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Perturbation and symmetry techniques applied to finance

Taylor, Stephen - 2010

Persistent link: https://www.econbiz.de/10010418488

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

The incremental volatility information in one million foreign exchange quotations

Taylor, Stephen - In: Journal of empirical finance 4 (1997) 4, pp. 317-340

Persistent link: https://www.econbiz.de/10001236462

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

Poon, Ser-Huang - In: Journal of banking & finance 16 (1992) 1, pp. 37-59

Persistent link: https://www.econbiz.de/10001330028

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

Xu, Xinzhong - In: Journal of banking & finance 19 (1995) 5, pp. 803-821

Persistent link: https://www.econbiz.de/10001185510

Estimating and validating a firm-year-specific measure of conservatism : Australian evidence

Lai, Cheng; Taylor, Stephen L. - In: Accounting and finance : journal of the Accounting … 48 (2008) 4, pp. 673-695

Persistent link: https://www.econbiz.de/10003782229

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

Volatility estimation and forecasts based on price durations

Hong, Seok Young; Nolte, Ingmar; Taylor, Stephen; Zhao, … - In: Journal of financial econometrics 21 (2023) 1, pp. 106-144

Persistent link: https://www.econbiz.de/10013542852