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Hoang Nguyen

Linkoping University

SCHOLARLY PAPERS

4

DOWNLOADS

487

TOTAL CITATIONS

1

Scholarly Papers (4)

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1.

Deep Learning Enhanced Volatility Modeling with Covariates

Downloads 265 (301,349)

Deep Learning Enhanced Volatility Modeling with Covariates

Number of pages: 35 Posted: 07 Dec 2023
Thi Hien Nguyen, Hoang Nguyen and Minh-Ngoc Tran
affiliation not provided to SSRN, Linkoping University and The University of Sydney
Downloads 224 (355,774)

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GARCH, GARCH-X, volatility forecast, realized measures, sequence MonteCarlo.

Deep Learning Enhanced Volatility Modeling with Covariates

Number of pages: 35 Posted: 13 Mar 2024
Thi Hien Nguyen, Hoang Nguyen and Minh-Ngoc Tran
affiliation not provided to SSRN, Linkoping University and The University of Sydney
Downloads 41 (1,210,354)

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GARCH, GARCH-X, volatility forecast, realized measures, sequence MonteCarlo.

2.

Volume-Driven Time-of-Day Effects in Intraday Volatility Models

Number of pages: 39 Posted: 05 Jan 2026
Igor Ferreira Batista Martins, Audrone Virbickaite, Hoang Nguyen and Hedibert Freitas Lopes
Örebro University, CUNEF Universidad, Linkoping University and Insper
Downloads 103 (796,622)

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Intraday Volatility, High-Frequency, Volume, Periodicity

3.

Fast and Slow Level Shifts in Intraday Stochastic Volatility

Number of pages: 36 Posted: 19 Nov 2025
Igor Ferreira Batista Martins, Audrone Virbickaite, Hoang Nguyen and Hedibert Freitas Lopes
Örebro University, CUNEF Universidad, Linkoping University and Insper
Downloads 81 (830,555)

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Intraday Volatility, High-Frequency, Announcements, MIDAS, Oil, Sparsity

4.

Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models

Number of pages: 35 Posted: 29 May 2023
Audrone Virbickaite, Hoang Nguyen and Minh-Ngoc Tran
CUNEF Universidad, Linkoping University and The University of Sydney
Downloads 38 (1,222,651)
Citation 1

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ES, GARCH, Gas, MIDAS, SV, VaR