Details about Hoang Nguyen

Access statistics for papers by Hoang Nguyen.

Last updated 2025-02-09. Update your information in the RePEc Author Service.

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Working Papers

2024

1. 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)
2. US Interest Rates: Are Relations Stable?
   Working Papers, Örebro University, School of Business
3. VAR Models with Fat Tails and Dynamic Asymmetry
   Working Papers, Örebro University, School of Business

2023

4. 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

5. Estimation of optimal portfolio compositions for small sampleand singular covariance matrix
   Working Papers, Örebro University, School of Business View citations (2)
6. 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)
7. 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)
8. Monitoring the Dynamic Networks of Stock Returns
   Papers, arXiv.org

2021

9. 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)
10. 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)
11. 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)
12. 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)
13. Vector autoregression models with skewness and heavy tails
    Working Papers, Örebro University, School of Business View citations (11)
    Also in Papers, arXiv.org (2021) View citations (12)
    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

14. 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

1. Deep learning enhanced volatility modeling with covariates
   Finance Research Letters, 2024, 69, (PB)
2. 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

3. 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)
4. 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)
5. 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)
6. 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)
7. 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)
8. 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)
9. 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, Working Papers (2021) View citations (11) (2021)

2022

10. 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)
11. The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area
    Finance Research Letters, 2022, 46, (PA)

2021

12. 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

13. Variational inference for high dimensional structured factor copulas
    Computational Statistics & Data Analysis, 2020, 151, (C) View citations (6)

2019

14. Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas
    Journal of Financial Econometrics, 2019, 17, (1), 118-151 View citations (9)