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Biao Guo

Personal Details

First Name:Biao
Middle Name:
Last Name:Guo
Suffix:
RePEc Short-ID:pgu306
[This author has chosen not to make the email address public]
http://www.mathfinance.cn

Affiliation

School of Finance
Renmin University of China

Beijing, China
http://sf.ruc.edu.cn/

:


RePEc:edi:sfruccn (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Guo, Biao & Han, Qian & Lin, Hai, 2015. "Forecasting the Term Structure of Implied Volatilities," Working Paper Series 6189, Victoria University of Wellington, School of Economics and Finance.
  2. Biao Guo & Qian Han & Doojin Ryu & Robert I. Webb, 2013. "Asymmetric and negative return-volatility relationship: the case of the VKOSPI," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  3. Biao Guo & Qian Han & Doojin Ryu, 2013. "Non-parametric Tests for the Martingale Restriction: A New Approach," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  4. Biao Guo & Qian Han & Doojin Ryu, 2013. "The Number of State Variables for CDS Pricing," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  5. Biao Guo & Qian Han & Maonan Liu & Doojin Ryu, 2013. "A Tale of Two Index Futures: The Intraday Price Discovery Process between the China Financial Futures Exchange and the Singapore Exchange," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.

Articles

  1. Biao Guo, 2016. "CDS Inferred Stock Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(8), pages 745-757, August.
  2. Guo, Biao & Xiao, Yugu, 2016. "A note on why doesn't the choice of performance measure matter?," Finance Research Letters, Elsevier, vol. 16(C), pages 248-254.
  3. Biao Guo & Qian Han & Jaeram Lee & Doojin Ryu, 2015. "How Important is a Non‐Default Factor for CDS Valuation?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(11), pages 1088-1101, November.
  4. Guo, Biao & Luo, Xingguo & Zhang, Ziding, 2014. "Sell in May and Go Away: Evidence from China," Finance Research Letters, Elsevier, vol. 11(4), pages 362-368.
  5. Biao Guo & Qian Han & Bin Zhao, 2014. "The Nelson–Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(8), pages 788-806, August.
  6. Biao Guo & Qian Han & Maonan Liu & Doojin Ryu, 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, Taylor & Francis Journals, vol. 49(S4), pages 197-212, September.
  7. Biao Guo & Qian Han & Doojin Ryu, 2013. "Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(7), pages 629-652, July.
  8. Biao Guo & David Newton, 2013. "Regime-Dependent Liquidity Determinants Of Credit Default Swap Spread Changes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(2), pages 279-298, June.
    RePEc:taf:emfitr:v:49:y:2013:i:s4:p:197-212 is not listed on IDEAS

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

    Sorry, no citations of working papers recorded.

Articles

  1. Guo, Biao & Xiao, Yugu, 2016. "A note on why doesn't the choice of performance measure matter?," Finance Research Letters, Elsevier, vol. 16(C), pages 248-254.

    Cited by:

    1. Niu, Cuizhen & Wong, Wing-Keung & Xu, Qunfang, 2017. "Higher-Order Risk Measure and (Higher-Order) Stochastic Dominance," MPRA Paper 75948, University Library of Munich, Germany.
    2. León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.

  2. Biao Guo & Qian Han & Jaeram Lee & Doojin Ryu, 2015. "How Important is a Non‐Default Factor for CDS Valuation?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(11), pages 1088-1101, November.

    Cited by:

    1. Kim, Jungmu & Park, Yuen Jung & Ryu, Doojin, 2016. "Hawkes-diffusion process and the conditional probability of defaults in the Eurozone," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 301-310.

  3. Guo, Biao & Luo, Xingguo & Zhang, Ziding, 2014. "Sell in May and Go Away: Evidence from China," Finance Research Letters, Elsevier, vol. 11(4), pages 362-368.

