Hoang Nguyen
Personal Details
First Name: | Hoang |
Middle Name: | |
Last Name: | Nguyen |
Suffix: | |
RePEc Short-ID: | png291 |
[This author has chosen not to make the email address public] | |
http://hoanguc3m.github.io | |
Affiliation
Institutionen för Ekonomisk och Industriell Utveckling
Linköpings Universitet
Linköping, Swedenhttp://www.iei.liu.se/
RePEc:edi:eiliuse (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2024. "VAR Models with Fat Tails and Dynamic Asymmetry," Working Papers 2024:8, Örebro University, School of Business.
- Karlsson, Sune & Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2024. "US Interest Rates: Are Relations Stable?," Working Papers 2024:3, Örebro University, School of Business.
- Hoang Nguyen & Audron.e Virbickait.e & M. Concepci'on Aus'in & Pedro Galeano, 2024. "Structured factor copulas for modeling the systemic risk of European and United States banks," Papers 2401.03443, arXiv.org.
- Virbickaite, Audrone & Nguyen, Hoang & Tran, Minh-Ngoc, 2023.
"Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models,"
Working Papers
2023:7, Örebro University, School of Business.
- Virbickaitė, Audronė & Nguyen, Hoang & Tran, Minh-Ngoc, 2023. "Bayesian predictive distributions of oil returns using mixed data sampling volatility models," Resources Policy, Elsevier, vol. 86(PA).
- Nguyen, Hoang & Virbickaite, Audrone, 2022.
"Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models,"
Working Papers
2022:5, Örebro University, School of Business.
- Nguyen, Hoang & Virbickaitė, Audronė, 2023. "Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models," Energy Economics, Elsevier, vol. 124(C).
- Kiss, Tamas & Nguyen, Hoang & Österholm, Pär, 2022.
"Modelling Okun’s Law – Does non-Gaussianity Matter?,"
Working Papers
2022:1, Örebro University, School of Business.
- Tamás Kiss & Hoang Nguyen & Pär Österholm, 2023. "Modelling Okun’s law: Does non-Gaussianity matter?," Empirical Economics, Springer, vol. 64(5), pages 2183-2213, May.
- Bodnar, Taras & Mazur, Stepan & Nguyen, Hoang, 2022. "Estimation of optimal portfolio compositions for small sampleand singular covariance matrix," Working Papers 2022:15, Örebro University, School of Business.
- Elena Farahbakhsh Touli & Hoang Nguyen & Olha Bodnar, 2022. "Monitoring the Dynamic Networks of Stock Returns," Papers 2210.16679, arXiv.org.
- Nguyen, Hoang & Nguyen, Trong-Nghia & Tran, Minh-Ngoc, 2021.
"A dynamic leverage stochastic volatility model,"
Working Papers
2021:14, Örebro University, School of Business.
- Hoang Nguyen & Trong-Nghia Nguyen & Minh-Ngoc Tran, 2023. "A dynamic leverage stochastic volatility model," Applied Economics Letters, Taylor & Francis Journals, vol. 30(1), pages 97-102, January.
- Nguyen, Hoang & Javed, Farrukh, 2021.
"Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach,"
Working Papers
2021:15, Örebro University, School of Business.
- Nguyen, Hoang & Javed, Farrukh, 2023. "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 272-292.
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2021.
"Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances,"
Working Papers
2021:9, Örebro University, School of Business.
- Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023. "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., vol. 42(2), pages 347-368, March.
- Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021.
"Vector autoregression models with skewness and heavy tails,"
Papers
2105.11182, arXiv.org.
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2023. "Vector autoregression models with skewness and heavy tails," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021. "Vector autoregression models with skewness and heavy tails," Working Papers 2021:8, Örebro University, School of Business.
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2021.
"Predicting returns and dividend growth - the role of non-Gaussian innovations,"
Working Papers
2021:10, Örebro University, School of Business.
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2022. "Predicting returns and dividend growth — The role of non-Gaussian innovations," Finance Research Letters, Elsevier, vol. 46(PA).
- Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2020.
"Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails,"
Working Papers
2020:13, Örebro University, School of Business.
- Tamás Kiss & Hoang Nguyen & Pär Österholm, 2021. "Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails," JRFM, MDPI, vol. 14(11), pages 1-17, October.
repec:cte:wsrepe:24552 is not listed on IDEAS
repec:cte:wsrepe:27652 is not listed on IDEAS
Articles
- Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023.
