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

184

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (3)

Actions:
Email selected abstracts
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 103 (347,634)
Citation 2

Abstract:

Loading...

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

2.

Modeling Skewness in Portfolio Choice

Number of pages: 123 Posted: 29 Nov 2020 Last Revised: 04 May 2022
Trung H. Le, Apostolos Kourtis and Raphael N. Markellos
State Bank of Vietnam - Banking Academy of Vietnam, University of East Anglia (UEA) - Norwich Business School and University of East Anglia (UEA) - Norwich Business School
Downloads 81 (403,414)

Abstract:

Loading...

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:

Loading...

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