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Asset price dynamics, volatility, and prediction

Taylor, Stephen J.; Taylor, Stephen - 2005

Persistent link: https://www.econbiz.de/10002746484

Expected and realised returns for Singaporean IPOs : initial and long-run analysis

Lee, Philip J. - In: Pacific-Basin finance journal 4 (1996) 2, pp. 153-180

Persistent link: https://www.econbiz.de/10001334572

The role of "other information" in analysts' forecasts in understanding stock return volatility

Shan, Yaowen; Taylor, Stephen L.; Walter, Terry S. - In: Review of accounting studies 19 (2014) 4, pp. 1346-1392

Persistent link: https://www.econbiz.de/10010459687

Unbiased weighted variance and skewness estimators for overlapping returns

Taylor, Stephen; Fang, Ming - In: Swiss journal of economics and statistics 154 (2018) 1, pp. 2-8

This article develops unbiased weighted variance and skewness estimators for overlapping return distributions. These estimators extend the variance estimation methods constructed in Bod et. al. (Applied Financial Economics 12:155-158, 2002) and Lo and MacKinlay (Review of Financial Studies...

Persistent link: https://www.econbiz.de/10011962867

Fundamentals or managerial discretion? : the relationship between accrual variability and future stock return volatility

Shan, Yaowen; Taylor, Stephen L.; Walter, Terry S. - In: Abacus : a journal of accounting, finance and business … 49 (2013) 4, pp. 441-475

Persistent link: https://www.econbiz.de/10010236028

Modelling S&P 100 volatility : the information content of stock returns

Blair, Bevan J.; Poon, Ser-Huang; Taylor, Stephen - In: Journal of banking & finance 25 (2001) 9, pp. 1665-1679

Persistent link: https://www.econbiz.de/10001603579

Empirical pricing kernels obtained from the UK index options market

Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Applied economics letters 16 (2009) 10/12, pp. 989-993

Persistent link: https://www.econbiz.de/10003886597

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

Carnero, M. Angeles - In: International journal of forecasting 28 (2012) 1, pp. 36-38

Persistent link: https://www.econbiz.de/10009580803

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

Robust anomalies? : a close look at accrual-based trading strategy returns

Taylor, Stephen L.; Wong, Leon - In: Accounting and finance : journal of the Accounting … 52 (2012) 2, pp. 573-603

Persistent link: https://www.econbiz.de/10009690386