11 citations · 54 across the 10 of their papers we have counts for
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q-fin.ST2018★ 6 cited
Implied and Realized Volatility: A Study of the Ratio Distribution
M. Dashti Moghaddam, R. A. Serota
We analyze correlations between squared volatility indices, VIX and VXO, and realized variances -- the known one, for the current month, and the predicted one, for the following mo…
q-fin.MF2018★ 10 cited
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…
q-fin.MF2018★ 6 cited
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…