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.