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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

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

How efficient are the most liquid futures contracts? : a study of treasury bond futures

Taylor, Stephen - In: Review of futures markets 7 (1988), pp. 456-638

Persistent link: https://www.econbiz.de/10001273586

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

World payments imbalances and US statistics

Taylor, Stephen - In: The measurement of saving, investment, and wealth, (pp. 401-429). 1989

Persistent link: https://www.econbiz.de/10001309734

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

Information arrivals and intraday exchange rate volatility

Chang, Yuanchen; Taylor, Stephen - In: Journal of international financial markets, … 13 (2003) 2, pp. 85-112

Persistent link: https://www.econbiz.de/10001950036

The information content of implied volatilities and model-free volatility expectations : evidence from options written on individual stocks

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - In: Journal of banking & finance 34 (2010) 4, pp. 871-881

Persistent link: https://www.econbiz.de/10003966119

Cross-sectional analysis of risk-neutral skewness

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - 2009

We investigate the association of various firm-specific and market-wide factors with the riskneutral skewness (RNS) implied by the prices of individual stock options. Our analysis covers 149 U.S. firms over a four-year period. Our choice of firms is based on adequate liquidity and trading...

Persistent link: https://www.econbiz.de/10003919376

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