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Details about Hoang Nguyen

Homepage:http://hoanguc3m.github.io
Workplace:Institutionen för Ekonomisk och Industriell Utveckling (Department of Economics and Industrial Development), Linköpings Universitet (Linkoping University), (more information at EDIRC)

Access statistics for papers by Hoang Nguyen.

Last updated 2024-04-07. Update your information in the RePEc Author Service.

Short-id: png291


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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 Downloads
  2. US Interest Rates: Are Relations Stable?
    Working Papers, Örebro University, School of Business Downloads

2023

  1. Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models
    Working Papers, Örebro University, School of Business Downloads View citations (1)
    See also Journal Article Bayesian predictive distributions of oil returns using mixed data sampling volatility models, Resources Policy, Elsevier (2023) Downloads (2023)

2022

  1. Estimation of optimal portfolio compositions for small sampleand singular covariance matrix
    Working Papers, Örebro University, School of Business Downloads View citations (1)
  2. Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
    Working Papers, Örebro University, School of Business Downloads
    See also Journal Article Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models, Energy Economics, Elsevier (2023) Downloads View citations (2) (2023)
  3. Modelling Okun’s Law – Does non-Gaussianity Matter?
    Working Papers, Örebro University, School of Business Downloads
    See also Journal Article Modelling Okun’s law: Does non-Gaussianity matter?, Empirical Economics, Springer (2023) Downloads (2023)
  4. Monitoring the Dynamic Networks of Stock Returns
    Papers, arXiv.org Downloads

2021

  1. A dynamic leverage stochastic volatility model
    Working Papers, Örebro University, School of Business Downloads
    See also Journal Article A dynamic leverage stochastic volatility model, Applied Economics Letters, Taylor & Francis Journals (2023) Downloads View citations (2) (2023)
  2. Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach
    Working Papers, Örebro University, School of Business Downloads
    See also Journal Article Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach, Journal of Empirical Finance, Elsevier (2023) Downloads View citations (1) (2023)
  3. 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 Downloads
    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) Downloads (2023)
  4. Predicting returns and dividend growth - the role of non-Gaussian innovations
    Working Papers, Örebro University, School of Business Downloads
    See also Journal Article Predicting returns and dividend growth — The role of non-Gaussian innovations, Finance Research Letters, Elsevier (2022) Downloads (2022)
  5. Vector autoregression models with skewness and heavy tails
    Working Papers, Örebro University, School of Business Downloads View citations (11)
    Also in Papers, arXiv.org (2021) Downloads View citations (12)

    See also Journal Article Vector autoregression models with skewness and heavy tails, Journal of Economic Dynamics and Control, Elsevier (2023) Downloads View citations (4) (2023)

2020

  1. Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails
    Working Papers, Örebro University, School of Business Downloads
    See also Journal Article Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails, JRFM, MDPI (2021) Downloads (2021)

2018

  1. Variational Inference for high dimensional structured factor copulas
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    See also Journal Article Variational inference for high dimensional structured factor copulas, Computational Statistics & Data Analysis, Elsevier (2020) Downloads View citations (5) (2020)

2017

  1. Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
    See also Journal Article Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas, Journal of Financial Econometrics, Oxford University Press (2019) Downloads View citations (8) (2019)

Journal Articles

2023

  1. A dynamic leverage stochastic volatility model
    Applied Economics Letters, 2023, 30, (1), 97-102 Downloads View citations (2)
    See also Working Paper A dynamic leverage stochastic volatility model, Working Papers (2021) Downloads (2021)
  2. Bayesian predictive distributions of oil returns using mixed data sampling volatility models
    Resources Policy, 2023, 86, (PA) Downloads
    See also Working Paper Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models, Working Papers (2023) Downloads View citations (1) (2023)
  3. Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach
    Journal of Empirical Finance, 2023, 73, (C), 272-292 Downloads View citations (1)
    See also Working Paper Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach, Working Papers (2021) Downloads (2021)
  4. Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
    Energy Economics, 2023, 124, (C) Downloads View citations (2)
    See also Working Paper Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models, Working Papers (2022) Downloads (2022)
  5. 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 Downloads
    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) Downloads (2021)
  6. Modelling Okun’s law: Does non-Gaussianity matter?
    Empirical Economics, 2023, 64, (5), 2183-2213 Downloads
    See also Working Paper Modelling Okun’s Law – Does non-Gaussianity Matter?, Working Papers (2022) Downloads (2022)
  7. Vector autoregression models with skewness and heavy tails
    Journal of Economic Dynamics and Control, 2023, 146, (C) Downloads View citations (4)
    See also Working Paper Vector autoregression models with skewness and heavy tails, Working Papers (2021) Downloads View citations (11) (2021)

2022

  1. Predicting returns and dividend growth — The role of non-Gaussian innovations
    Finance Research Letters, 2022, 46, (PA) Downloads
    See also Working Paper Predicting returns and dividend growth - the role of non-Gaussian innovations, Working Papers (2021) Downloads (2021)
  2. The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area
    Finance Research Letters, 2022, 46, (PA) Downloads

2021

  1. Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails
    JRFM, 2021, 14, (11), 1-17 Downloads
    See also Working Paper Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails, Working Papers (2020) Downloads (2020)

2020

  1. Variational inference for high dimensional structured factor copulas
    Computational Statistics & Data Analysis, 2020, 151, (C) Downloads View citations (5)
    See also Working Paper Variational Inference for high dimensional structured factor copulas, DES - Working Papers. Statistics and Econometrics. WS (2018) Downloads (2018)

2019

  1. Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas
    Journal of Financial Econometrics, 2019, 17, (1), 118-151 Downloads View citations (8)
    See also Working Paper Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas, DES - Working Papers. Statistics and Econometrics. WS (2017) Downloads View citations (1) (2017)
 
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