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
Handelshögskolan
Örebro Universitet
Örebro, Swedenhttp://www.oru.se/Institutioner/Handelshogskolan-vid-Orebro-universitet/
RePEc:edi:ieoruse (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- 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.
- Elena Farahbakhsh Touli & Hoang Nguyen & Olha Bodnar, 2022. "Monitoring the Dynamic Networks of Stock Returns," Papers 2210.16679, arXiv.org.
- Kiss, Tamas & Nguyen, Hoang & Österholm, Pär, 2022. "Modelling Okun’s Law – Does non-Gaussianity Matter?," Working Papers 2022:1, Örebro University, School of Business.
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021.
"Vector autoregression models with skewness and heavy tails,"
Working Papers
2021:8, Örebro University, School of Business.
- Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021. "Vector autoregression models with skewness and heavy tails," Papers 2105.11182, arXiv.org.
- 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.
- 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).
- Nguyen, Hoang & Nguyen, Trong-Nghia & Tran, Minh-Ngoc, 2021. "A dynamic leverage stochastic volatility model," Working Papers 2021:14, Örebro University, School of Business.
- 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.
- 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.
- Nguyen, Hoang & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2018.
"Variational Inference for high dimensional structured factor copulas,"
DES - Working Papers. Statistics and Econometrics. WS
27652, Universidad Carlos III de Madrid. Departamento de Estadística.
- Nguyen, Hoang & Ausín, M. Concepción & Galeano, Pedro, 2020. "Variational inference for high dimensional structured factor copulas," Computational Statistics & Data Analysis, Elsevier, vol. 151(C).
- Nguyen, Hoang & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2017.
"Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas,"
DES - Working Papers. Statistics and Econometrics. WS
24552, Universidad Carlos III de Madrid. Departamento de Estadística.
- Hoang Nguyen & M Concepción Ausín & Pedro Galeano, 2019. "Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 17(1), pages 118-151.
Articles
- 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).
- Nguyen, Hoang & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2018. "Variational Inference for high dimensional structured factor copulas," DES - Working Papers. Statistics and Econometrics. WS 27652, Universidad Carlos III de Madrid. Departamento de Estadística.
- Hoang Nguyen & M Concepción Ausín & Pedro Galeano, 2019.
"Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas,"
The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 17(1), pages 118-151.
- Nguyen, Hoang & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2017. "Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas," DES - Working Papers. Statistics and Econometrics. WS 24552, Universidad Carlos III de Madrid. Departamento de Estadística.
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
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021.
"Vector autoregression models with skewness and heavy tails,"
Working Papers
2021:8, Örebro University, School of Business.
- Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021. "Vector autoregression models with skewness and heavy tails," Papers 2105.11182, arXiv.org.
Cited by:
- 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.
- 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, 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 & 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.
- 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.
- Nguyen, Hoang & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2018.
"Variational Inference for high dimensional structured factor copulas,"
DES - Working Papers. Statistics and Econometrics. WS
27652, Universidad Carlos III de Madrid. Departamento de Estadística.
- 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.
- 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 & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2017.
"Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas,"
DES - Working Papers. Statistics and Econometrics. WS
24552, Universidad Carlos III de Madrid. Departamento de Estadística.
- Hoang Nguyen & M Concepción Ausín & Pedro Galeano, 2019. "Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 17(1), pages 118-151.
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 & Ausín, M. Concepción & Galeano, Pedro, 2020.
"Variational inference for high dimensional structured factor copulas,"
Computational Statistics & Data Analysis, Elsevier, vol. 151(C).
- Nguyen, Hoang & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2018. "Variational Inference for high dimensional structured factor copulas," DES - Working Papers. Statistics and Econometrics. WS 27652, Universidad Carlos III de Madrid. Departamento de Estadística.
- 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.
- 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.
Articles
- Nguyen, Hoang & Ausín, M. Concepción & Galeano, Pedro, 2020.
"Variational inference for high dimensional structured factor copulas,"
Computational Statistics & Data Analysis, Elsevier, vol. 151(C).
See citations under working paper version above.
- Nguyen, Hoang & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2018. "Variational Inference for high dimensional structured factor copulas," DES - Working Papers. Statistics and Econometrics. WS 27652, Universidad Carlos III de Madrid. Departamento de Estadística.
- Hoang Nguyen & M Concepción Ausín & Pedro Galeano, 2019.
"Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas,"
The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 17(1), pages 118-151.
See citations under working paper version above.Sorry, no citations of articles recorded.
- Nguyen, Hoang & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2017. "Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas," DES - Working Papers. Statistics and Econometrics. WS 24552, Universidad Carlos III de Madrid. Departamento de Estadística.
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 12 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) 2017-05-21 2018-11-12 2021-05-31 2021-08-16 2021-09-06 2022-05-30. Author is listed
- NEP-ETS: Econometric Time Series (5) 2017-05-21 2018-11-12 2020-11-16 2021-05-31 2021-08-16. Author is listed
- NEP-RMG: Risk Management (4) 2021-05-31 2021-05-31 2021-08-16 2021-09-06. Author is listed
- 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-CFN: Corporate Finance (1) 2021-05-31
- NEP-CWA: Central & Western Asia (1) 2022-01-24
- NEP-ENE: Energy Economics (1) 2022-05-30
- NEP-NET: Network Economics (1) 2022-12-05
- NEP-SEA: South East Asia (1) 2021-05-31
- NEP-URE: Urban & Real Estate Economics (1) 2020-11-16
Corrections
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