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

17

DOWNLOADS
Rank 1,911

SSRN RANKINGS

Top 1,911

in Total Papers Downloads

16,595

SSRN CITATIONS
Rank 17,267

SSRN RANKINGS

Top 17,267

in Total Papers Citations

0

CROSSREF CITATIONS

0

Scholarly Papers (17)

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 9,366 (498)
Citation 2

Abstract:

Loading...

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 1,580 (10,722)
Citation 1

Abstract:

Loading...

implied volatility, options, market efficiency

3.
Downloads 1,189 ( 16,735)
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 801 (29,268)

Abstract:

Loading...

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 388 (74,707)

Abstract:

Loading...

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 889 (25,688)
Citation 6

Abstract:

Loading...

5.
Downloads 803 ( 29,588)
Citation 7

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 588 (44,495)
Citation 6

Abstract:

Loading...

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 215 (141,531)
Citation 2

Abstract:

Loading...

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 529 (51,594)
Citation 2

Abstract:

Loading...

7.

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 443 (64,372)

Abstract:

Loading...

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

8.

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 435 (65,808)
Citation 1

Abstract:

Loading...

GARCH, EGARCH, volatility, options

9.

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 349 (85,284)

Abstract:

Loading...

10.

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 289 (105,038)
Citation 2

Abstract:

Loading...

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 130 (220,138)

Abstract:

Loading...

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 128 (222,883)

Abstract:

Loading...

GARCH, EGARCH, volatility, value-at-risk

12.

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 230 (132,924)

Abstract:

Loading...

Volatility, GARCH, forecasting

13.

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 133 (215,524)
Citation 10

Abstract:

Loading...

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

14.

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 84 (296,384)

Abstract:

Loading...

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

15.

The Impact of the U.S. Employment Report on Exchange Rates

Journal of International Money and Finance, Vol. 90, 2019
Number of pages: 31 Posted: 28 Aug 2019
University of Oklahoma - Division of Finance, University of South Florida St. Petersburg and Montana State University - Bozeman
Downloads 18 (534,033)

Abstract:

Loading...

employment report, exchange rates, macro announcements, foreign exchange market

16.

The Impact of the Employment Report and Forecasts Thereof on Fixed Income Markets

Journal of Fixed Income, Forthcoming
Posted: 01 Jul 2018
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg

Abstract:

Loading...

Employment Report, Scheduled Announcements, Interest Rates, Implied Volatility

17.

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:

Loading...