17. Structured factor copulas for modeling the systemic risk of European and U.S. banks
Hoang Nguyen, Audrone Virbickaite, M. Concepcíon Ausín and Pedro Galeano
Paper - Online Appendix - Code

16. US Interest Rates: Are Relations Stable?
Sune Karlsson, Tamás Kiss, Hoang Nguyen and Pär Österholm
Paper - Code

15. Deep Learning Enhanced Volatility Modeling with Covariates
Hien Thi Nguyen, Hoang Nguyen, and Minh-Ngoc Tran
Paper - Code

14. Estimation of optimal portfolio compositions for small sample and singular covariance matrix
Taras Bodnar, Stepan Mazur, and Hoang Nguyen
Working Paper

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13. A Note on The Dynamic Effects of Supply and Demand Shocks in the Crude Oil Market
Hoang Nguyen and Pär Österholm
Applied Economics Letters (2024) - Paper - Code

12. Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models
Audrone Virbickaite, Hoang Nguyen and Minh-Ngoc Tran
Resources Policy (2023) - Paper - Code

11. Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach
Hoang Nguyen and Farrukh Javed
Journal of Empirical Finance (2023) - Paper - Slides

10. Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Hoang Nguyen and Audrone Virbickaite
Energy Economics (2023) - Paper - Online Appendix - Code

9. Vector autoregression models with skewness and heavy tails
Sune Karlsson, Stepan Mazur, Hoang Nguyen
Journal of Economic Dynamics and Control (2022) - Paper - Online Appendix - Slides - Code

8. Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances
Tamás Kiss, Stepan Mazur, Hoang Nguyen, and Pär Österholm
Journal of Forecasting (2022) - Paper - Code

7. Modelling Okun’s Law–Does non-Gaussianity Matter?
Tamás Kiss, Hoang Nguyen, and Pär Österholm
Empirical Economics (2022) - Paper - Code

6. Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails
Tamás Kiss, Hoang Nguyen, and Pär Österholm
Journal of Risk and Financial Management (2021) - Paper

5. A dynamic leverage stochastic volatility model
Hoang Nguyen, Trong-Nghia Nguyen, Minh-Ngoc Tran
Applied Economics Letters (2021) - Paper - Slides

4. The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area
Tamás Kiss, Hoang Nguyen, and Pär Österholm
Finance Research Letters (2021) - Paper

3. Predicting returns and dividend growth - the role of non-Gaussian innovations
Tamás Kiss, Stepan Mazur, and Hoang Nguyen
Finance Research Letters (2021) - Paper

2. Variational Inference for high dimensional structured factor copulas
Hoang Nguyen, M. Concepcíon Ausín and Pedro Galeano
Computational Statistics & Data Analysis (2020) - Paper - Appendix - Slides - Poster - Code

1. Parallel Bayesian inference for high dimensional dynamic factor copulas
Hoang Nguyen, M. Concepcíon Ausín and Pedro Galeano
Journal of Financial Econometrics (2019) - Paper - Appendix - Slides - Poster - Code