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Trung H. Le

State Bank of Vietnam - Banking Academy of Vietnam

Banking Faculty

No.12, Chuaboc Street

Dong Da District

Hanoi, Hanoi 10000

Vietnam

  • State Bank of Vietnam - Banking Academy of Vietnam

SCHOLARLY PAPERS

3

DOWNLOADS

465

TOTAL CITATIONS

6

Scholarly Papers (3)

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1.

Forecasting Value at Risk and Expected Shortfall with Mixed Data Sampling

International Journal of Forecasting, Forthcoming
Number of pages: 55 Posted: 15 Jan 2020 Last Revised: 17 Apr 2020
Trung H. Le
State Bank of Vietnam - Banking Academy of Vietnam
Downloads 245 (313,926)
Citation 6

Abstract:

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Value at Risk, Expected Shortfall, Mixed Data Sampling, Model Confidence Set, Backtesting

2.

Modeling Skewness in Portfolio Choice

Number of pages: 49 Posted: 29 Nov 2020 Last Revised: 07 Mar 2023
Trung H. Le, Apostolos Kourtis and Raphael N. Markellos
State Bank of Vietnam - Banking Academy of Vietnam, Institute for the Future (IFF), Department of Digital Innovation, School of Business, University of Nicosia and University of East Anglia (UEA) - Norwich Business School
Downloads 220 (349,796)

Abstract:

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Skewness modeling, Skewness Risk Premium, Portfolio choice

3.

International Portfolio Allocation: The Role of Conditional Higher Moments

Posted: 17 Jan 2020
Trung H. Le
State Bank of Vietnam - Banking Academy of Vietnam

Abstract:

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Mixed Data Sampling (MIDAS), Higher moments, Parametric Portfolio, International Diversification