Items where Author is "Taylor, Stephen John"

Journal Article

Taylor, Stephen John and Tzeng, Joseph and Widdicks, Martin (2018) Information about price and volatility jumps inferred from options prices. Journal of Futures Markets, 38 (10). pp. 1206-1226. ISSN 0270-7314

Fan, Rui and Taylor, Stephen John and Sandri, Matteo (2018) Density forecast comparisons for stock prices, obtained from high-frequency returns and daily option prices. Journal of Futures Markets, 38 (1). pp. 83-103. ISSN 0270-7314

Taylor, Stephen John (1994) Modelling stochastic volatility : a review and comparative study. Mathematical Finance, 4 (2). pp. 183-204. ISSN 0960-1627

Contribution in Book/Report/Proceedings

Taylor, Stephen John (2018) Financial returns modelled by the product of two stochastic processes, a study of daily sugar prices. In: Volatility :. The International Library of Critical Writings in Economics . Edward Elgar, Cheltenham, pp. 423-446. ISBN 9781788110617

Monograph

Nolte, Ingmar and Taylor, Stephen John and Zhao, Xiaolu (2018) High-frequency Covariance Matrix Estimation Using Price Durations. Working Paper. UNSPECIFIED.

Zhao, Xiaolu and Taylor, Stephen John and Nolte, Ingmar (2016) More accurate volatility estimation and forecasts using price durations. Working Paper. UNSPECIFIED.

Taylor, Stephen John (2015) Microstructure noise components of the SandP 500 index : variation, persistence and distributions. Working Paper. UNSPECIFIED. (Unpublished)