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20192023
most citedImplied and Realized Volatility: A Study of Distributions and the Distribution of Difference

11 citations · 24 across the 5 of their papers we have counts for

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econ.EM2023★ 1 cited

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…

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…