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

  • University of South Florida St. Petersburg

    • Email
    • Tel: (727) 873-4945
    • Fax: (727) 873-4192
SCHOLARLY PAPERS

17

DOWNLOADS
Rank 2,360

SSRN RANKINGS

Top 2,360

in Total Papers Downloads

17,729

SSRN CITATIONS
Rank 19,436

SSRN RANKINGS

Top 19,436

in Total Papers Citations

25

CROSSREF CITATIONS

29

Scholarly Papers (17)

Actions:
Email selected abstracts
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 9,544 (653)
Citation 5

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 1,632 (13,188)
Citation 1

Abstract:

Loading...

implied volatility, options, market efficiency

3.

Higher Order Greeks

Downloads 1,412 ( 16,594)
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 924 (30,461)

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 488 (70,936)

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 937 (30,335)
Citation 7

Abstract:

Loading...

5.

Bond Market Event Study Methods

Downloads 890 ( 32,612)
Citation 9

Bond Market Event Study Methods

Number of pages: 47 Posted: 20 Jul 2012 Last Revised: 11 Nov 2013
Louis H. Ederington, Wei Guan and Lisa Yang
University of Oklahoma - Division of Finance, University of South Florida St. Petersburg and Montana State University - Bozeman
Downloads 623 (52,128)
Citation 9

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
Louis H. Ederington, Wei Guan and Lisa Yang
University of Oklahoma - Division of Finance, University of South Florida St. Petersburg and Montana State University - Bozeman
Downloads 267 (140,482)
Citation 2

Abstract:

Loading...

event studies, bonds, financial econometrics

6.

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 744 (41,695)

Abstract:

Loading...

7.

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 553 (61,387)
Citation 3

Abstract:

Loading...

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 462 (76,657)
Citation 2

Abstract:

Loading...

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

9.

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 447 (79,686)
Citation 1

Abstract:

Loading...

GARCH, EGARCH, volatility, options

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 301 (124,506)
Citation 4

Abstract:

Loading...

Implied volatility, asymmetric volatility, GARCH, EGARCH, volatility

11.

The Bias in Time-Series Volatility Forecasts

Downloads 287 (130,891)

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 150 (239,311)

Abstract:

Loading...

GARCH, EGARCH, volatility, value-at-risk

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 137 (257,720)

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 235 (159,962)

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 Last Revised: 20 Jul 2021
Louis H. Ederington, Wei Guan and Pradeep K. Yadav
University of Oklahoma - Division of Finance, University of South Florida St. Petersburg and University of Oklahoma Price College of Business
Downloads 159 (227,484)
Citation 8

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 87 (351,254)

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
Louis H. Ederington, Wei Guan and Lisa Yang
University of Oklahoma - Division of Finance, University of South Florida St. Petersburg and Montana State University - Bozeman
Downloads 39 (516,256)

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...