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]

Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH (with Paul Bui Quang, Tony Klein, and Nam H. Nguyen), Submitted to Journal of Risk and Financial Management.

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

Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance (with Tony Klein and Hien Pham Thu), Submitted.

In Preparation

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