"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., vol. 42(2), pages 347-368, March.
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2021. "Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances," Working Papers 2021:9, Örebro University, School of Business.
- Nguyen, Hoang & Javed, Farrukh, 2023.
"Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach,"
Journal of Empirical Finance, Elsevier, vol. 73(C), pages 272-292.
- Nguyen, Hoang & Javed, Farrukh, 2021. "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Working Papers 2021:15, Örebro University, School of Business.
- Tamás Kiss & Hoang Nguyen & Pär Österholm, 2023.
"Modelling Okun’s law: Does non-Gaussianity matter?,"
Empirical Economics, Springer, vol. 64(5), pages 2183-2213, May.
- Kiss, Tamas & Nguyen, Hoang & Österholm, Pär, 2022. "Modelling Okun’s Law – Does non-Gaussianity Matter?," Working Papers 2022:1, Örebro University, School of Business.
- Nguyen, Hoang & Virbickaitė, Audronė, 2023.
"Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models,"
Energy Economics, Elsevier, vol. 124(C).
- Nguyen, Hoang & Virbickaite, Audrone, 2022. "Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models," Working Papers 2022:5, Örebro University, School of Business.
- Hoang Nguyen & Trong-Nghia Nguyen & Minh-Ngoc Tran, 2023.
"A dynamic leverage stochastic volatility model,"
Applied Economics Letters, Taylor & Francis Journals, vol. 30(1), pages 97-102, January.
- Nguyen, Hoang & Nguyen, Trong-Nghia & Tran, Minh-Ngoc, 2021. "A dynamic leverage stochastic volatility model," Working Papers 2021:14, Örebro University, School of Business.
- Virbickaitė, Audronė & Nguyen, Hoang & Tran, Minh-Ngoc, 2023.
"Bayesian predictive distributions of oil returns using mixed data sampling volatility models,"
Resources Policy, Elsevier, vol. 86(PA).
- Virbickaite, Audrone & Nguyen, Hoang & Tran, Minh-Ngoc, 2023. "Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models," Working Papers 2023:7, Örebro University, School of Business.
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2023.
"Vector autoregression models with skewness and heavy tails,"
Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
- Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021. "Vector autoregression models with skewness and heavy tails," Papers 2105.11182, arXiv.org.
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021. "Vector autoregression models with skewness and heavy tails," Working Papers 2021:8, Örebro University, School of Business.
- Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2022. "The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area," Finance Research Letters, Elsevier, vol. 46(PA).
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2022.
"Predicting returns and dividend growth — The role of non-Gaussian innovations,"
Finance Research Letters, Elsevier, vol. 46(PA).
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2021. "Predicting returns and dividend growth - the role of non-Gaussian innovations," Working Papers 2021:10, Örebro University, School of Business.
- Tamás Kiss & Hoang Nguyen & Pär Österholm, 2021.
"Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails,"
JRFM, MDPI, vol. 14(11), pages 1-17, October.
- Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2020. "Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails," Working Papers 2020:13, Örebro University, School of Business.
- Nguyen, Hoang & Ausín, M. Concepción & Galeano, Pedro, 2020. "Variational inference for high dimensional structured factor copulas," Computational Statistics & Data Analysis, Elsevier, vol. 151(C).
- Hoang Nguyen & M Concepción Ausín & Pedro Galeano, 2019. "Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas," Journal of Financial Econometrics, Oxford University Press, vol. 17(1), pages 118-151.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Virbickaite, Audrone & Nguyen, Hoang & Tran, Minh-Ngoc, 2023.
"Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models,"
Working Papers
2023:7, Örebro University, School of Business.
- Virbickaitė, Audronė & Nguyen, Hoang & Tran, Minh-Ngoc, 2023. "Bayesian predictive distributions of oil returns using mixed data sampling volatility models," Resources Policy, Elsevier, vol. 86(PA).
Cited by:
- Nguyen, Hoang & Virbickaitė, Audronė, 2023.
"Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models,"
Energy Economics, Elsevier, vol. 124(C).
- Nguyen, Hoang & Virbickaite, Audrone, 2022. "Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models," Working Papers 2022:5, Örebro University, School of Business.
- Nguyen, Hoang & Virbickaite, Audrone, 2022.
"Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models,"
Working Papers
2022:5, Örebro University, School of Business.
- Nguyen, Hoang & Virbickaitė, Audronė, 2023. "Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models," Energy Economics, Elsevier, vol. 124(C).
Cited by:
- Nguyen, Hoang & Javed, Farrukh, 2021.
"Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach,"
Working Papers
2021:15, Örebro University, School of Business.
- Nguyen, Hoang & Javed, Farrukh, 2023. "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 272-292.
- Virbickaite, Audrone & Nguyen, Hoang & Tran, Minh-Ngoc, 2023.
"Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models,"
Working Papers
2023:7, Örebro University, School of Business.
- Virbickaitė, Audronė & Nguyen, Hoang & Tran, Minh-Ngoc, 2023. "Bayesian predictive distributions of oil returns using mixed data sampling volatility models," Resources Policy, Elsevier, vol. 86(PA).
- Bodnar, Taras & Mazur, Stepan & Nguyen, Hoang, 2022.
"Estimation of optimal portfolio compositions for small sampleand singular covariance matrix,"
Working Papers
2022:15, Örebro University, School of Business.
Cited by:
- Gulliksson, Mårten & Oleynik, Anna & Mazur, Stepan, 2021.
"Portfolio Selection with a Rank-deficient Covariance Matrix,"
Working Papers
2021:12, Örebro University, School of Business.
- Mårten Gulliksson & Anna Oleynik & Stepan Mazur, 2024. "Portfolio Selection with a Rank-Deficient Covariance Matrix," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2247-2269, June.
- Drin, Svitlana & Mazur, Stepan & Muhinyuza, Stanislas, 2023. "A test on the location of tangency portfolio for small sample size and singular covariance matrix," Working Papers 2023:11, Örebro University, School of Business.
- Gulliksson, Mårten & Oleynik, Anna & Mazur, Stepan, 2021.
"Portfolio Selection with a Rank-deficient Covariance Matrix,"
Working Papers
2021:12, Örebro University, School of Business.
- Nguyen, Hoang & Nguyen, Trong-Nghia & Tran, Minh-Ngoc, 2021.
"A dynamic leverage stochastic volatility model,"
Working Papers
2021:14, Örebro University, School of Business.
- Hoang Nguyen & Trong-Nghia Nguyen & Minh-Ngoc Tran, 2023. "A dynamic leverage stochastic volatility model," Applied Economics Letters, Taylor & Francis Journals, vol. 30(1), pages 97-102, January.
Cited by:
- Romero, Eva, 2024. "A stochastic volatility model for volatility asymmetry and propagation," DES - Working Papers. Statistics and Econometrics. WS 43887, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Nguyen, Hoang & Javed, Farrukh, 2021.
"Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach,"
Working Papers
2021:15, Örebro University, School of Business.
- Nguyen, Hoang & Javed, Farrukh, 2023. "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 272-292.
Cited by:
- Virbickaite, Audrone & Nguyen, Hoang & Tran, Minh-Ngoc, 2023.
"Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models,"
Working Papers
2023:7, Örebro University, School of Business.
- Virbickaitė, Audronė & Nguyen, Hoang & Tran, Minh-Ngoc, 2023. "Bayesian predictive distributions of oil returns using mixed data sampling volatility models," Resources Policy, Elsevier, vol. 86(PA).
- Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021.
"Vector autoregression models with skewness and heavy tails,"
Papers
2105.11182, arXiv.org.
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2023. "Vector autoregression models with skewness and heavy tails," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021. "Vector autoregression models with skewness and heavy tails," Working Papers 2021:8, Örebro University, School of Business.
Cited by:
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2021.
"Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances,"
Working Papers
2021:9, Örebro University, School of Business.
- Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023. "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., vol. 42(2), pages 347-368, March.
- Loperfido, Nicola, 2024. "The skewness of mean–variance normal mixtures," Journal of Multivariate Analysis, Elsevier, vol. 199(C).
- Budnik, Katarzyna & Rünstler, Gerhard, 2020.
"Identifying structural VARs from sparse narrative instruments: dynamic effects of U.S. macroprudential policies,"
Working Paper Series
2353, European Central Bank.
- Katarzyna Budnik & Gerhard Rünstler, 2023. "Identifying structural VARs from sparse narrative instruments: Dynamic effects of US macroprudential policies," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 186-201, March.
