University of Essex

Academic Staff

Professor Robert Taylor

Staff positionProfessor of Financial Econometrics
Telephone01206 873973
RoomEBS 3.12
Office hoursProfessor Taylor is on sabbatical leave until October 2017

Robert 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.  Robert 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)

ScD Economics (Cambridge)

Research interests

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


Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions (with P Boswijk, G Cavaliere and A Rahbek), forthcoming, Journal of Econometrics

Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models with an Application to Price Dynamics in Commodity Spot and Futures Markets (with G Cavaliere and M. Nielsen), 2015, Journal of Econometrics 187, 557-579.

Testing for Seasonal Unit Roots by Frequency Domain Regression (with M Chambers and J Ercolani), 2014, Journal of Econometrics 178, 243–258.

Robust Tests for a Linear Trend with an Application to Equity Indices (with S Astill, D Harvey and S Leybourne), 2014, Journal of Empirical Finance 29, 168–185.

Testing for Unit Roots in the Possible Presence of Multiple Trend Breaks Using Minimum Dickey-Fuller Statistics (with D.I. Harvey and S.J. Leybourne), 2013, Journal of Econometrics 177, 265-284.

Testing for a Break in Trend when the Order of Integration is Unknown (with F Iacone and S Leybourne), 2013, Journal of Econometrics 176, 30-45.

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

Testing for Unit Roots in the Presence of Uncertainty over Both the Trend and Initial Condition (with D.I. Harvey and S.J. Leybourne), 2012, Journal of Econometrics 169, 188-195.

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

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

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,  2015

Creates Long Memory Symposium, Aarhus University, June 2013

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