Professor Stephen Taylor
Emeritus ProfessorResearch Overview
My research interests are in Financial Econometrics, particularly theoretical and empirical research related to (1) high-frequency price observations and (2) the prices of options. I work on asset price dynamics, volatility models and forecasts, risk-neutral and real-world density estimation.
Current Research
Properties of one-minute stock index returns. Jumps in asset prices. Model-free measures of volatility. Forward-looking information revealed by option prices.
For a complete list of publications, please see the CV at my personal website .
To download my papers at , or to review my Google Scholar citations (approx. 10,000), please also go via my personal website.
My Role
Professor of Finance since 1993.
Career Details
Please see the CV at my personal website .
Current Teaching
Executive education: lectures on asset prices and volatility.
Qualifications
BA Cambridge, MA, PhD Lancaster
PhD Supervision Interests
Not accepting new students, following partial retirement.
Selected Publications
Taylor, S.J. 2005 Princeton : Princeton University Press. 552 p. ISBN: 0-691-11537-0.
Book
Taylor, S.J. 2008 2nd ed. Singapore : World Scientific Publishing. 296 p. ISBN: 9812770844.
Book
Shackleton, M.B., Taylor, S.J., Yu, P. 11/2010 In: Journal of Banking and Finance. 34, 11, p. 2678-2693. 16 p.
Journal article
Gilder, D., Shackleton, M., Taylor, S.J. 2014 In: Journal of Banking and Finance. 40, p. 443-459. 17 p.
Journal article
All Publications
21/04/2017 → 30/04/2021
Research
Visiting an external academic institution
Participation in conference -Mixed Audience
Participation in workshop, seminar, course
Participation in conference -Mixed Audience
Publication peer-review
Participation in workshop, seminar, course
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Publication peer-review
Participation in conference -Mixed Audience
Visiting an external academic institution
Participation in conference -Mixed Audience
Invited talk
Visiting an external academic institution
Invited talk
Invited talk
Invited talk
Visiting an external academic institution
Publication peer-review
Participation in conference -Mixed Audience
Publication peer-review
Visiting an external academic institution
Invited talk
Invited talk
Participation in workshop, seminar, course
Visiting an external academic institution
Invited talk
Invited talk
Invited talk
Visiting an external academic institution
Participation in conference -Mixed Audience
Participation in conference -Mixed Audience
Invited talk
Participation in conference -Mixed Audience
Invited talk
Editorial activity
Editorial activity
- Accounting, Finance, Governance and Banking
- Asset Pricing and Financial Econometrics
- Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy