Robert Taylor

Professor Robert Taylor holds the John C Nankervis Chair of Financial Econometrics at the University of Essex's Essex Business School. He has been a faculty member at Essex since August 2013 and serves as Editor-in-Chief of the Journal of Time Series Analysis, while also holding associate editor positions at the Journal of Econometrics and Journal of Business and Economic Statistics. His academic career includes previous appointments at the Universities of York, Birmingham and Nottingham.

Professor Taylor earned his academic credentials from prestigious institutions, completing a BA in Management Science and MSc in Statistics at the University of Kent, followed by MPhil, PhD and ScD degrees in Economics from Cambridge University. His scholarly contributions have established him as a leading figure in econometric theory and time series analysis.

His research focuses on time series econometrics, financial econometrics, and non-stationary time series analysis, with particular expertise in developing statistical methods for detecting financial bubbles, testing return predictability, and analyzing co-integration in heteroskedastic environments. Recent work has centered on developing robust tests for explosive bubbles, improving stock return predictability methods, and advancing nonparametric techniques for time-varying mean detection.

Professor Taylor's editorial leadership has shaped the field through his work with the Journal of Time Series Analysis, where he was recognized as a Distinguished Author in 2020. His research publications demonstrate a consistent focus on methodological innovation in econometric testing procedures, with recent articles addressing challenges posed by heteroskedasticity, structural breaks, and volatility in financial time series.

• Life fellow of the International Association for Applied Econometrics (elected 2018)
• Fellow of the Journal of Econometrics (awarded 2005)
• Econometric Theory's highest level Plurima Scripsit Award (2018)
• Distinguished Author of the Journal of Time Series Analysis (awarded 2020)

Professor Taylor supervises doctoral students including Boubacar Drame and has secured significant research funding from the Economic and Social Research Council for projects investigating structural change in predictive regressions. His commitment to academic service extends to his role on the national panel of assessors for the Athena SWAN equality accreditation scheme, where he advocates for Equality, Diversity and Inclusion in academia. Currently teaching Research Methods in Financial Econometrics (BE990) for the 2024/25 academic year, he continues to shape the next generation of econometricians.