Fetching the paper…
Reading the bibliography…
We study distributions of realized variance (squared realized volatility) and squared implied volatility, as represented by VIX and VXO indices.
D. Nelson, Arch models as diffusion approximations, Journal of Econometrics 45 (1990) 7
1990
Earlier work this paper cites.
S. L. Heston, A closed-form solution for options with stochastic volatility with applications to bond and currency options, The Review of Financial Studies 6 (2) (1993) 327–343
1993
Earlier work this paper cites.
B. J. Chrstensen, N. R. Prabhala, The relation between implied and realized volaility, Journal of Financial Economics 50 (1998) 125–150
1998
Earlier work this paper cites.
D. E. Knuth, The Art of Computer Programming, 3rd Edition, Vol. 2, Addison Wesley, 1998
1998
Earlier work this paper cites.
J.-P. Bouchaud, M. Mézard, Wealth condensation in a simple model of economy, Physica A: Statistical Mechanics and its Applications 282 (3) (2000) 536–545
2000
Earlier work this paper cites.
A. A. Dragulescu, V. M. Yakovenko, Probability distribution of returns in the heston model with stochastic volatility, Quantitative Finance 2 (2002) 445–455
2002
Cited alongside, same era.
G. Hertzler, "classical" probability distributions for stochastic dynamic models, in: 47th Annual Conference of the Australian Agricultural and Resource Economics Society, 2003
2003
Cited alongside, same era.
I. Vodenska, W. J. Chambers, Understanding the relationship between vix and the s&p 500 index volatility, 26th Australasian Finance and Banking Conference (2013)
2013
Cited alongside, same era.
T. Ma, J. G. Holden, R. Serota, Distribution of wealth in a network model of the economy, Physica A: Statistical Mechanics and its Applications 392 (10) (2013) 2434–2441
2013
Cited alongside, same era.
T. Ma, R. A. Serota, A model for stock returns and volatility, Physica A: Statistical Mechanics and its Applications 398 (2014) 89–115
C. Kownatzki, How good is the vix as a predictor of market risk?, Journal of Accounting and Finance 16 (6) (2016) 39–60
2016
Later among the works it cites.
S. K. Behfar, Long memory behavior of returns after intraday financial jumps, Physica A: Statistical Mechanics and its Applications 461 (2016) 716–725
2016
Later among the works it cites.
M. D. Russon, A. F. Vakil, On the non-linear relationship between vix and realized sp500 volatility, Investment Management and Financial Innovations 14 (2) (2017) 200–206
2017
Later among the works it cites.
Main suspect in this week’s market rout? misplaced bets, https://www.wsj.com/articles/understanding-this-markets-rout-1518200572 (February 2018)
2018
Later among the works it cites.
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
2014
Cited alongside, same era.
M. Dashti Moghaddam, Z. Liu, R. Serota, Distributions of historic market data – implied and realized volatility, arXiv 1804.05279
Cited in the paper.
Cited in the paper.
J. P. Nolan, Stable distributions . URL http://fs2.american.edu/jpnolan/www/stable/chap1.pdf
Cited in the paper.