11 citations · 54 across the 10 of their papers we have counts for
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Combined Mutiplicative-Heston Model for Stochastic Volatility
M. Dashti Moghaddam, R. A. Serota
We consider a model of stochastic volatility which combines features of the multiplicative model for large volatilities and of the Heston model for small volatilities. The steady-s…
Distributions of Historic Market Data -- Implied and Realized Volatility
M. Dashti Moghaddam, Zhiyuan Liu, R. A. Serota
We undertake a systematic comparison between implied volatility, as represented by VIX (new methodology) and VXO (old methodology), and realized volatility. We compare visually and…
Distributions of Historic Market Data - Stock Returns
Zhiyuan Liu, M. Dashti Moghaddam, R. A. Serota
We show that the moments of the distribution of historic stock returns are in excellent agreement with the Heston model and not with the multiplicative model, which predicts power-…