7 citations · 27 across the 6 of their papers we have counts for
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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…
q-fin.MF2017★ 7 cited
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-…