18. VAR Models with Fat Tails and Dynamic Asymmetry
Tamás Kiss, Stepan Mazur, Hoang Nguyen and Pär Österholm
Paper - Code

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

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16. Structured factor copulas for modeling the systemic risk of European and U.S. banks
Hoang Nguyen, Audrone Virbickaite, M. Concepcíon Ausín and Pedro Galeano
International Review of Financial Analysis (2024) - Paper - Online Appendix

15. Deep Learning Enhanced Volatility Modeling with Covariates
Hien Thi Nguyen, Hoang Nguyen, and Minh-Ngoc Tran
Finance Research Letters (2024) - Paper

14. Monitoring the dynamic networks of stock returns with an application to the Swedish stock market
Elena Farahbakhsh Touli, Hoang Nguyen and Olha Bodnar
Computational Economics (2024) - Paper

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

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Book chapter

1. Estimation of optimal portfolio compositions for small sample and singular covariance matrix
Taras Bodnar, Stepan Mazur, and Hoang Nguyen
Advanced Statistical Methods in Process Monitoring, Finance, and Environmental Science : Essays in Honour of Wolfgang Schmid (2024) - Paper