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Upcoming open days

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Colchester Campus
Saturday 21 June 2014 (booking now)
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University of Essex

Academic Staff

Professor Robert Taylor

Staff positionProfessor of Financial Econometrics
Telephone01206 873973
Office hoursProfessor Taylor is on sabbatical leave until October 2015

Professor Taylor took his PhD from Cambridge University in 1997.  He has previously held academic posts at the Universities of York, Birmingham and Nottingham.  He is a fellow of the Journal of Econometrics.  Professor Taylor is Editor-in-Chief of the Journal of Time Series Analysis, a Co-Editor of Econometric Theory, and an Associate Editor of The Econometrics Journal and of Econometrics Reviews. 


BA Management Science (Kent)

MSc Statistics (Kent)

MPhil Economics (Cambridge)

PhD Economics (Cambridge)

Research interests

Time series econometrics; financial econometrics; non-stationary time series analysis


Bootstrap Determination of the Co-integration Rank in VAR Models (with G Cavaliere and A Rahbek), 2012, Econometrica, 80, 1721-1740.

Robust Methods for Detecting Multiple Level Breaks in Autocorrelated Time Series (with D. Harvey and S. Leybourne), 2010, Journal of Econometrics. 157 342-358.

Unit Root Testing under a Local Break in Trend (with D Harvey and S Leybourne), 2012, Journal of Econometrics 167, 140-167.

Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility (with G. Cavaliere and A. Rahbek), 2010, Journal of Econometrics 158, 7-24.


QASS/MMF Conference, Brunel University, May,  2013

Creates Long Memory Symposium, Aarhus University, June 2013

Conference in Honour of James Davidson, Exeter University, May 2013 

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