Working Papers

"Grant me the serenity to accept the things I cannot change,

Courage to change the things I can,

And wisdom to know the difference."

— Reinhold Niebuhr

Working Papers

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

Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Drivers (with Duc K. Nguyen), Revise & Resubmit Journal of Forecasting. [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)