Hoang NguyenTitle: Postdoctoral Researcher School/office: Örebro University School of Business
Phone: +46 19 303853
About Hoang Nguyen
Hoang is a postdoctoral researcher at the School of Business, Örebro University. He obtained Ph.D. in Business and Quantitative methods at Universidad Carlos III de Madrid. He is interested in Bayesian inference algorithms such as Variational Bayes (VB), ABC, Sequential Monte Carlo (SMC).
His research contributions lie primarily in developing econometric models to analyze high dimensional dependence structure. He proposes different specifications of factor copula models as a solution for the curse of dimensionality.
He proposes an extension of the vector autoregression model with fat tail and asymmetry to account for a more realistic assumption of macroeconomic variables. Also, there is a frequency mismatch between macro and finance variables, a MIDAS copula model is introduced to have a better understanding of their dependence.
Articles in journals
- Kiss, T. , Mazur, S. & Nguyen, H. (2022). Predicting returns and dividend growth - The role of non-Gaussian innovations. Finance Research Letters, 46 (Part A).
- Kiss, T. , Nguyen, H. & Österholm, P. (2022). The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area. Finance Research Letters, 46 (Part A).
- Nguyen, H. , Nguyen, T. & Tran, M. (2021). A dynamic leverage stochastic volatility model. Applied Economics Letters.
- Kiss, T. , Nguyen, H. & Österholm, P. (2021). Modelling Returns in US Housing Prices-You're the One for Me, Fat Tails. Journal of Risk and Financial Management, 14 (11).
- Nguyen, H. , Ausín, M. C. & Galeano, P. (2020). Variational inference for high dimensional structured factor copulas. Computational Statistics & Data Analysis, 151.
- Nguyen, H. , Ausín, M. C. & Galeano, P. (2019). Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas. Journal of Financial Econometrics, 17 (1), 118-151.
- Kiss, T. , Mazur, S. , Nguyen, H. & Österholm, P. (2021). Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances. Paper presented at 11th European Seminar on Bayesian Econometrics, Madrid, Spain, September 2-3, 2021.
Doctoral theses, monographs
- Nguyen, H. (2019). Bayesian inference for high dimensional factor copula models. (Doctoral dissertation). Madrid: Universidad Carlos III de Madrid.
- Kiss, T. , Mazur, S. , Nguyen, H. & Österholm, P. (2021). Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances. Örebro: Örebro University, School of Business (Working Papers, School of Business 9).
- Karlsson, S. , Mazur, S. & Nguyen, H. (2021). Vector autoregression models with skewness and heavy tails. Örebro: Örebro University, School of Business (Working Papers, School of Business 8).