-Huei Wang, Söhnke M. Bartram and Stephen J. Taylor
UNSW, Warwick Business School - Department of Finance and Lancaster University - Department of Accounting and Finance
Downloads 211 (145,075)

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Euro, international finance, dependence, copula, GARCH

6.

Option Prices and Risk-Neutral Densities for Currency Cross-Rates

Journal of Futures Markets, 30(4):324-360, EFA 2004 Maastricht Meetings Paper No. 2157
Number of pages: 50 Posted: 09 Mar 2004 Last Revised: 27 Feb 2019
Stephen J. Taylor and Yaw-Huei Wang
Lancaster University - Department of Accounting and Finance and UNSW
Downloads 770 (31,610)
Citation 1

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Option pricing, density estimation, exchange rates, cross-rate, copulas

7.

Consequences for Option Pricing of a Long Memory in Volatility

EFA 2001 Barcelona Meetings, EFMA 2001 Lugano Meetings
Number of pages: 56 Posted: 13 May 2001
Stephen J. Taylor
Lancaster University - Department of Accounting and Finance
Downloads 709 (35,388)
Citation 8

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8.

The Realized Volatility of Ftse-100 Futures Prices

EFA 0237; Department of Accounting and Finance, Lancaster University
Number of pages: 31 Posted: 11 Dec 2000
Nelson Areal and Stephen J. Taylor
University of Minho - School of Economics and Management and Lancaster University - Department of Accounting and Finance
Downloads 663 (38,693)
Citation 6

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The Information Content of Implied Volatilities and Model-Free Volatility Expectations: Evidence from Options Written on Individual Stocks

Number of pages: 56 Posted: 14 Mar 2006
Stephen J. Taylor, Yuanyuan Zhang and Pradeep K. Yadav
Lancaster University - Department of Accounting and Finance, Sun Yat-Sen University (SYSU) - Lingnan (University) College and University of Oklahoma Price College of Business
Downloads 381 (76,863)
Citation 13

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Stock options, Implied volatility, Model-free volatility expectation, Information content, ARCH models

The Information Content of Implied Volatilities and Model-Free Volatility Expectations: Evidence from Options Written on Individual Stocks

Number of pages: 64 Posted: 06 Mar 2008
Stephen J. Taylor, Pradeep K. Yadav and Yuanyuan Zhang
Lancaster University - Department of Accounting and Finance, University of Oklahoma Price College of Business and Sun Yat-Sen University (SYSU) - Lingnan (University) College
Downloads 256 (119,573)
Citation 1

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Stock options, Information conten, Implied volatility, Model-free volatility expectations, ARCH models

10.

A Multi-Horizon Comparison of Density Forecasts for the S&P 500 Using Index Returns and Option Prices

EFA 2008 Athens Meetings Paper
Number of pages: 57 Posted: 17 Mar 2008 Last Revised: 11 May 2010
Mark B. Shackleton, Stephen J. Taylor and Peng Yu
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and Finance
Downloads 532 (51,583)
Citation 10

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ARCH Models, Density Forecasts, Risk-Neutral Densities, Risk Transformations

A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility

Number of pages: 26 Posted: 11 Sep 2001
Martin Martens, Yuan-Chen Chang and Stephen J. Taylor
Erasmus University Rotterdam (EUR), National Chung Hsing University and Lancaster University - Department of Accounting and Finance
Downloads 477 (58,654)
Citation 3

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A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility

Forthcoming in Journal of Financial Research
Posted: 12 Apr 2001
Martin Martens, Yuan-Chen Chang and Stephen J. Taylor
Erasmus University Rotterdam (EUR), National Chung Hsing University and Lancaster University - Department of Accounting and Finance

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Asymmetric and Crash Effects in Stock Volatility for the S&P 100 Index and its Constituents

Lancaster University, Management School Working Paper 98/003
Number of pages: 31 Posted: 11 Sep 2001
Ser-Huang Poon, Stephen J. Taylor and Bevan Blair
University of Manchester - Manchester Business School, Lancaster University - Department of Accounting and Finance and Ingenious
Downloads 375 (78,327)

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Asymmetric and Crash Effects in Stock Volatility for the S&P 100 Index and its Constituents

Applied Financial Economics, forthcoming
Posted: 11 Sep 2001
Ser-Huang Poon, Stephen J. Taylor and Bevan Blair
University of Manchester - Manchester Business School, Lancaster University - Department of Accounting and Finance and Ingenious

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13.

Information Arrivals and Intraday Exchange Rate Volatility

WP 96/006
Number of pages: 40 Posted: 11 Sep 2001
Yuan-Chen Chang and Stephen J. Taylor
National Chung Hsing University and Lancaster University - Department of Accounting and Finance
Downloads 340 (88,509)
Citation 2

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14.

Distinguishing Short and Long Memory Volatility Specifications

Number of pages: 38 Posted: 31 Jan 2006 Last Revised: 12 May 2014
Shiu-yan Eddie Pong, Mark B. Shackleton and Stephen J. Taylor
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and Finance
Downloads 325 (92,983)

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long memory, volatility, spectral test

15.

