Similar Search Results

Measuring implied volatility : is an average better? ; Which is average?

Ederington, Louis H.; Guan, Wei - In: The journal of futures markets 22 (2002) 9, pp. 811-837

Persistent link: https://www.econbiz.de/10001696684

Forecasting volatility

Ederington, Louis H.; Guan, Wei - In: The journal of futures markets 25 (2005) 5, pp. 465-490

Persistent link: https://www.econbiz.de/10002811542

The information frown in option prices

Ederington, Louis H.; Guan, Wei - In: Journal of banking & finance 29 (2005) 6, pp. 1429-1457

Persistent link: https://www.econbiz.de/10002717930

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

Ederington, Louis H. - 2014

Utilizing the large subset of trades in which dealers act purely as agents, we decompose dealer spreads in U.S. corporate bond OTC markets into components arising from: 1) dealers' market-making role, and 2) their role as agents for their non-dealer customers. We investigate the determinants of...

Persistent link: https://www.econbiz.de/10013061007

How asymmetric is US stock market volatility?

Ederington, Louis H.; Guan, Wei - In: Journal of financial markets 13 (2010) 2, pp. 225-248

Persistent link: https://www.econbiz.de/10009262109

The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium

Ederington, Louis H.; Guan, Wei - In: Journal of banking & finance 37 (2013) 9, pp. 3388-3400

Persistent link: https://www.econbiz.de/10010126417

The bias in time series volatility forecasts

Ederington, Louis H.; Guan, Wei - In: The journal of futures markets 30 (2010) 4, pp. 305-323

Persistent link: https://www.econbiz.de/10003962585

Higher order Greeks

Ederington, Louis H.; Guan, Wei - In: The journal of derivatives : the official publication … 14 (2007) 3, pp. 7-34

Persistent link: https://www.econbiz.de/10003447122

Bond market event study methods

Ederington, Louis H.; Guan, Wei; Yang, Zongfei - In: Journal of banking & finance 58 (2015), pp. 281-293

Persistent link: https://www.econbiz.de/10011544008

Dealer spreads in the corporate bond market : agent vs. market-making roles

Ederington, Louis H.; Guan, Wei; Yadav, Pradeep - 2015 - This version: September 2, 2015, Initial draft: January 2012

Utilizing subsets of trades in which dealers act purely as agents, purely as market-makers, and as both, we decompose dealer spreads in U.S. corporate bond OTC markets into components arising from: 1) dealers' marketmaking role, and 2) their role as agents for their non-dealer customers. We find...

Persistent link: https://www.econbiz.de/10011334154