- Andrea Renzetti, 2023. "Modelling and Forecasting Macroeconomic Risk with Time Varying Skewness Stochastic Volatility Models," Papers 2306.09287, arXiv.org, revised Nov 2023.
- Gaygysyz Guljanov & Willi Mutschler & Mark Trede, 2022.
"Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve,"
CQE Working Papers
10122, Center for Quantitative Economics (CQE), University of Muenster.
- Guljanov, Gaygysyz & Mutschler, Willi & Trede, Mark, 2022. "Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve," Dynare Working Papers 78, CEPREMAP.
- Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2022. "The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area," Finance Research Letters, Elsevier, vol. 46(PA).
- Florian Huber & Gary Koop, 2023.
"Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks,"
Papers
2305.16827, arXiv.org.
- Florian Huber & Gary Koop, 2023. "Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks," Working Papers 2309, University of Strathclyde Business School, Department of Economics.
- Florian Huber & Massimiliano Marcellino, 2023. "Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification," Papers 2304.07856, arXiv.org, revised May 2023.
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2022.
"Predicting returns and dividend growth — The role of non-Gaussian innovations,"
Finance Research Letters, Elsevier, vol. 46(PA).
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2021. "Predicting returns and dividend growth - the role of non-Gaussian innovations," Working Papers 2021:10, Örebro University, School of Business.
- Kiss, Tamas & Nguyen, Hoang & Österholm, Pär, 2022.
"Modelling Okun’s Law – Does non-Gaussianity Matter?,"
Working Papers
2022:1, Örebro University, School of Business.
- Tamás Kiss & Hoang Nguyen & Pär Österholm, 2023. "Modelling Okun’s law: Does non-Gaussianity matter?," Empirical Economics, Springer, vol. 64(5), pages 2183-2213, May.
- Jetro Anttonen & Markku Lanne & Jani Luoto, 2024. "Statistically identified structural VAR model with potentially skewed and fat‐tailed errors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(3), pages 422-437, April.
Articles
- Nguyen, Hoang & Javed, Farrukh, 2023.
"Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach,"
Journal of Empirical Finance, Elsevier, vol. 73(C), pages 272-292.
See citations under working paper version above.
- Nguyen, Hoang & Javed, Farrukh, 2021. "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Working Papers 2021:15, Örebro University, School of Business.
- Nguyen, Hoang & Virbickaitė, Audronė, 2023.
"Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models,"
Energy Economics, Elsevier, vol. 124(C).
See citations under working paper version above.
- Nguyen, Hoang & Virbickaite, Audrone, 2022. "Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models," Working Papers 2022:5, Örebro University, School of Business.
- Hoang Nguyen & Trong-Nghia Nguyen & Minh-Ngoc Tran, 2023.
"A dynamic leverage stochastic volatility model,"
Applied Economics Letters, Taylor & Francis Journals, vol. 30(1), pages 97-102, January.
See citations under working paper version above.
- Nguyen, Hoang & Nguyen, Trong-Nghia & Tran, Minh-Ngoc, 2021. "A dynamic leverage stochastic volatility model," Working Papers 2021:14, Örebro University, School of Business.
- Virbickaitė, Audronė & Nguyen, Hoang & Tran, Minh-Ngoc, 2023.
"Bayesian predictive distributions of oil returns using mixed data sampling volatility models,"
Resources Policy, Elsevier, vol. 86(PA).
See citations under working paper version above.
- Virbickaite, Audrone & Nguyen, Hoang & Tran, Minh-Ngoc, 2023. "Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models," Working Papers 2023:7, Örebro University, School of Business.
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2023.
"Vector autoregression models with skewness and heavy tails,"
Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
See citations under working paper version above.
- Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021. "Vector autoregression models with skewness and heavy tails," Papers 2105.11182, arXiv.org.
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021. "Vector autoregression models with skewness and heavy tails," Working Papers 2021:8, Örebro University, School of Business.
- Nguyen, Hoang & Ausín, M. Concepción & Galeano, Pedro, 2020.
"Variational inference for high dimensional structured factor copulas,"
Computational Statistics & Data Analysis, Elsevier, vol. 151(C).
Cited by:
- Nguyen, Hoang & Javed, Farrukh, 2021.
"Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach,"
Working Papers
2021:15, Örebro University, School of Business.
- Nguyen, Hoang & Javed, Farrukh, 2023. "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 272-292.
- Nguyen, Hoang & Virbickaitė, Audronė, 2023.
"Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models,"
Energy Economics, Elsevier, vol. 124(C).
- Nguyen, Hoang & Virbickaite, Audrone, 2022. "Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models," Working Papers 2022:5, Örebro University, School of Business.
- Lin Deng & Michael Stanley Smith & Worapree Maneesoonthorn, 2023. "Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns," Papers 2308.05564, arXiv.org, revised Jul 2024.
- Verhoijsen Alex & Krupskiy Pavel, 2022. "Fast inference methods for high-dimensional factor copulas," Dependence Modeling, De Gruyter, vol. 10(1), pages 270-289, January.
- Nguyen, Hoang & Javed, Farrukh, 2021.
"Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach,"
Working Papers
2021:15, Örebro University, School of Business.
- Hoang Nguyen & M Concepción Ausín & Pedro Galeano, 2019.
"Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas,"
Journal of Financial Econometrics, Oxford University Press, vol. 17(1), pages 118-151.
Cited by:
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2021.
"Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances,"
Working Papers
2021:9, Örebro University, School of Business.
- Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023. "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., vol. 42(2), pages 347-368, March.
- Nguyen, Hoang & Javed, Farrukh, 2021.
"Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach,"
Working Papers
2021:15, Örebro University, School of Business.
- Nguyen, Hoang & Javed, Farrukh, 2023. "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 272-292.
- Nguyen, Hoang & Virbickaitė, Audronė, 2023.
"Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models,"
Energy Economics, Elsevier, vol. 124(C).
- Nguyen, Hoang & Virbickaite, Audrone, 2022. "Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models," Working Papers 2022:5, Örebro University, School of Business.
- Nguyen, Hoang & Ausín, M. Concepción & Galeano, Pedro, 2020. "Variational inference for high dimensional structured factor copulas," Computational Statistics & Data Analysis, Elsevier, vol. 151(C).
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2023.
"Vector autoregression models with skewness and heavy tails,"
Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
- Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021. "Vector autoregression models with skewness and heavy tails," Papers 2105.11182, arXiv.org.
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021. "Vector autoregression models with skewness and heavy tails," Working Papers 2021:8, Örebro University, School of Business.
- Pavel Krupskii & Harry Joe, 2022. "Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models," Statistical Papers, Springer, vol. 63(2), pages 543-569, April.
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2021.
"Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances,"
Working Papers
2021:9, Örebro University, School of Business.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 13 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ORE: Operations Research (7) 2020-11-16 2021-05-31 2021-05-31 2021-05-31 2021-08-16 2021-09-06 2022-01-24. Author is listed
- NEP-ECM: Econometrics (6) 2021-05-31 2021-08-16 2021-09-06 2022-05-30 2023-01-02 2023-05-22. Author is listed
- NEP-MAC: Macroeconomics (6) 2020-11-16 2021-05-31 2021-05-31 2021-05-31 2022-01-24 2022-05-30. Author is listed
- NEP-RMG: Risk Management (6) 2021-05-31 2021-05-31 2021-08-16 2021-09-06 2023-01-02 2024-02-12. Author is listed
- NEP-ETS: Econometric Time Series (4) 2020-11-16 2021-05-31 2021-08-16 2023-05-22. Author is listed
- NEP-ENE: Energy Economics (2) 2022-05-30 2023-05-22
- NEP-FMK: Financial Markets (2) 2021-05-31 2022-12-05
- NEP-FOR: Forecasting (2) 2020-11-16 2021-05-31
- NEP-ISF: Islamic Finance (2) 2021-08-16 2021-09-06
- NEP-BAN: Banking (1) 2024-02-12
- NEP-CFN: Corporate Finance (1) 2021-05-31
- NEP-CWA: Central and Western Asia (1) 2022-01-24
- NEP-FDG: Financial Development and Growth (1) 2024-02-12
- NEP-NET: Network Economics (1) 2022-12-05
- NEP-SEA: South East Asia (1) 2021-05-31
- NEP-UPT: Utility Models and Prospect Theory (1) 2023-01-02
- NEP-URE: Urban and Real Estate Economics (1) 2020-11-16
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