Details about Hoang Nguyen
Access statistics for papers by Hoang Nguyen.
Last updated 2025-02-09. Update your information in the RePEc Author Service.
Short-id: png291
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Working Papers
2024
- Structured factor copulas for modeling the systemic risk of European and United States banks
Papers, arXiv.org 
See also Journal Article Structured factor copulas for modeling the systemic risk of European and United States banks, International Review of Financial Analysis, Elsevier (2024) (2024)
- US Interest Rates: Are Relations Stable?
Working Papers, Örebro University, School of Business
- VAR Models with Fat Tails and Dynamic Asymmetry
Working Papers, Örebro University, School of Business
2023
- Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models
Working Papers, Örebro University, School of Business View citations (2)
See also Journal Article Bayesian predictive distributions of oil returns using mixed data sampling volatility models, Resources Policy, Elsevier (2023) View citations (1) (2023)
2022
- Estimation of optimal portfolio compositions for small sampleand singular covariance matrix
Working Papers, Örebro University, School of Business View citations (2)
- Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Working Papers, Örebro University, School of Business 
See also Journal Article Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models, Energy Economics, Elsevier (2023) View citations (3) (2023)
- Modelling Okun’s Law – Does non-Gaussianity Matter?
Working Papers, Örebro University, School of Business 
See also Journal Article Modelling Okun’s law: Does non-Gaussianity matter?, Empirical Economics, Springer (2023) (2023)
- Monitoring the Dynamic Networks of Stock Returns
Papers, arXiv.org
2021
- A dynamic leverage stochastic volatility model
Working Papers, Örebro University, School of Business 
See also Journal Article A dynamic leverage stochastic volatility model, Applied Economics Letters, Taylor & Francis Journals (2023) View citations (2) (2023)
- Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach
Working Papers, Örebro University, School of Business 
See also Journal Article Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach, Journal of Empirical Finance, Elsevier (2023) View citations (4) (2023)
- Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances
Working Papers, Örebro University, School of Business 
See also Journal Article Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations, Journal of Forecasting, John Wiley & Sons, Ltd. (2023) (2023)
- Predicting returns and dividend growth - the role of non-Gaussian innovations
Working Papers, Örebro University, School of Business 
See also Journal Article Predicting returns and dividend growth — The role of non-Gaussian innovations, Finance Research Letters, Elsevier (2022) View citations (1) (2022)
- Vector autoregression models with skewness and heavy tails
Papers, arXiv.org View citations (12)
Also in Working Papers, Örebro University, School of Business (2021) View citations (11)
See also Journal Article Vector autoregression models with skewness and heavy tails, Journal of Economic Dynamics and Control, Elsevier (2023) View citations (8) (2023)
2020
- Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails
Working Papers, Örebro University, School of Business 
See also Journal Article Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails, JRFM, MDPI (2021) (2021)
Journal Articles
2024
- Deep learning enhanced volatility modeling with covariates
Finance Research Letters, 2024, 69, (PB)
- Structured factor copulas for modeling the systemic risk of European and United States banks
International Review of Financial Analysis, 2024, 96, (PA) 
See also Working Paper Structured factor copulas for modeling the systemic risk of European and United States banks, Papers (2024) (2024)
2023
- A dynamic leverage stochastic volatility model
Applied Economics Letters, 2023, 30, (1), 97-102 View citations (2)
See also Working Paper A dynamic leverage stochastic volatility model, Working Papers (2021) (2021)
- Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Resources Policy, 2023, 86, (PA) View citations (1)
See also Working Paper Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models, Working Papers (2023) View citations (2) (2023)
- Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach
Journal of Empirical Finance, 2023, 73, (C), 272-292 View citations (4)
See also Working Paper Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach, Working Papers (2021) (2021)
- Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Energy Economics, 2023, 124, (C) View citations (3)
See also Working Paper Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models, Working Papers (2022) (2022)
- Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations
Journal of Forecasting, 2023, 42, (2), 347-368 
See also Working Paper Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances, Working Papers (2021) (2021)
- Modelling Okun’s law: Does non-Gaussianity matter?
Empirical Economics, 2023, 64, (5), 2183-2213 
See also Working Paper Modelling Okun’s Law – Does non-Gaussianity Matter?, Working Papers (2022) (2022)
- Vector autoregression models with skewness and heavy tails
Journal of Economic Dynamics and Control, 2023, 146, (C) View citations (8)
See also Working Paper Vector autoregression models with skewness and heavy tails, Papers (2021) View citations (12) (2021)
2022
- Predicting returns and dividend growth — The role of non-Gaussian innovations
Finance Research Letters, 2022, 46, (PA) View citations (1)
See also Working Paper Predicting returns and dividend growth - the role of non-Gaussian innovations, Working Papers (2021) (2021)
- The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area
Finance Research Letters, 2022, 46, (PA)
2021
- Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails
JRFM, 2021, 14, (11), 1-17 
See also Working Paper Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails, Working Papers (2020) (2020)
2020
- Variational inference for high dimensional structured factor copulas
Computational Statistics & Data Analysis, 2020, 151, (C) View citations (6)
2019
- Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas
Journal of Financial Econometrics, 2019, 17, (1), 118-151 View citations (9)
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