Stephen J Taylor, Lancaster University

Stephen Taylor’s short CV

Employment

· Continuous at Lancaster University since 1977

· Professor of Finance since 1993

· 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

Asia: Beijing University, City University of Hong Kong, National Taiwan University

The far side of the globe: University of Technology, Sydney, Monash University, Melbourne, University of Canterbury, Christchurch

Books

· 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)

· S.J. Taylor, 1982 & 2005, Financial returns modelled by the product of two stochastic processes …., 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.

· Y. Chang and S.J. Taylor, 1998, Intraday effects of foreign exchange intervention by the Bank of Japan, Journal of International Money and Finance 17, 191-210.

· 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.

Three recent papers

· 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.

· X. Liu, M.B. Shackleton, S.J. Taylor and X. Xu, 2007, Closed-form transformations from risk-neutral to real-world densities, Journal of Banking and Finance 31, 1501-1520.

· M.B. Shackleton, S.J. Taylor and P. Yu, 2007, A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices, working paper.

Stephen Taylor’s short CV

· Continuous at Lancaster University since 1977

· Professor of Finance since 1993

· 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

Asia: Beijing University, City University of Hong Kong, National Taiwan University

The far side of the globe: University of Technology, Sydney, Monash University, Melbourne, University of Canterbury, Christchurch

Books

· 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)

· S.J. Taylor, 1982 & 2005, Financial returns modelled by the product of two stochastic processes …., 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.

· Y. Chang and S.J. Taylor, 1998, Intraday effects of foreign exchange intervention by the Bank of Japan, Journal of International Money and Finance 17, 191-210.

· 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.

Three recent papers

· 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.

· X. Liu, M.B. Shackleton, S.J. Taylor and X. Xu, 2007, Closed-form transformations from risk-neutral to real-world densities, Journal of Banking and Finance 31, 1501-1520.

· M.B. Shackleton, S.J. Taylor and P. Yu, 2007, A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices, working paper.

Current areas of interest

Stock, commodity and currency prices in general and, in particular,

(a) High-frequency financial econometrics

(b) Estimation of risk-neutral and real-world densities from option prices.

Stephen Taylor’s unofficial home page

Last revised in June 2009