Diep Duong

Rutgers, The State University of New Jersey - New Brunswick/Piscataway

Department of Economics

75 Hamilton Street

New Brunswick, NJ 08901

United States

  • Rutgers, The State University of New Jersey - New Brunswick/Piscataway

SCHOLARLY PAPERS

4

DOWNLOADS

519

SSRN CITATIONS

6

CROSSREF CITATIONS

1

Scholarly Papers (4)

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1.

Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps

Number of pages: 54 Posted: 15 Jul 2013
Diep Duong, Norman R. Swanson and Norman R. Swanson
Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 291 (192,564)

Abstract:

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Itô semi-martingale, realized volatility, jumps, multipower variation, tripower variation, truncated power variation, quarticity, infinite activity jumps

2.

Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction

Number of pages: 43 Posted: 29 Jul 2013
Diep Duong, Norman R. Swanson and Norman R. Swanson
Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 117 (431,327)
Citation 7

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realized volatility, jump power variations, downside risk, semivariances, market microstructure, volatility forecasts, jump test

3.

Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks

Number of pages: 36 Posted: 15 Jul 2013
Diep Duong, Norman R. Swanson and Norman R. Swanson
Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 70 (598,940)
Citation 1

Abstract:

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Itô semi-martingale, realized volatility, jumps, multipower variation, tripower variation, truncated power variation, quarticity, infinite activity jumps

4.

Density and Conditional Distribution Based Specification Analysis

Distribution Based Specification Analysis, Chapter 56, May 2012
Number of pages: 27 Posted: 16 Jul 2013
Diep Duong, Norman R. Swanson and Norman R. Swanson
Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 41 (764,776)

Abstract:

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multi-factor diffusion process, specification test, out-of-sample forecasts, conditional distribution, model selection, block bootstrap, jump process