| Modelling financial time series SJ Taylor Stephen J. Taylor, MODELLING FINANCIAL TIME SERIES (SECOND EDITION), World …, 2007 | 4712 | 2007 |
| Modeling stochastic volatility: A review and comparative study SJ Taylor Mathematical finance 4 (2), 183-204, 1994 | 1143 | 1994 |
| Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns BJ Blair, SH Poon, SJ Taylor Handbook of Quantitative Finance and Risk Management, 1333-1344, 2010 | 935* | 2010 |
| Asset price dynamics, volatility, and prediction SJ Taylor Princeton university press, 2011 | 765 | 2011 |
| Financial returns modelled by the product of two stochastic processes, a study of daily sugar prices SJ Taylor Edward Elgar, 2012 | 715* | 2012 |
| The incremental volatility information in one million foreign exchange quotations SJ Taylor, X Xu Journal of Empirical Finance 4 (4), 317-340, 1997 | 443 | 1997 |
| Stock returns and volatility: An empirical study of the UK stock market SH Poon, SJ Taylor Journal of banking & finance 16 (1), 37-59, 1992 | 381 | 1992 |
| Forecasting currency volatility: A comparison of implied volatilities and AR (FI) MA models S Pong, MB Shackleton, SJ Taylor, X Xu Journal of Banking & Finance 28 (10), 2541-2563, 2004 | 377 | 2004 |
| The relationships between sentiment, returns and volatility YH Wang, A Keswani, SJ Taylor International Journal of Forecasting 22 (1), 109-123, 2006 | 370 | 2006 |
| The Euro and European financial market dependence SM Bartram, SJ Taylor, YH Wang Journal of Banking & Finance 31 (5), 1461-1481, 2007 | 334 | 2007 |
| Macroeconomic factors and the UK stock market S Poon, SJ Taylor Journal of Business Finance & Accounting 18 (5), 619-636, 1991 | 334* | 1991 |
| Forecasting the volatility of currency exchange rates SJ Taylor Edward Elgar 2, 125-136, 2002 | 320* | 2002 |
| Forecasting the volatility of currency exchange rates SJ Taylor International Journal of Forecasting 3 (1), 159-170, 1987 | 320 | 1987 |
| The term structure of volatility implied by foreign exchange options X Xu, SJ Taylor Journal of Financial and Quantitative Analysis 29 (01), 57-74, 1994 | 258 | 1994 |
| The realized volatility of FTSE‐100 futures prices NMPC Areal, SJ Taylor Journal of Futures Markets 22 (7), 627-648, 2002 | 247 | 2002 |
| Conditional volatility and the informational efficiency of the PHLX currency options market X Xu, SJ Taylor Journal of Banking & Finance 19 (5), 803-821, 1995 | 201 | 1995 |
| Closed-form transformations from risk-neutral to real-world distributions X Liu, MB Shackleton, SJ Taylor, X Xu Journal of Banking & Finance 31 (5), 1501-1520, 2007 | 186 | 2007 |
| Intraday effects of foreign exchange intervention by the Bank of Japan Y Chang, SJ Taylor Journal of International Money and Finance 17 (1), 191-210, 1998 | 169 | 1998 |
| Trading futures using a channel rule: A study of the predictive power of technical analysis with currency examples SJ Taylor Journal of Futures Markets 14 (2), 215-235, 1994 | 166 | 1994 |
| The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks SJ Taylor, PK Yadav, Y Zhang Journal of Banking & Finance 34 (4), 871-881, 2010 | 163 | 2010 |
Mark B. ShackletonProfessor of Finance, Accounting and Finance, Lancaster University Management SchoolVerified email at lancaster.ac.uk
