Hoang Nguyen : Citation Profile

Linköpings Universitet

2

H index

1

i10 index

32

Citations

RESEARCH PRODUCTION:

16

Articles

17

Papers

2

Chapters

RESEARCH ACTIVITY:

   6 years (2019 - 2025). See details.
   Cites by year: 5
   Journals where Hoang Nguyen has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 16 (33.33 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/png291
   Updated: 2025-12-20    RAS profile: 2025-12-11    
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Relations with other researchers

Works with:

Kiss, Tamas (11)

Österholm, Pär (10)

Mazur, Stepan (9)

Virbickaite, Audrone (4)

Karlsson, Sune (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with Hoang Nguyen.

Is cited by:

Huber, Florian (4)

Mazur, Stepan (3)

Mutschler, Willi (2)

Afonso, Antonio (2)

Koop, Gary (2)

Alves, José (1)

Karlsson, Sune (1)

Budnik, Katarzyna (1)

Ferreira, Leonardo (1)

Marcellino, Massimiliano (1)

Lanne, Markku (1)

Cites to:

Engle, Robert (20)

Clark, Todd (20)

Mazur, Stepan (17)

Diebold, Francis (15)

Koopman, Siem Jan (14)

Karlsson, Sune (12)

Lucas, Andre (12)

Fagiolo, Giorgio (11)

Gilchrist, Simon (11)

Roventini, Andrea (11)

Bollerslev, Tim (11)

Main data

Where Hoang Nguyen has published?

Journals with more than one article published# docs
Finance Research Letters3
Applied Economics Letters2

Working Papers Series with more than one paper published# docs
Working Papers / rebro University, School of Business14
Papers / arXiv.org3

Recent works citing Hoang Nguyen (2025 and 2024)

YearTitle of citing document
2025Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification. (2023). Marcellino, Massimiliano ; Huber, Florian. In: Papers. RePEc:arx:papers:2304.07856.

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2024Large 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.

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2024A large non-Gaussian structural VAR with application to Monetary Policy. (2024). Pruser, Jan. In: Papers. RePEc:arx:papers:2412.17598.

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2025Stochastic Volatility-in-mean VARs with Time-Varying Skewness. (2025). Ferreira, Leonardo ; Mumtaz, Haroon ; Skoblar, Ana. In: Papers. RePEc:arx:papers:2510.08415.

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2025Stock 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.

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2024A 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.

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2024Copula-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.

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2024Tail 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.

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2025Does multi-scale GARCH information enhance volatility prediction?. (2025). Yu, Rentian ; Xiao, Haotian ; Zhu, Yukun ; Zhang, Gongqiu. In: Finance Research Letters. RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325004593.

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2025Uncovering nonlinear dependencies in the Treasury-funds rate spread: Quantile-based explanation. (2025). Meng, Fanyu. In: Finance Research Letters. RePEc:eee:finlet:v:79:y:2025:i:c:s1544612325004799.

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2024The skewness of mean–variance normal mixtures. (2024). Loperfido, Nicola. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:199:y:2024:i:c:s0047259x2300088x.

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2024Multivariate 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.

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2025Exploring dynamic extreme dependence of oil and agricultural markets. (2025). Fikru, Mahelet ; Lahiani, Amine ; Kisswani, Khalid M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:99:y:2025:i:c:s1059056025001959.

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2025Identifying Useful Indicators for Nowcasting GDP in Sweden. (2025). Mazur, Stepan ; Karlsson, Sune ; Raftab, Mariya. In: Working Papers. RePEc:hhs:oruesi:2025_004.

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2025Fast and Slow Level Shifts in Intraday Stochastic Volatility. (2025). , Igor ; Virbickait, Audron ; Hedibert, Freitas Lopes ; Nguyen, Hoang. In: Working Papers. RePEc:hhs:oruesi:2025_012.

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2025Stock 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.

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2024Portfolio 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.

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2025Portfolio 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.

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2024Properties 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.

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2025Tail risk and Flight-to-Safety. (2025). Li, Xinyang. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:4:d:10.1057_s41260-025-00407-1.

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2024Statistically 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.

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2024Fast 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.

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Works by Hoang Nguyen:

YearTitleTypeCited
2021Vector autoregression models with skewness and heavy tails In: Papers.
[Full Text][Citation analysis]		paper14
2023Vector 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: 14		article
2021Vector autoregression models with skewness and heavy tails.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2022Monitoring the Dynamic Networks of Stock Returns In: Papers.
[Full Text][Citation analysis]		paper0
2024Structured factor copulas for modeling the systemic risk of European and United States banks In: Papers.
[Full Text][Citation analysis]		paper0
2024Structured factor copulas for modeling the systemic risk of European and United States banks.(2024) In: International Review of Financial Analysis.
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This paper has nother version. Agregated cites: 0		article
2020Variational inference for high dimensional structured factor copulas In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article2
2023Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article5
2021Dynamic 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: 5		paper
2023Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models In: Energy Economics.
[Full Text][Citation analysis]		article1
2022Modeling 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
2022Predicting returns and dividend growth — The role of non-Gaussian innovations In: Finance Research Letters.
[Full Text][Citation analysis]		article1
2021Predicting 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
2022The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area In: Finance Research Letters.
[Full Text][Citation analysis]		article1
2024Deep learning enhanced volatility modeling with covariates In: Finance Research Letters.
[Full Text][Citation analysis]		article1
2023Bayesian predictive distributions of oil returns using mixed data sampling volatility models In: Resources Policy.
[Full Text][Citation analysis]		article2
2023Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models.(2023) In: Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2021Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails In: JRFM.
[Full Text][Citation analysis]		article0
2020Modelling 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
2021Modelling 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]		paper0
2023Modeling 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.
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This paper has nother version. Agregated cites: 0		article
2021A dynamic leverage stochastic volatility model In: Working Papers.
[Full Text][Citation analysis]		paper2
2023A dynamic leverage stochastic volatility model.(2023) In: Applied Economics Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2022Modelling Okun’s Law – Does non-Gaussianity Matter? In: Working Papers.
[Full Text][Citation analysis]		paper0
2023Modelling Okun’s law: Does non-Gaussianity matter?.(2023) In: Empirical Economics.
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This paper has nother version. Agregated cites: 0		article
2022Estimation of optimal portfolio compositions for small sampleand singular covariance matrix In: Working Papers.
[Full Text][Citation analysis]		paper2
2024Estimation of Optimal Portfolio Compositions for Small Sample and Singular Covariance Matrix.(2024) In: Springer Books.
[Citation analysis]
This paper has nother version. Agregated cites: 2		chapter
2024US Interest Rates: Are Relations Stable? In: Working Papers.
[Full Text][Citation analysis]		paper0
2024VAR Models with Fat Tails and Dynamic Asymmetry In: Working Papers.
[Full Text][Citation analysis]		paper0
2025VAR Models with Fat Tails and Dynamic Asymmetry.(2025) In: Springer Books.
[Citation analysis]
This paper has nother version. Agregated cites: 0		chapter
2025Fast and Slow Level Shifts in Intraday Stochastic Volatility In: Working Papers.
[Full Text][Citation analysis]		paper0
2025Volume-driven time-of-day effects in intraday volatility models In: Working Papers.
[Full Text][Citation analysis]		paper0
2025Monitoring the Dynamic Networks of Stock Returns with an Application to the Swedish Stock Market In: Computational Economics.
[Full Text][Citation analysis]		article0
2019Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1
2025A note on the dynamic effects of supply and demand shocks in the crude oil market In: Applied Economics Letters.
[Full Text][Citation analysis]		article0

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