Wei Guan

University of South Florida St. Petersburg

Professor of Finance

College of Business

140 Seventh Avenue South

St. Petersburg, FL 33701-5016

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 1,586

SSRN RANKINGS

Top 1,586

in Total Papers Downloads

15,235

CITATIONS
Rank 8,187

SSRN RANKINGS

Top 8,187

in Total Papers Citations

56

Scholarly Papers (15)

1.

Forecasting Volatility

Number of pages: 42 Posted: 13 Jul 1999
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 8,849 (359)
Citation 12

Abstract:

2.

Why Are Those Options Smiling?

Univ. of Oklahoma Center for Financial Studies Working Paper
Number of pages: 36 Posted: 29 Dec 2000
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 1,395 (8,671)
Citation 18

Abstract:

implied volatility, options, market efficiency

3.
Downloads 930 ( 18,118)
Citation 1

Higher Order Greeks

Journal of Derivatives, Forthcoming
Number of pages: 51 Posted: 06 Dec 2006
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 628 (31,256)
Citation 1

Abstract:

Option Greeks, hedging, Delta, Gamma, Vega

Higher Order Greeks

Number of pages: 42 Posted: 18 Aug 2004
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 302 (77,626)
Citation 1

Abstract:

Options, Greeks, Delta, Gamma

4.

Measuring Implied Volatility: is an Average Better?

Number of pages: 30 Posted: 31 Oct 2000
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 796 (21,553)
Citation 10

Abstract:

5.
Downloads 603 ( 33,500)

Bond Market Event Study Methods

Number of pages: 47 Posted: 20 Jul 2012 Last Revised: 11 Nov 2013
University of Oklahoma - Division of Finance, University of South Florida St. Petersburg and Montana State University - Bozeman
Downloads 504 (41,831)

Abstract:

event studies, bonds, financial econometrics

Bond Market Event Study Methods

Journal of Banking and Finance, Forthcoming
Number of pages: 46 Posted: 24 Jun 2015
University of Oklahoma - Division of Finance, University of South Florida St. Petersburg and Montana State University - Bozeman
Downloads 99 (214,721)

Abstract:

event studies, bonds, financial econometrics

6.

The Information Frown in Option Prices

Number of pages: 34 Posted: 17 Aug 1999
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 500 (41,730)
Citation 6

Abstract:

7.

Time Series Volatility Forecasts for Option Valuation and Risk Management

AFA 2008 New Orleans Meetings Paper
Number of pages: 53 Posted: 15 Jan 2007 Last Revised: 30 Aug 2008
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 410 (53,680)
Citation 1

Abstract:

GARCH, EGARCH, volatility, options

8.

Longer-Term Time Series Volatility Forecasts

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 41 Posted: 17 Mar 2009
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 384 (54,757)
Citation 2

Abstract:

GARCH, EGARCH, options, volatility, volatility forecasting, value-at-risk

9.

How Asymmetric is U.S. Stock Market Volatility?

Number of pages: 43 Posted: 17 May 2009
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 259 (86,757)
Citation 5

Abstract:

Implied volatility, asymmetric volatility, GARCH, EGARCH, volatility

The Bias in Time-Series Volatility Forecasts

Number of pages: 28 Posted: 17 Mar 2009
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 126 (179,595)

Abstract:

GARCH, EGARCH, volatility, value-at-risk

The Bias in Time-Series Volatility Forecasts

Journal of Futures Markets, 2009
Number of pages: 28 Posted: 17 May 2009
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 113 (195,208)

Abstract:

GARCH, EGARCH, volatility, value-at-risk

11.

Volatility Forecasts for Option Valuations

Number of pages: 57 Posted: 31 Jul 2005
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 218 (108,449)

Abstract:

Volatility, GARCH, forecasting

12.

Dealer Spreads in the Corporate Bond Market: Agent vs. Market-Making Roles

Number of pages: 52 Posted: 12 Jan 2014
University of Oklahoma - Division of Finance, University of South Florida St. Petersburg and University of Oklahoma Price College of Business
Downloads 71 (212,030)

Abstract:

dealer spreads, market-making costs, search costs, bond transaction costs

13.

The Cross-Sectional Relation between Conditional Heteroskedasticity, the Implied Volatility Smile, and the Variance Risk Premium

Journal of Banking and Finance, Forthcoming
Number of pages: 43 Posted: 26 May 2013
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 59 (252,202)

Abstract:

implied volatility, volatility smile, variance risk premium, GARCH, conditional heteroskedasticity

14.

Measuring Historical Volatility

Journal of Applied Finance, Vol. 16, No. 1, Spring/Summer 2006
Number of pages: 10 Posted: 24 Aug 2006
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 25 (196,894)
Citation 1

Abstract:

15.

Is Implied Volatility an Informationally Efficient and Effective Predictor of Future Volatility?

Posted: 15 Oct 1998
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg

Abstract: