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
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Working Papers
2015
- Forecasting the Term Structure of Implied Volatilities
Working Paper Series, Victoria University of Wellington, School of Economics and Finance
2013
- 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)
- 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)
- Non-parametric Tests for the Martingale Restriction: A New Approach
Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
- The Number of State Variables for CDS Pricing
Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
Journal Articles
2023
- Firm fundamentals and the cross-section of implied volatility shapes
Journal of Financial Markets, 2023, 63, (C) View citations (2)
2022
- Does the Listing of Options Improve Forecasting Power? Evidence from the Shanghai Stock Exchange
Emerging Markets Finance and Trade, 2022, 58, (15), 4300-4308
- Natural disasters and CSR: Evidence from China
Pacific-Basin Finance Journal, 2022, 73, (C) View citations (10)
- The information content of CDS implied volatility and associated trading strategies
International Review of Financial Analysis, 2022, 83, (C)
2020
- Sovereign Credit Spread Spillovers in Asia
Sustainability, 2020, 12, (4), 1-14 View citations (1)
- Volatility and jump risk in option returns
Journal of Futures Markets, 2020, 40, (11), 1767-1792 View citations (1)
- Volatility information difference between CDS, options, and the cross section of options returns
Quantitative Finance, 2020, 20, (12), 2025-2036 View citations (1)
2018
- 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
- A note on why doesn't the choice of performance measure matter?
Finance Research Letters, 2016, 16, (C), 248-254 View citations (7)
- CDS Inferred Stock Volatility
Journal of Futures Markets, 2016, 36, (8), 745-757 View citations (4)
2015
- How Important is a Non‐Default Factor for CDS Valuation?
Journal of Futures Markets, 2015, 35, (11), 1088-1101 View citations (1)
2014
- Sell in May and Go Away: Evidence from China
Finance Research Letters, 2014, 11, (4), 362-368 View citations (11)
- 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
- 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 (11)
- 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)
- REGIME-DEPENDENT LIQUIDITY DETERMINANTS OF CREDIT DEFAULT SWAP SPREAD CHANGES
Journal of Financial Research, 2013, 36, (2), 279-298 View citations (5)
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