Zobrazeno 1 - 10
of 30
pro vyhledávání: '"Moghaddam, M. Dashti"'
Publikováno v:
Foundations 2024, 4(1), 91-113
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&P500 index and its distribution function. As expected, the largest va
Externí odkaz:
http://arxiv.org/abs/2307.03693
Publikováno v:
Eur. Phys. J. B 94, 83 (2021)
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 leverage for a general form of the stochastic term. We also discuss correlati
Externí odkaz:
http://arxiv.org/abs/1907.05348
Publikováno v:
Discontinuity, Nonlinearity, and Complexity, 9 (3), 477 - 488 (2020)
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 incredibly flexible in that it can mimic behavior of many other distr
Externí odkaz:
http://arxiv.org/abs/1907.00070
Publikováno v:
Physica A 559, 125047 (2020)
We argue that a stochastic model of economic exchange, whose steady-state distribution is a Generalized Beta Prime (also known as GB2), and some unique properties of the latter, are the reason for GB2's success in describing wealth/income distributio
Externí odkaz:
http://arxiv.org/abs/1906.04822
Publikováno v:
IJFE 26 (2), 2581-2594 (2021)
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 distribution provide the best fits. These fits are much more accurate for r
Externí odkaz:
http://arxiv.org/abs/1906.02306
Autor:
Moghaddam, M. Dashti, Serota, R. A.
Publikováno v:
Applied Economics and Finance (2019) Vol. 6, No. 5, pp. 104-130
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 month. We show that the ratio of the two is best fitted by a Beta Prime
Externí odkaz:
http://arxiv.org/abs/1810.07735
Autor:
Moghaddam, M. Dashti, Serota, R. A.
Publikováno v:
Physica A 561, 1 January 2021, 125263
We consider a model of stochastic volatility which combines features of the multiplicative model for large volatilities and of the Heston model for small volatilities. The steady-state distribution in this model is a Beta Prime and is characterized b
Externí odkaz:
http://arxiv.org/abs/1807.10793
Publikováno v:
Applied Economics and Finance (2019) Vol. 6, No. 5, pp. 104-130
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 statistically distributions of realized and implied variance (volatil
Externí odkaz:
http://arxiv.org/abs/1804.05279
Publikováno v:
European Physical Journal B (2019) 92: 60
We show that the moments of the distribution of historic stock returns are in excellent agreement with the Heston model and not with the multiplicative model, which predicts power-law tails of volatility and stock returns. We also show that the mean
Externí odkaz:
http://arxiv.org/abs/1711.11003
Autor:
Moghaddam, M. Dashti1 (AUTHOR), Liu, Jiong1 (AUTHOR), Serota, R. A.1 (AUTHOR) serota@ucmail.uc.edu
Publikováno v:
International Journal of Finance & Economics. Apr2021, Vol. 26 Issue 2, p2581-2594. 14p.
