Hung Xuan Do

University of Technology, Sydney

Research Fellow

PO Box 123

Broadway, 2007

Australia

SCHOLARLY PAPERS

6

DOWNLOADS

345

CITATIONS

0

Scholarly Papers (6)

1.

Stock and Currency Market Linkages: New Evidence from Realized Spillovers in Higher Moments

International Review of Economics & Finance, Vol. 42, 167-185, 2016
Number of pages: 40 Posted: 25 Aug 2011 Last Revised: 05 May 2016
University of Technology, Sydney, Monash University, University of Western Australia and The University of Sydney - Business School
Downloads 92 (191,614)

Abstract:

fractionally integrated VAR, bootstrap, generalized impulse response, spillovers, higher moments, intraday data

2.

The Effects of Sovereign Rating Drifts on Financial Return Distributions: Evidence from the European Union

International Review of Financial Analysis, Vol. 34, 5-20, 2014, 25th Australasian Finance and Banking Conference 2012
Number of pages: 43 Posted: 28 Aug 2012 Last Revised: 05 May 2016
University of Technology, Sydney, Monash University, University of Western Australia and The University of Sydney - Business School
Downloads 56 (286,359)

Abstract:

Intraday data, higher moments, Markov regime switching, long memory, sovereign credit rating, credit rating agency

3.

How does Trading Volume Affect Financial Return Distributions?

International Review of Financial Analysis, Vol. 35, 2014
Number of pages: 41 Posted: 12 Jun 2012 Last Revised: 21 May 2015
University of Technology, Sydney, Monash University, University of Western Australia and The University of Sydney - Business School
Downloads 55 (270,291)

Abstract:

intraday data, higher moments, information theory, long memory, fractional integrated VAR, generalized impulse response

4.

Generalized Impulse Response Analysis in a Fractionally Integrated Vector Autoregressive Model

Economics Letters, Vol 118, Issue 3, March 2013, 462-465
Number of pages: 12 Posted: 23 Sep 2011 Last Revised: 04 May 2016
University of Technology, Sydney, Monash University and University of Western Australia
Downloads 48 (303,940)

Abstract:

generalized impulse response, fractionally integrated VAR model, long memory

5.

Liquidity Constraints, Home Equity and Residential Mortgage Losses

CIFR Paper No. 122/2016
Number of pages: 56 Posted: 02 Sep 2016
University of Technology, Sydney, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 0 (338,876)

Abstract:

Cure, Loss Given Default, Liquidity Constraints, Home Equity, Mortgage, Selection

6.

Fossil Fuel Price Uncertainty and Feedstock Edible Oil Prices: Evidence from MGARCH-M and VIRF Analysis

Energy Economics, Forthcoming
Number of pages: 41 Posted: 06 May 2016
Monash University - Department of Econometrics & Business Statistics, University of Technology, Sydney and Monash Business School
Downloads 0 (480,698)

Abstract:

Oil/food price uncertainty, crude oil, edible oil, Multivariate GARCH, VIRF