7 citations · 27 across the 6 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★ 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…