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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

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

Bond market event study methods

Ederington, Louis H.; Guan, Wei; Yang, Zongfei - In: Journal of banking & finance 58 (2015), pp. 281-293

Persistent link: https://www.econbiz.de/10011544008

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

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

Measurement of banking competition and geographic markets : the market for checking account services

Ederington, Louis H.; Skogstad, Samuel L. - In: Journal of money, credit and banking : JMCB 9 (1977) 3, pp. 469-482

Persistent link: https://www.econbiz.de/10002095107

Volatility trade design

Chaput, J. Scott; Ederington, Louis H. - In: The journal of futures markets 25 (2005) 3, pp. 243-279

Persistent link: https://www.econbiz.de/10002647703

Vertical spread design

Chaput, J. Scott; Ederington, Louis H. - In: The journal of derivatives : the official publication … 12 (2004) 3, pp. 28-46

Persistent link: https://www.econbiz.de/10002672461

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

The hedging performance of the new futures markets : comment

Franckle, Charles Travers - In: Selected writings on futures markets : explorations in …, (pp. 97-103). 1985

Persistent link: https://www.econbiz.de/10001305681