11 citations · 24 across the 5 of their papers we have counts for
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q-fin.ST2023★ 3 cited
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…
q-fin.ST2022★ 7 cited
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…
q-fin.ST2019★ 11 cited
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…