Stephen Taylor’s short CV
Employment
·
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
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, in chronological order)
·
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.
·
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.