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Details about Biao Guo

Homepage:http://www.mathfinance.cn
Workplace:School of Finance, Renmin University of China, (more information at EDIRC)

Access statistics for papers by Biao Guo.

Last updated 2018-04-03. Update your information in the RePEc Author Service.

Short-id: pgu306


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Working Papers

2015

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

2013

  1. 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 Downloads
  2. Asymmetric and negative return-volatility relationship: the case of the VKOSPI
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University Downloads
  3. Non-parametric Tests for the Martingale Restriction: A New Approach
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University Downloads
  4. The Number of State Variables for CDS Pricing
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University Downloads

Journal Articles

2016

  1. A note on why doesn't the choice of performance measure matter?
    Finance Research Letters, 2016, 16, (C), 248-254 Downloads View citations (4)
  2. CDS Inferred Stock Volatility
    Journal of Futures Markets, 2016, 36, (8), 745-757 Downloads View citations (2)

2015

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

2014

  1. Sell in May and Go Away: Evidence from China
    Finance Research Letters, 2014, 11, (4), 362-368 Downloads View citations (8)
  2. The Nelson–Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components
    Journal of Futures Markets, 2014, 34, (8), 788-806 Downloads View citations (7)

2013

  1. 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 Downloads View citations (10)
  2. 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 (18)
  3. REGIME-DEPENDENT LIQUIDITY DETERMINANTS OF CREDIT DEFAULT SWAP SPREAD CHANGES
    Journal of Financial Research, 2013, 36, (2), 279-298 Downloads View citations (3)
 
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