More Accurate Volatility Estimation and Forecasts Using Price Durations

Number of pages: 61 Posted: 11 Jan 2016 Last Revised: 14 Nov 2018
Ingmar Nolte, Stephen J. Taylor and Xiaolu Zhao
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Donbei University of Finance and Economics
Downloads 292 (104,580)
Citation 4

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Volatility estimation; Stochastic sampling; Price durations; High-frequency prices; Market microstructure noise; Forecasting; DJIA stocks.

16.

An Econometric Defence of Pure-Jump Price Dynamics

Number of pages: 26 Posted: 09 Feb 2009 Last Revised: 15 Mar 2011
Stephen J. Taylor
Lancaster University - Department of Accounting and Finance
Downloads 257 (119,649)
Citation 2

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Jumps, High-Frequency Prices, Bipower Variation, Realized Variance

17.

Cojumps in Stock Prices: Empirical Evidence

Number of pages: 59 Posted: 24 Mar 2012 Last Revised: 06 Mar 2013
Dudley Gilder, Mark B. Shackleton and Stephen J. Taylor
Nottingham University Business School, University of Nottingham, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and Finance
Downloads 181 (167,528)
Citation 3

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High-Frequency Data, Non-parametric Jump Tests, Realised Volatility, Macroeconomic News

18.

Microstructure Noise Components of the S&P 500 Index: Variation, Persistence and Distributions

Number of pages: 60 Posted: 13 May 2014 Last Revised: 02 Nov 2016
Stephen J. Taylor
Lancaster University - Department of Accounting and Finance
Downloads 172 (175,305)

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High-frequency, Microstructure noise, S&P 500 index, Spot/futures basis

19.

Density Forecast Comparisons for Stock Prices, Obtained from High-Frequency Returns and Daily Option Prices

Number of pages: 45 Posted: 13 Dec 2015 Last Revised: 29 Mar 2017
Rui Fan, Stephen J. Taylor and Matteo Sandri
Swansea University, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 105 (258,184)
Citation 1

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HAR models, density forecasts, stock options, high-frequency prices, risk-neutral densities, risk-transformations

20.

High-Frequency Covariance Matrix Estimation Using Price Durations

Number of pages: 57 Posted: 01 May 2018
Xiaolu Zhao, Ingmar Nolte and Stephen J. Taylor
Donbei University of Finance and Economics, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and Finance
Downloads 77 (314,178)

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Price Durations, Covariance Estimation, High-Frequency Data, Market Microstructure Noise, Minimum Variance Portfolio

21.

A Descriptive Study of High-Frequency Trade and Quote Option Data

Number of pages: 55 Posted: 07 Sep 2019
Northwestern University - Kellogg School of Management, European University Institute, University of Vienna, University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Independent
Downloads 61 (362,157)

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Options Data, High Frequency Data, Market Microstructure

22.

Distinguishing Short and Long Memory Volatility Specifications

Econometrics Journal, Vol. 11, Issue 3, pp. 617-637, November 2008
Number of pages: 21 Posted: 03 Nov 2008
Shiuyan Pong, Mark B. Shackleton and Stephen J. Taylor
affiliation not provided to SSRN, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and Finance
Downloads 3 (634,519)
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23.

Bankruptcy Probabilities Inferred from Option Prices

25th Australasian Finance and Banking Conference 2012, https://doi.org/10.3905/jod.2014.22.2.008
Posted: 20 May 2019
Stephen J. Taylor, Chi Feng Tzeng and Martin Widdicks
Lancaster University - Department of Accounting and Finance, National Tsing Hua University - College of Technology Management and Lancaster University - Department of Accounting and Finance
Downloads 0 (673,781)

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Option prices, Bankruptcy probability, Risk-neutral density, Financial crisis

24.

Modelling Financial Time Series (Second Edition)

Stephen J. Taylor, MODELLING FINANCIAL TIME SERIES (SECOND EDITION), World Scientific Publishing, 2007
Posted: 25 Sep 2009
Stephen J. Taylor
Lancaster University - Department of Accounting and Finance

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ARCH Models, Exchange Rates, Forecasting, Stock Markets, Time Series, Volatility

25.

Markov Processes and the Distribution of Volatility: A Comparison of Discrete and Continuous Specifications

Working Paper 99/001
Posted: 26 Feb 1999
Stephen J. Taylor
Lancaster University - Department of Accounting and Finance

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The Incremental Volatility Information in One Million Foreign Exchange Quotations

WP 95/008
Posted: 25 Aug 1998
Stephen J. Taylor and Xinzhong Xu
Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management

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The Incremental Volatility Information in One Million Foreign Exchange Quotations

Journal of Empirical Finance, Vol. 4, pp. 317-340, 1997
Posted: 05 Sep 2001
Stephen J. Taylor and Xinzhong Xu
Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management

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Modelling S&P 100 Volatility: The Information Content of Stock Returns

Journal of Banking and Finance, Vol. 25, pp. 1665-1679, 2001
Posted: 28 Sep 2001
Bevan Blair, Ser-Huang Poon and Stephen J. Taylor
Ingenious, University of Manchester - Manchester Business School and Lancaster University - Department of Accounting and Finance

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Modelling S&P 100 Volatility: The Information Content of Stock Returns

Posted: 03 Dec 1997
Bevan Blair, Ser-Huang Poon and Stephen J. Taylor
Ingenious, University of Manchester - Manchester Business School and Lancaster University - Department of Accounting and Finance

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