Working Papers

Working Papers

Portfolio Optimization with Risk Measures under Multivariate t-Distribution (with Duc K. Nguyen and Ruben Sippel), submitted

Oil Price Changes and U.S. Real GDP Growth: Is this Time Different? (with Lanouar Charfeddine and Tony Klein), submitted. [Working Paper]

Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Drivers (with Duc K. Nguyen), submitted. [Working Paper]

Exogenous Drivers of Cryptocurrency Volatility - A Mixed Data Sampling Approach to Forecasting (with Tony Klein), submitted. [Working Paper]

In Preparation

Hidden Markov Model for Time Series of Financial Returns with Leverage Effect (with Paul Bui Quang, Tony Klein, and Nam H. Nguyen)