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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
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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
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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
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Longer-term time-series volatility forecasts
Ederington, Louis H.; Guan, Wei - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 4, pp. 1055-1076
Persistent link: https://www.econbiz.de/10008758045
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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
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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
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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
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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
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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
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The impact of the employment report and forecasts thereof on fixed-income markets
Ederington, Louis H.; Guan, Wei - In: The journal of fixed income 28 (2018) 2, pp. 44-54
Persistent link: https://www.econbiz.de/10011963873