Hoang Nguyen
Tjänstetitel: Postdoktor Organisation: Handelshögskolan vid Örebro universitetE-post: hoang.nguyen@oru.se
Telefon: 019 303853
Rum: N4032
Om 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.
Forskargrupper
Publikationer
Artiklar i tidskrifter
- Karlsson, S. , Mazur, S. & Nguyen, H. (2023). Vector autoregression models with skewness and heavy tails. Journal of Economic Dynamics and Control, 146.
- Kiss, T. , Mazur, S. , Nguyen, H. & Österholm, P. (2022). Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations. Journal of Forecasting.
- Kiss, T. , Nguyen, H. & Österholm, P. (2022). Modelling Okun's law: Does non-Gaussianity matter?. Empirical Economics.
- 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.
Doktorsavhandlingar
- Nguyen, H. (2019). Bayesian inference for high dimensional factor copula models. (Doctoral dissertation). Madrid: Universidad Carlos III de Madrid.
Konferensbidrag
- Karlsson, S. , Mazur, S. & Nguyen, H. (2022). Vector autoregression models with skewness and heavy tails. Konferensbidrag vid Workshop on Random Matrices and Multivariate Analysis, Bedlewo, Poland, September 25 - October 1, 2022.
- 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. Konferensbidrag vid 11th European Seminar on Bayesian Econometrics, Madrid, Spain, September 2-3, 2021.
Rapporter
- Taras, B. , Mazur, S. & Nguyen, H. (2022). Estimation of optimal portfolio compositions for small sample and singular covariance matrix. Örebro: Örebro University, School of Business (Working Papers, School of Business 15/2022).
- 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 9/2021).
- 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).