Journal of Time Series Analysis has just published a special issue in Honour of Stephen J. Taylor, guest edited by Torben G. Andersen, Kim Christensen and Ingmar Nolte.

Stephen John Taylor was born in England in 1954 and dedicated his career to research in Financial Econometrics. He obtained an MA in Mathematics from Trinity College, University of Cambridge, UK, an MA and a PhD in Operational Research from Lancaster University, UK, in the 1970s.

From 1977 until his emeritation in 2020, as Professor of Finance in the Accounting and Finance Department at Lancaster University, he held positions as Lecturer in Operational Research (1977–88), Lecturer in Finance (1988-89), Reader in Finance (1989–93) and Professor of Finance (1993–2020) at Lancaster. Stephen is a key authority in the area of Time Series Econometrics, especially regarding Stochastic Volatility and Option Pricing modelling. He has published more than 60 papers in the broader areas of Finance and Econometrics including in top journals such as the Journal of Econometrics, Journal of Financial & Quantitative Analysis and Journal of Financial Econometrics. Stephen has been cited extensively with more than 14,000 google-scholar citations as of 2025, and he has contributed to the careers of over 20 PhD students and numerous co-authors.

Stephen was one of the very first contributors to the European Finance Association and a founding member of the Society of Financial Econometrics. His work has inspired generations of scholars in the area, and he is referenced in the Engle and Granger 2003 Nobel Prize review. 

The Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy at Lancaster University, UK, hosted a Financial Econometrics Conference to mark Stephen Taylor’s Retirement in 2023 with over 100 international participants coming together to celebrate Stephen’s career and contributions. This special issue in the Journal of Time Series Analysis is dedicated to Stephen Taylor with papers solicited from the conference submissions and then undergoing the journal’s rigorous review process. The special issue contains eight papers on the latest topics in Time Series Econometrics building on and reflecting on Stephen’s earlier work in the area and one paper by Stephen himself on his latest work concerning market microstructure noise components.

Read the guest editorial here.