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Asset price dynamics, volatility, and prediction

Taylor, Stephen; Taylor, Stephen - 2005

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

Perturbation and symmetry techniques applied to finance

Taylor, Stephen - 2010

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

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

Trading futures using a channel rule : a study of the predictive power of technical analysis with currency examples

Taylor, Stephen - In: The journal of futures markets 14 (1994) 2, pp. 215-235

Persistent link: https://www.econbiz.de/10001169801

Forecasting currency volatility : a comparison of implied volatilities and AR(FI)MA models

Pong, Shiuyan; Shackleton, Mark B.; Taylor, Stephen; … - In: Journal of banking & finance 28 (2004) 10, pp. 2541-2563

Persistent link: https://www.econbiz.de/10002233147

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

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

Modelling financial time series

Taylor, Stephen - 2007 - 2. edition

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

Volatility Estimation and Forecasts Based on Price Durations

Hong, Seok Young - 2020

We investigate price duration variance estimators that have long been neglected in the literature. We show i) how price duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi-martingale price process and ii) how they are affected by a)...

Persistent link: https://www.econbiz.de/10012855793

A machine learning based asset pricing factor model comparison on anomaly portfolios

Fang, Ming; Taylor, Stephen - In: Economics letters 204 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012607835