Stephen Taylor

Best Publications

• Modelling Financial Time Series

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  1458
  Citations

• Modelling Financial Time Series

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  1456
  Citations

• Forecasting Economic Time Series

  Clive Granger;Paul Newbold

  1204
  Citations

• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY

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  714
  Citations

• Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns

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  608
  Citations

• The incremental volatility information in one million foreign exchange quotations

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  392
  Citations

• Asset Price Dynamics, Volatility, and Prediction

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  366
  Citations

• Financial returns modelled by the product of two stochastic processes-A study of the daily sugar prices 1961-75

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  342
  Citations

• The Euro and European financial market dependence

  Söhnke M. Bartram;Stephen J. Taylor;Yaw-Huei Wang

  328
  Citations

• Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models

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  312
  Citations

• Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models

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  287
  Citations

• Stock returns and volatility: An empirical study of the UK stock market

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  234
  Citations

• Forecasting the volatility of currency exchange rates

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  229
  Citations

• The relationships between sentiment, returns and volatility

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  210
  Citations

• The Term Structure of Volatility Implied by Foreign Exchange Options

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  167
  Citations

• The realized volatility of FTSE‐100 futures prices

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  149
  Citations

• MACROECONOMIC FACTORS AND THE UK STOCK MARKET

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  146
  Citations

• The Information Content of Implied Volatilities and Model-Free Volatility Expectations: Evidence from Options Written on Individual Stocks

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  143
  Citations

• Conditional volatility and the informational efficiency of the PHLX currency options market

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  142
  Citations

• Closed-form transformations from risk-neutral to real-world distributions

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  129
  Citations