Details about Hung Do

Access statistics for papers by Hung Do.

Last updated 2023-05-10. Update your information in the RePEc Author Service.

Short-id: pdo531

Working Papers

2023

1. Electricity Market Crisis in Europe and Cross Border Price Effects: A Quantile Return Connectedness Analysis
   Working Papers, Copenhagen Business School, Department of Economics

2020

2. Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets
   Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge View citations (15)
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020) View citations (9)
   Working Papers, Copenhagen Business School, Department of Economics (2020) View citations (11)
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2020) View citations (17)
   See also Journal Article Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets, Energy Economics, Elsevier (2020) View citations (18) (2020)
3. Interconnectedness in the Australian national electricity market: A higher moment analysis
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (8)
   See also Journal Article Interconnectedness in the Australian National Electricity Market: A Higher‐Moment Analysis, The Economic Record, The Economic Society of Australia (2020) View citations (5) (2020)

Journal Articles

2023

1. ESG and firm performance: The role of size and media channels
   Economic Modelling, 2023, 121, (C) View citations (16)
2. Natural gas and the utility sector nexus in the U.S.: Quantile connectedness and portfolio implications
   Energy Economics, 2023, 120, (C) View citations (10)
3. Political similarities in credit ratings
   International Review of Financial Analysis, 2023, 86, (C) View citations (1)
4. The nexus between oil and airline stock returns: Does time frequency matter?
   Energy Economics, 2023, 117, (C) View citations (2)

2022

5. Does oil impact gold during COVID-19 and three other recent crises?
   Energy Economics, 2022, 108, (C) View citations (10)
6. Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China
   Energy Economics, 2022, 112, (C) View citations (12)
7. Effect of futures trading on the liquidity of underlying stocks: Evidence from Vietnam
   Pacific-Basin Finance Journal, 2022, 73, (C)
8. Green bonds and implied volatilities: Dynamic causality, spillovers, and implications for portfolio management
   Energy Economics, 2022, 112, (C) View citations (29)
9. Sentiment and stock market connectedness: Evidence from the U.S. – China trade war
   International Review of Financial Analysis, 2022, 80, (C) View citations (4)
10. What drives cross-market correlations during the United States Q.E.?
    International Review of Financial Analysis, 2022, 83, (C) View citations (1)

2021

11. Covid-19 pandemic and tail-dependency networks of financial assets
    Finance Research Letters, 2021, 38, (C) View citations (50)
12. Learning from SARS: Return and volatility connectedness in COVID-19
    Finance Research Letters, 2021, 41, (C) View citations (12)
13. When Pep comes calling, the oil market answers: The effect of football player transfer movements on abnormal fluctuations in oil price futures
    Energy Economics, 2021, 100, (C) View citations (2)

2020

14. Dynamic volatility spillover effects between oil and agricultural products
    International Review of Financial Analysis, 2020, 69, (C) View citations (45)
15. Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets
    Energy Economics, 2020, 92, (C) View citations (18)
    See also Working Paper Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets, Working Papers (2020) View citations (15) (2020)
16. Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets
    Energy Economics, 2020, 86, (C) View citations (11)
17. Interconnectedness in the Australian National Electricity Market: A Higher‐Moment Analysis
    The Economic Record, 2020, 96, (315), 450-469 View citations (5)
    See also Working Paper Interconnectedness in the Australian national electricity market: A higher moment analysis, CAMA Working Papers (2020) View citations (8) (2020)
18. Liquidity Constraints, Home Equity and Residential Mortgage Losses
    The Journal of Real Estate Finance and Economics, 2020, 61, (2), 208-246 View citations (3)

2019

19. Asymmetric relationship between order imbalance and realized volatility: Evidence from the Australian market
    International Review of Economics & Finance, 2019, 62, (C), 309-320 View citations (8)

2018

20. Predicting loss severities for residential mortgage loans: A three-step selection approach
    European Journal of Operational Research, 2018, 270, (1), 246-259 View citations (9)

2017

21. Dynamic spillover between commodities and commodity currencies during United States Q.E
    Energy Economics, 2017, 66, (C), 399-410 View citations (23)

2016

22. Fossil fuel price uncertainty and feedstock edible oil prices: Evidence from MGARCH-M and VIRF analysis
    Energy Economics, 2016, 57, (C), 16-27 View citations (26)
23. Stock and currency market linkages: New evidence from realized spillovers in higher moments
    International Review of Economics & Finance, 2016, 42, (C), 167-185 View citations (30)

2015

24. Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis
    Global Finance Journal, 2015, 28, (C), 24-37 View citations (17)

2014

25. How does trading volume affect financial return distributions?
    International Review of Financial Analysis, 2014, 35, (C), 190-206 View citations (20)
26. The effects of sovereign rating drifts on financial return distributions: Evidence from the European Union
    International Review of Financial Analysis, 2014, 34, (C), 5-20 View citations (6)

2013

27. Generalized impulse response analysis in a fractionally integrated vector autoregressive model
    Economics Letters, 2013, 118, (3), 462-465 View citations (15)