    Cited by:

    1. Haibin Xie & Qilin Qin & Shouyang Wang, 2016. "Is Halloween Effect a New Puzzle? Evidence from Price Gap," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 19-31, November.
    2. Guan, Xian & Saxena, Konark, 2015. "Capital market seasonality: The curious case of large foreign stocks," Finance Research Letters, Elsevier, vol. 15(C), pages 85-92.
    3. Degenhardt, Thomas & Auer, Benjamin R., 2018. "The “Sell in May” effect: A review and new empirical evidence," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 169-205.

  4. Biao Guo & Qian Han & Bin Zhao, 2014. "The Nelson–Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(8), pages 788-806, August.

    Cited by:

    1. Genevre Covindassamy & Michel A. Robe & Jonathan Wallen, 2016. "Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty," IDB Publications (Working Papers) 8588, Inter-American Development Bank.

  5. Biao Guo & Qian Han & Maonan Liu & Doojin Ryu, 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, Taylor & Francis Journals, vol. 49(S4), pages 197-212, September.

    Cited by:

    1. Hou, Yang & Nartea, Gilbert, 2017. "Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash," MPRA Paper 81995, University Library of Munich, Germany.
    2. Hou, Yang & Li, Steven, 2016. "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, vol. 52(PB), pages 884-897.
    3. Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D., 2016. "Derivative markets in emerging economies: A survey," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 88-102.

  6. Biao Guo & Qian Han & Doojin Ryu, 2013. "Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(7), pages 629-652, July.

    Cited by:

    1. Webb, Robert I. & Ryu, Doojin & Ryu, Doowon & Han, Joongho, 2016. "The price impact of futures trades and their intraday seasonality," Emerging Markets Review, Elsevier, vol. 26(C), pages 80-98.
    2. Kim, Jun Sik & Ryu, Doojin, 2014. "Intraday price dynamics in spot and derivatives markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 247-253.
    3. Han, Heejoon & Kutan, Ali M. & Ryu, Doojin, 2015. "Effects of the US stock market return and volatility on the VKOSPI," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 9, pages 1-34.
    4. Han, Heejoon & Kutan, Ali M. & Ryu, Doojin, 2015. "Modeling and predicting the market volatility index: The case of VKOSPI," Economics Discussion Papers 2015-7, Kiel Institute for the World Economy (IfW).
    5. Chung, Kee H. & Park, Seongkyu “Gilbert” & Ryu, Doojin, 2016. "Trade duration, informed trading, and option moneyness," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 395-411.
    6. Doojin RYU & Hyein SHIM, 2017. "Intraday Dynamics of Asset Returns, Trading Activities, and Implied Volatilities: A Trivariate GARCH Framework," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 45-61, June.
    7. Lee, Jaeram & Kang, Jangkoo & Ryu, Doojin, 2015. "Common deviation and regime-dependent dynamics in the index derivatives markets," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 1-22.
    8. Park, Sung Y. & Ryu, Doojin & Song, Jeongseok, 2017. "The dynamic conditional relationship between stock market returns and implied volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 638-648.
    9. Ryu, Doojin, 2013. "What types of investors generate the two-phase phenomenon?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5939-5946.
    10. Jaeram Lee & Doojin Ryu, 2016. "Asymmetric Mispricing and Regime-dependent Dynamics in Futures and Options Markets," Asian Economic Journal, East Asian Economic Association, vol. 30(1), pages 47-65, March.
    11. Kim, Jun Sik & Ryu, Doojin, 2015. "Are the KOSPI 200 implied volatilities useful in value-at-risk models?," Emerging Markets Review, Elsevier, vol. 22(C), pages 43-64.
    12. Kang, Bo Soo & Ryu, Doojin & Ryu, Doowon, 2014. "Phase-shifting behaviour revisited: An alternative measure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 167-173.

  7. Biao Guo & David Newton, 2013. "Regime-Dependent Liquidity Determinants Of Credit Default Swap Spread Changes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(2), pages 279-298, June.

    Cited by:

    1. Avino, Davide & Nneji, Ogonna, 2014. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 262-274.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MST: Market Microstructure (1) 2014-05-09. Author is listed
  2. NEP-SEA: South East Asia (1) 2014-05-09. Author is listed
  3. NEP-TRA: Transition Economics (1) 2014-05-09. Author is listed

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