26 citations · 161 across the 35 of their papers we have counts for
36 papers
Fitting Accumulated Stock Returns with Tempered Skew t-Distribution
Siqi Shao, R. A. Serota
We analyze distributions of historic S&P500 multi-day returns, for the number of days of accumulation from 20 to 120. With the increase of the number of days of accumulation, we ob…
Broken Symmetry of Stock Returns -- a Modified Jones-Faddy Skew t-Distribution
Siqi Shao, Arshia Ghasemi, Hamed Farahani +1
We argue that negative skew and positive mean of the distribution of stock returns are largely due to the broken symmetry of stochastic volatility governing gains and losses. Start…
Asymmetry in Distributions of Accumulated Gains and Losses in Stock Returns
Hamed Farahani, R. A. Serota
We study decades-long historic distributions of accumulated S\&P500 returns, from daily returns to those over several weeks. The time series of the returns emphasize major upheaval…
Exploring Distributions of House Prices and House Price Indices
Jiong Liu, Hamed Farahani, R. A. Serota
We use house prices (HP) and house price indices (HPI) as a proxy to income distribution. Specifically, we analyze sale prices in the 1970-2010 window of over 116,000 single-family…
Rethinking Generalized Beta Family of Distributions
Jiong Liu, R. A. Serota
We approach the Generalized Beta (GB) family of distributions using a mean-reverting stochastic differential equation (SDE) for a power of the variable, whose steady-state (station…
Distributions of Historic Market Data -- Relaxation and Correlations
M. Dashti Moghaddam, Zhiyuan Liu, R. A. Serota
We investigate relaxation and correlations in a class of mean-reverting models for stochastic variances. We derive closed-form expressions for the correlation functions and leverag…