|Staff position||Professor of Financial Econometrics
|Office hours||Professor 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)
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