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The relationships between sentiment, returns and volatility

Wang, Yaw-Huei; Keswani, Aneel; Taylor, Stephen - In: International journal of forecasting 22 (2006) 1, pp. 109-123

Persistent link: https://www.econbiz.de/10003283957

Asset price dynamics, volatility, and prediction

Taylor, Stephen J.; Taylor, Stephen - 2005

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

Stock index and price dynamics in the UK and the US : new evidence from a trading rule and statistical analysis

Taylor, Stephen - In: The European journal of finance 6 (2000) 1, pp. 39-69

Persistent link: https://www.econbiz.de/10001526033

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

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

Cojumps in stock prices : empirical evidence

Gilder, Dudley; Shackleton, Mark B.; Taylor, Stephen - In: Journal of banking & finance 40 (2014), pp. 443-459

Persistent link: https://www.econbiz.de/10010404700

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

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

Asset Price Dynamics, Volatility, and Prediction

Taylor, Stephen J. - 2005

This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily...

Persistent link: https://www.econbiz.de/10014488381

Asset price dynamics, volatility, and prediction

Taylor, Stephen J. - 2007 - 1. paperback print.

Persistent link: https://www.econbiz.de/10012683504