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

26

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134

CROSSREF CITATIONS

29

Scholarly Papers (26)

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, Alliance Manchester Business School, University of Manchester and Lancaster University - Department of Accounting and Finance
Downloads 1,420 (16,417)
Citation 14

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

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

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

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 1,385 (17,038)
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

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

3.

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

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 1,381 (17,455)
Citation 26

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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
National Taiwan University, Faculty of Finance, Cass Business School, City University, London and Lancaster University - Department of Accounting and Finance
Downloads 1,112 (24,095)
Citation 18

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

5.
Downloads 951 ( 30,176)
Citation 6

The Euro and European Financial Market Dependence

AFA 2007 Chicago Meetings Paper, Journal of Banking and Finance, Vol. 31, No. 5, 2007, WBS Finance Group Research Paper No. 45
Number of pages: 34 Posted: 02 Jul 2005 Last Revised: 23 Dec 2019
Söhnke M. Bartram, Stephen J. Taylor and Yaw-Huei Wang
University of Warwick, Lancaster University - Department of Accounting and Finance and National Taiwan University
Downloads 730 (42,862)
Citation 5

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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, WBS Finance Group Research Paper No. 67
Number of pages: 34 Posted: 15 Aug 2006 Last Revised: 23 Dec 2019
Yaw-Huei Wang, Söhnke M. Bartram and Stephen J. Taylor
National Taiwan University, University of Warwick and Lancaster University - Department of Accounting and Finance
Downloads 221 (171,725)
Citation 2

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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 National Taiwan University
Downloads 799 (38,437)
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

Number of pages: 56 Posted: 13 May 2001
Stephen J. Taylor
Lancaster University - Department of Accounting and Finance
Downloads 728 (43,634)
Citation 7

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8.

The Realized Volatility of Ftse-100 Futures Prices

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 671 (48,682)
Citation 7

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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 402 (90,781)
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 266 (143,078)
Citation 7

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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 546 (63,317)
Citation 12

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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
Robeco Asset Management, National Chung Hsing University and Lancaster University - Department of Accounting and Finance
Downloads 525 (65,759)
Citation 4

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A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility

Posted: 12 Apr 2001
Martin Martens, Yuan-Chen Chang and Stephen J. Taylor
Robeco Asset Management, 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
Alliance Manchester Business School, University of Manchester, Lancaster University - Department of Accounting and Finance and Ingenious
Downloads 381 (96,668)

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

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

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13.

Volatility Estimation and Forecasts Based on Price Durations

Number of pages: 74 Posted: 11 Jan 2016 Last Revised: 29 Jan 2021
Seok Young Hong, Ingmar Nolte, Stephen J. Taylor and Xiaolu Zhao
University of Nottingham, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Dongbei University of Finance and Economics
Downloads 376 (98,922)
Citation 4

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Price durations; Volatility estimation; High-frequency data; Market microstructure noise; Forecasting

14.

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 342 (110,023)
Citation 2

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15.

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 329 (114,858)

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long memory, volatility, spectral test

16.

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

Number of pages: 80 Posted: 07 Sep 2019 Last Revised: 27 Aug 2020
Northwestern University - Kellogg School of Management, University of Vienna - Faculty of Business, Economics and Statistics, University of Vienna, University of Vienna - Department of Statistics and Operations Research, University of Manchester - Alliance Manchester Business School, 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 323 (117,525)
Citation 1

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Options Data, High Frequency Data, Market Microstructure

17.

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 266 (143,698)
Citation 2

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

18.

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 196 (192,437)
Citation 7

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

19.

S&P 500 Microstructure Noise Components: Empirical Inferences from Futures and ETF prices

Number of pages: 62 Posted: 13 May 2014 Last Revised: 03 Nov 2020
Stephen J. Taylor
Lancaster University - Department of Accounting and Finance
Downloads 192 (196,016)

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

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
Dongbei University of Finance and Economics, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and Finance
Downloads 116 (294,426)

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

21.

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 112 (301,814)
Citation 1

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

22.

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 (803,944)

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

23.

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

24.

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

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

Posted: 28 Sep 2001
Bevan Blair, Ser-Huang Poon and Stephen J. Taylor
Ingenious, Alliance Manchester Business School, University of Manchester and Lancaster University - Department of Accounting and Finance

Abstract:

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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, Alliance Manchester Business School, University of Manchester and Lancaster University - Department of Accounting and Finance

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