Details about Biao Guo

Access statistics for papers by Biao Guo.

Last updated 2024-02-07. Update your information in the RePEc Author Service.

Short-id: pgu306

Working Papers

2015

1. Forecasting the Term Structure of Implied Volatilities
   Working Paper Series, Victoria University of Wellington, School of Economics and Finance

2013

2. A Tale of Two Index Futures: The Intraday Price Discovery Process between the China Financial Futures Exchange and the Singapore Exchange
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University View citations (10)
3. Asymmetric and negative return-volatility relationship: the case of the VKOSPI
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University View citations (1)
4. Non-parametric Tests for the Martingale Restriction: A New Approach
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
5. The Number of State Variables for CDS Pricing
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

Journal Articles

2023

1. Firm fundamentals and the cross-section of implied volatility shapes
   Journal of Financial Markets, 2023, 63, (C) View citations (2)

2022

2. Does the Listing of Options Improve Forecasting Power? Evidence from the Shanghai Stock Exchange
   Emerging Markets Finance and Trade, 2022, 58, (15), 4300-4308 View citations (1)
3. Natural disasters and CSR: Evidence from China
   Pacific-Basin Finance Journal, 2022, 73, (C) View citations (13)
4. The information content of CDS implied volatility and associated trading strategies
   International Review of Financial Analysis, 2022, 83, (C)

2020

5. Sovereign Credit Spread Spillovers in Asia
   Sustainability, 2020, 12, (4), 1-14 View citations (1)
6. Volatility and jump risk in option returns
   Journal of Futures Markets, 2020, 40, (11), 1767-1792 View citations (3)
7. Volatility information difference between CDS, options, and the cross section of options returns
   Quantitative Finance, 2020, 20, (12), 2025-2036 View citations (1)

2018

8. Are there gains from using information over the surface of implied volatilities?
   Journal of Futures Markets, 2018, 38, (6), 645-672 View citations (3)

2016

9. A note on why doesn't the choice of performance measure matter?
   Finance Research Letters, 2016, 16, (C), 248-254 View citations (7)
10. CDS Inferred Stock Volatility
    Journal of Futures Markets, 2016, 36, (8), 745-757 View citations (4)

2015

11. How Important is a Non‐Default Factor for CDS Valuation?
    Journal of Futures Markets, 2015, 35, (11), 1088-1101 View citations (1)

2014

12. Sell in May and Go Away: Evidence from China
    Finance Research Letters, 2014, 11, (4), 362-368 View citations (13)
13. The Nelson–Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components
    Journal of Futures Markets, 2014, 34, (8), 788-806 View citations (15)

2013

14. A Tale of Two Index Futures: The Intraday Price Discovery and Volatility Transmission Processes Between the China Financial Futures Exchange and the Singapore Exchange
    Emerging Markets Finance and Trade, 2013, 49, (S4), 197-212 View citations (12)
15. Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction
    Journal of Futures Markets, 2013, 33, (7), 629-652 View citations (19)
16. REGIME-DEPENDENT LIQUIDITY DETERMINANTS OF CREDIT DEFAULT SWAP SPREAD CHANGES
    Journal of Financial Research, 2013, 36, (2), 279-298 View citations (5)