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The Euro and European financial market dependence

Bartram, Söhnke M.; Taylor, Stephen; Wang, Yaw-Huei - In: Journal of banking & finance 31 (2007) 5, pp. 1461-1481

Persistent link: https://www.econbiz.de/10003461173

A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices

Shackleton, Mark B.; Taylor, Stephen; Yu, Peng - In: Journal of banking & finance 34 (2010) 11, pp. 2678-2693

Persistent link: https://www.econbiz.de/10008858849

Modelling financial time series

Taylor, Stephen - 2007 - 2. edition

Persistent link: https://www.econbiz.de/10003553502

The information content of implied volatilities and model-free volatility expectations : evidence from options written on individual stocks

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - In: Journal of banking & finance 34 (2010) 4, pp. 871-881

Persistent link: https://www.econbiz.de/10003966119

The information content of implied volatilities and model-free volatility expectations : evidence from options written on individual stocks

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - 2009

The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...

Persistent link: https://www.econbiz.de/10003857823

Distinguishing short and long memory volatility specifications

Pong, Shiuyan; Shackleton, Mark B.; Taylor, Stephen - In: The econometrics journal 11 (2008) 3, pp. 617-637

Persistent link: https://www.econbiz.de/10003802446

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

Blair, Bevan J.; Poon, Ser-Huang; Taylor, Stephen - In: Journal of econometrics 105 (2001) 1, pp. 5-26

Persistent link: https://www.econbiz.de/10001617140

Information arrivals and intraday exchange rate volatility

Chang, Yuanchen; Taylor, Stephen - In: Journal of international financial markets, … 13 (2003) 2, pp. 85-112

Persistent link: https://www.econbiz.de/10001950036