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q-fin.ST2019★ 5 cited
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…
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…