Items where Author is "Taylor, S J"

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Number of items: 35.

Shackleton, M B and Taylor, S J and Yu, P (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 (11). pp. 2678-2693. ISSN 0378-4266

Blair, B J and Poon, S and Taylor, S J (2010) Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high frequency index returns. In: Handbook of Quantitative Finance and Risk Management :. Springer, Berlin, pp. 1333-1344. ISBN 9780387771168

Taylor, S J and Wang, Y (2010) Option prices and risk-neutral densities for currency cross-rates. Journal of Futures Markets, 30. pp. 324-360. ISSN 0270-7314

Pong, S and Shackleton, M B and Taylor, S J (2008) Distinguishing short and long memory volatility specifications. The Econometrics Journal, 11 (3). pp. 617-637. ISSN 1368-4221

Taylor, S J (2008) Modelling Financial Time Series (Second Edition). World Scientific Publishing, Singapore. ISBN 9812770844

Taylor, S J (2008) Stock price volatility. In: The New Palgrave Dictionary of Economics (Vol 8) :. Palgrave Macmillan, Basingstoke, pp. 8-10.

Liu, X and Shackleton, M B and Taylor, S J and Xu, X (2007) Closed-form transformations from risk-neutral to real-world distributions. Journal of Banking and Finance, 31 (5). pp. 1501-1520. ISSN 0378-4266

Bartram, S and Taylor, S J and Wang, Y (2007) The Euro and European financial market dependence. Journal of Banking and Finance, 51 (5). pp. 1461-1481. ISSN 0378-4266

Liu, X and Shackleton, M B and Taylor, S J and Xu, X (2006) Empirical pricing kernels obtained from the UK index options market. Working Paper. The Department of Accounting and Finance, Lancaster University.

Wang, Y and Keswani, A and Taylor, S J (2006) The relationships between sentiment, returns and volatility. International Journal of Forecasting, 22. pp. 109-123.

Taylor, S J (2005) Asset Price Dynamics, Volatility and Prediction. Princeton University Press, Princeton. ISBN 0-691-11537-0

Taylor, S J (2005) Financial returns modelled by the product of two stochastic processes, a study of daily sugar prices. In: Stochastic Volatility: Selected Readings :. Oxford University Press, Oxford, pp. 60-82. ISBN 0199257191

Pong, E and Shackleton, M B and Taylor, S J and Xu, X (2004) Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models. Journal of Banking and Finance, 28 (10). pp. 2541-2563. ISSN 0378-4266

Taylor, S J and Xu, X (2003) Conditional volatility and the informational efficiency of the PHLX currency options market. In: Financial Forecasting :. Edward Elgar, Cheltenham, pp. 518-536. ISBN 1-84064-034-0

Taylor, S J (2003) Forecasting the volatility of currency exchange rates. In: Financial Forecasting :. Edward Elgar, Cheltenham, pp. 389-400. ISBN 1-84064-034-0

Chang, Y and Taylor, S J (2003) Information arrivals and intraday exchange rate volatility. Journal of International Financial Markets, Institutions and Money, 13. pp. 85-112. ISSN 1042-4431

Poon, S and Taylor, S J and Blair, B J (2002) Asymmetric and crash effects in stock volatility for the S and P 100 index and its constituents. Applied Financial Economics, 12. pp. 319-329. ISSN 0960-3107

Taylor, S J (2002) Conjectured models for trends in financial prices, tests and forecasts. In: Forecasting Financial Markets (Volume 1) :. Edward Elgar, Cheltenham, pp. 212-236. ISBN 1-84064-497-4

Taylor, S J (2002) Forecasting the volatility of currency exchange rates. In: Forecasting Financial Markets (Volume 2) :. Edward Elgar, Cheltenham, pp. 125-136. ISBN 1-84064-497-4

Martens, M P E and Chang, Y and Taylor, S J (2002) Intraday volatility forecasts using different seasonality adjustment methods. Journal of Financial Research, 25. pp. 283-297. ISSN 0270-2592

Areal, N M P C and Taylor, S J (2002) The realized volatility of FTSE-100 futures prices. Journal of Futures Markets, 22 (7). pp. 627-648. ISSN 0270-7314

Taylor, S J (2001) Consequences for option pricing of a long memory in volatility. Working Paper. The Department of Accounting and Finance, Lancaster University.

Blair, B J and Poon, S and Taylor, S J (2001) Modelling S&P 100 volatility: the information content of stock returns. Journal of Banking and Finance, 25 (9). pp. 1665-1679. ISSN 0378-4266

Taylor, S J (1999) Markov processes and the distribution of volatility : a comparison of discrete and continuous specifications. Philosophical Transactions A: Mathematical, Physical and Engineering Sciences, 357 (1758). pp. 2059-2070. ISSN 1364-503X

Xu, X and Taylor, S J (1999) The incremental volatility information in one million foreign exchange quotations. In: Financial Markets Tick by Tick :. John Wiley and Sons Ltd, Chichester, pp. 65-90. ISBN 0-471-98160-5

Chang, Y and Taylor, S J (1998) Intraday effects of foreign exchange intervention by the Bank of Japan. Journal of International Money and Finance, 17. pp. 191-210. ISSN 0261-5606

Taylor, S J (1998) Modelling stochastic volatility: a review and comparative study. In: Volatility: New Estimation Techniques for Pricing Derivatives :. Risk Books, London, pp. 95-108. ISBN 1-899332-46-4

Taylor, S J (1998) The magnitude of implied volatility smiles: theory and empirical evidence for exchange rates. In: Currency Derivatives: Pricing Theory, Exotic Options, Hedging Applications :. John Wiley and Sons Ltd, Chichester, pp. 165-180. ISBN 0-471-25267-0

Taylor, S J (1998) The term structure of volatility implied by foreign exchange options. In: Currency Derivatives: Pricing Theory, Exotic Options, Hedging Applications :. John Wiley and Sons Ltd, Chichester, pp. 181-200. ISBN 0-471-25267-0

Xu, X and Taylor, S J (1994) The term structure of volatility implied by foreign exchange options. Journal of Financial and Quantitative Analysis, 29. pp. 57-74. ISSN 0022-1090

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