Details about Hoang Nguyen

Access statistics for papers by Hoang Nguyen.

Last updated 2022-11-11. Update your information in the RePEc Author Service.

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Working Papers

2022

1. Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
   Working Papers, Örebro University, School of Business
2. Modelling Okun’s Law – Does non-Gaussianity Matter?
   Working Papers, Örebro University, School of Business
3. Monitoring the Dynamic Networks of Stock Returns
   Papers, arXiv.org

2021

4. A dynamic leverage stochastic volatility model
   Working Papers, Örebro University, School of Business
5. Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach
   Working Papers, Örebro University, School of Business
6. 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
7. Predicting returns and dividend growth - the role of non-Gaussian innovations
   Working Papers, Örebro University, School of Business
   See also Journal Article in Finance Research Letters (2022)
8. Vector autoregression models with skewness and heavy tails
   Working Papers, Örebro University, School of Business View citations (7)
   Also in Papers, arXiv.org (2021) View citations (7)

2020

9. 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 in JRFM (2021)

2018

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

2017

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

Journal Articles

2022

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

2021

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

2020

4. Variational inference for high dimensional structured factor copulas
   Computational Statistics & Data Analysis, 2020, 151, (C) View citations (2)
   See also Working Paper (2018)

2019

5. Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas
   The Journal of Financial Econometrics, 2019, 17, (1), 118-151 View citations (6)
   See also Working Paper (2017)