2
H index
1
i10 index
26
Citations
Hoang Nguyen : Citation Profile
Linköpings Universitet | RESEARCH PRODUCTION: 14 Articles 15 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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5 years (2019 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Hoang Nguyen. | Is cited by:
| Cites to:
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Main data
Where Hoang Nguyen has published?
| Journals with more than one article published | # docs |
|---|---|
| Finance Research Letters | 3 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / rebro University, School of Business | 12 |
| Papers / arXiv.org | 3 |
Recent works citing Hoang Nguyen (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns. (2024). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564. Full description at Econpapers || Download paper |
| 2024 | A large non-Gaussian structural VAR with application to Monetary Policy. (2024). Pruser, Jan. In: Papers. RePEc:arx:papers:2412.17598. Full description at Econpapers || Download paper |
| 2025 | Stock and Sovereign Returns Linkages: Time-Varying Causality and Extreme-Quantile Determinants. (2025). Afonso, Antonio ; Monteiro, Sofia ; Grabowski, Wojciech ; Alves, Jos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11667. Full description at Econpapers || Download paper |
| 2024 | A stochastic volatility model for volatility asymmetry and propagation. (2024). Lopes, Maria Helena ; Marin, Juan Miguel ; Romero, Eva. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43887. Full description at Econpapers || Download paper |
| 2024 | Copula-MIDAS-TRV model for risk spillover analysis − Evidence from the Chinese stock market. (2024). Li, Xianhua ; Wang, Qin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001554. Full description at Econpapers || Download paper |
| 2024 | Tail risk network of Chinese green-related stocks market. (2024). Ye, Wuyi ; Guo, Ranran ; Hu, Chenglong. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008328. Full description at Econpapers || Download paper |
| 2024 | The skewness of mean–variance normal mixtures. (2024). Loperfido, Nicola. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:199:y:2024:i:c:s0047259x2300088x. Full description at Econpapers || Download paper |
| 2024 | Multivariate unified skew-t distributions and their properties. (2024). Arellano-Valle, Reinaldo B ; Genton, Marc G ; Karling, Maicon J ; Wang, Kesen. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:203:y:2024:i:c:s0047259x24000290. Full description at Econpapers || Download paper |
| 2025 | Identifying Useful Indicators for Nowcasting GDP in Sweden. (2025). Mazur, Stepan ; Karlsson, Sune ; Raftab, Mariya. In: Working Papers. RePEc:hhs:oruesi:2025_004. Full description at Econpapers || Download paper |
| 2025 | Stock and sovereign returns linkages: time-varying causality and extreme-quantile determinants. (2025). Alves, José ; Afonso, Antonio ; Grabowski, Wojciech ; Monteiro, Sofia. In: Working Papers REM. RePEc:ise:remwps:wp03662025. Full description at Econpapers || Download paper |
| 2024 | Portfolio Selection with a Rank-Deficient Covariance Matrix. (2024). Mazur, Stepan ; Gulliksson, Mrten ; Oleynik, Anna. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:6:d:10.1007_s10614-023-10404-4. Full description at Econpapers || Download paper |
| 2025 | Portfolio Optimization During the COVID-19 Epidemic: Based on an Improved QBAS Algorithm and a Dynamic Mixed Frequency Model. (2025). Jiang, Kunliang ; Song, Jiashan ; Luo, Pengfei ; Wei, Siyao. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:4:d:10.1007_s10614-024-10621-5. Full description at Econpapers || Download paper |
| 2024 | Properties of risk aversion estimated from portfolio weights. (2024). Satchell, Steve ; Kwon, Oh Kang ; Grant, Andrew. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:5:d:10.1057_s41260-024-00375-y. Full description at Econpapers || Download paper |
| 2024 | Statistically identified structural VAR model with potentially skewed and fat‐tailed errors. (2024). Lanne, Markku ; Anttonen, Jetro ; Luoto, Jani. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:3:p:422-437. Full description at Econpapers || Download paper |
| 2024 | Fast and order‐invariant inference in Bayesian VARs with nonparametric shocks. (2024). Huber, Florian ; Koop, Gary. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:7:p:1301-1320. Full description at Econpapers || Download paper |
Works by Hoang Nguyen:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2021 | Vector autoregression models with skewness and heavy tails In: Papers. [Full Text][Citation analysis] | paper | 13 |
| 2023 | Vector autoregression models with skewness and heavy tails.(2023) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2021 | Vector autoregression models with skewness and heavy tails.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2022 | Monitoring the Dynamic Networks of Stock Returns In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Structured factor copulas for modeling the systemic risk of European and United States banks In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Structured factor copulas for modeling the systemic risk of European and United States banks.(2024) In: International Review of Financial Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2020 | Variational inference for high dimensional structured factor copulas In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 2 |
| 2023 | Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 4 |
| 2021 | Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2023 | Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models In: Energy Economics. [Full Text][Citation analysis] | article | 1 |
| 2022 | Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models.(2022) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2022 | Predicting returns and dividend growth — The role of non-Gaussian innovations In: Finance Research Letters. [Full Text][Citation analysis] | article | 1 |
| 2021 | Predicting returns and dividend growth - the role of non-Gaussian innovations.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2022 | The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
| 2024 | Deep learning enhanced volatility modeling with covariates In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
| 2023 | Bayesian predictive distributions of oil returns using mixed data sampling volatility models In: Resources Policy. [Full Text][Citation analysis] | article | 0 |
| 2023 | Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models.(2023) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails In: JRFM. [Full Text][Citation analysis] | article | 0 |
| 2020 | Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations.(2023) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | A dynamic leverage stochastic volatility model In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2023 | A dynamic leverage stochastic volatility model.(2023) In: Applied Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2022 | Modelling Okun’s Law – Does non-Gaussianity Matter? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Modelling Okun’s law: Does non-Gaussianity matter?.(2023) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2022 | Estimation of optimal portfolio compositions for small sampleand singular covariance matrix In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2024 | US Interest Rates: Are Relations Stable? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | VAR Models with Fat Tails and Dynamic Asymmetry In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
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