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Essays on stochastic volatility and jumps

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TitleInfo
Title
Essays on stochastic volatility and jumps
Name (type = personal)
NamePart (type = family)
Duong
NamePart (type = given)
Diep Ngoc
NamePart (type = date)
1977-
DisplayForm
Diep Duong
Role
RoleTerm (authority = RULIB)
author
Name (type = personal)
NamePart (type = family)
Swanson
NamePart (type = given)
Norman Rasmus
DisplayForm
Norman Rasmus Swanson
Affiliation
Advisory Committee
Role
RoleTerm (authority = RULIB)
chair
Name (type = personal)
NamePart (type = family)
Klein
NamePart (type = given)
Roger W.
DisplayForm
Roger W. Klein
Affiliation
Advisory Committee
Role
RoleTerm (authority = RULIB)
internal member
Name (type = personal)
NamePart (type = family)
Mclean
NamePart (type = given)
Richard P.
DisplayForm
Richard P. Mclean
Affiliation
Advisory Committee
Role
RoleTerm (authority = RULIB)
internal member
Name (type = personal)
NamePart (type = family)
Armah
NamePart (type = given)
Nii Ayi
DisplayForm
Nii Ayi Armah
Affiliation
Advisory Committee
Role
RoleTerm (authority = RULIB)
outside member
Name (type = corporate)
NamePart
Rutgers University
Role
RoleTerm (authority = RULIB)
degree grantor
Name (type = corporate)
NamePart
Graduate School - New Brunswick
Role
RoleTerm (authority = RULIB)
school
TypeOfResource
Text
Genre (authority = marcgt)
theses
OriginInfo
DateCreated (qualifier = exact)
2013
DateOther (qualifier = exact); (type = degree)
2013-05
Place
PlaceTerm (type = code)
xx
Language
LanguageTerm (authority = ISO639-2b); (type = code)
eng
Abstract (type = abstract)
This dissertation comprises three essays on financial economics and econometrics. The first essay outlines and expands upon further testing results from Bhardwaj, Corradi and Swanson (BCS: 2008) and Corradi and Swanson (2011). In particular, specification tests in the spirit of the conditional Kolmogorov test of Andrews (1997) that rely on block bootstrap resampling methods are first discussed. We then broaden our discussion from single process specification testing to multiple process model selection by discussing how to construct predictive densities and how to compare the accuracy of predictive densities derived from alternative (possibly misspecified) diffusion models. In particular, we generalize simulation steps outlined in Cai and Swanson (2011) to multifactor models where the number of latent variables is larger than three. In the second essay, we begin by discussing important developments in volatility modeling, with a focus on time varying and stochastic volatility as well as the "model free" estimation of volatility via the use of so-called realized volatility, and variants thereof called realized measures. In an empirical investigation, we use realized measures to investigate the role of “small” and large” jumps in the realized variation of stock price returns and show that jumps do matter in the relative contribution to the total variation of the process, when examining individual stock returns, as well as market indices. The third essay examines the predictive content of a variety of realized measures of jump power variations, all formed on the basis of power transformations of instantaneous returns. Our prediction involves estimating members of the linear and nonlinear extended Heterogeneous Autoregressive of the Realized Volatility (HAR-RV) class of models, using S&P 500 futures data as well as stocks in the Dow 30, for the period 1993-2009. Our findings suggest that past "large" jump power variations help less in the prediction of future realized volatility, than past "small" jump power variations. Our empirical findings also suggest that past realized signed jump power variations, which have not previously been examined in this literature, are strongly correlated with future volatility.
Subject (authority = RUETD)
Topic
Economics
RelatedItem (type = host)
TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
Identifier (type = RULIB)
ETD
Identifier
ETD_4634
PhysicalDescription
Form (authority = gmd)
electronic resource
InternetMediaType
application/pdf
InternetMediaType
text/xml
Extent
xii, 184 p. : ill.
Note (type = degree)
Ph.D.
Note (type = bibliography)
Includes bibliographical references
Note (type = vita)
Includes vita
Note (type = statement of responsibility)
by Diep Ngoc Duong
Subject (authority = ETD-LCSH)
Topic
Econometrics
Subject (authority = ETD-LCSH)
Topic
Economics--Statistical methods
Identifier (type = hdl)
http://hdl.rutgers.edu/1782.1/rucore10001600001.ETD.000068845
RelatedItem (type = host)
TitleInfo
Title
Graduate School - New Brunswick Electronic Theses and Dissertations
Identifier (type = local)
rucore19991600001
Location
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NjNbRU
Identifier (type = doi)
doi:10.7282/T3DJ5D7B
Genre (authority = ExL-Esploro)
ETD doctoral
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Rights

RightsDeclaration (ID = rulibRdec0006)
The author owns the copyright to this work.
RightsHolder (type = personal)
Name
FamilyName
Duong
GivenName
Diep
Role
Copyright Holder
RightsEvent
Type
Permission or license
DateTime (encoding = w3cdtf); (qualifier = exact); (point = start)
2013-04-11 12:10:19
AssociatedEntity
Name
Diep Duong
Role
Copyright holder
Affiliation
Rutgers University. Graduate School - New Brunswick
AssociatedObject
Type
License
Name
Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
Copyright
Status
Copyright protected
Availability
Status
Open
Reason
Permission or license
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Technical

RULTechMD (ID = TECHNICAL1)
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ETD
OperatingSystem (VERSION = 5.1)
windows xp
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