7 citations · 11 across the 3 of their papers we have counts for
5 papers
Exploring Distributions of House Prices and House Price Indices
Jiong Liu, Hamed Farahani, R. A. Serota
We use house prices (HP) and house price indices (HPI) as a proxy to income distribution. Specifically, we analyze sale prices in the 1970-2010 window of over 116,000 single-family…
Are there Dragon Kings in the Stock Market?
Jiong Liu, M. Dashti Moghaddam, R. A. Serota
We undertake a systematic study of historic market volatility spanning roughly five preceding decades. We focus specifically on the time series of realized volatility (RV) of the S…
Rethinking Generalized Beta Family of Distributions
Jiong Liu, R. A. Serota
We approach the Generalized Beta (GB) family of distributions using a mean-reverting stochastic differential equation (SDE) for a power of the variable, whose steady-state (station…
Modeling Response Time Distributions with Generalized Beta Prime
M. Dashti Moghaddam, Jiong Liu, John G. Holden +1
We use Generalized Beta Prime distribution, also known as GB2, for fitting response time distributions. This distribution, characterized by one scale and three shape parameters, is…
Implied and Realized Volatility: A Study of Distributions and the Distribution of Difference
M. Dashti Moghaddam, Jiong Liu, R. A. Serota
We study distributions of realized variance (squared realized volatility) and squared implied volatility, as represented by VIX and VXO indices. We find that Generalized Beta distr…