Duc Khuong Nguyen

IPAG Business School

Professor of Finance

184 BD Saint Germain

Paris, 75006

France

http://www.ipag.fr/en/

SCHOLARLY PAPERS

23

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2,023

SSRN CITATIONS
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SSRN RANKINGS

Top 40,530

in Total Papers Citations

14

CROSSREF CITATIONS

2

Scholarly Papers (23)

1.

An International CAPM for Partially Integrated Markets: Theory and Empirical Evidence

Journal of Banking and Finance, Vol. 36, No. 9, 2012
Number of pages: 54 Posted: 23 Dec 2012
EDHEC Business School, IPAG Business School and University of Missouri, Columbia
Downloads 309 (107,358)

Abstract:

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ICAPM, integration, emerging markets, multivariate GARCH

2.

Does Board Gender Diversity Make a Difference - New Evidence from Quantile Regression Analysis

Number of pages: 18 Posted: 09 May 2014
Rey Dang and Duc Khuong Nguyen
ISTEC Ecole Supérieure de Commerce et de Marketing and IPAG Business School
Downloads 266 (125,924)

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Board of Directors, Gender, Diversity, Corporate Governance.

3.

Assessing the Effects of Unconventional Monetary Policy and Low Interest Rates on Pension Fund Risk Incentives

Journal of Banking and Finance, Vol. 77, pp. 35-52, April 2017
Number of pages: 59 Posted: 15 Mar 2015 Last Revised: 15 Jan 2017
University Paris-Est Créteil (UPEC) - Institut de Recherche en Gestion, University of Bath, IPAG Business School and Durham University Business School
Downloads 226 (148,241)
Citation 3

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Pension funds; Unconventional monetary policy; Asset allocation; Interest rates

4.

Environmental Hazards and Risk Management in the Financial Sector: A Systematic Literature Review

University of St.Gallen, School of Finance Research Paper No. 2019/10
Number of pages: 48 Posted: 31 Jul 2019 Last Revised: 28 May 2020
Miriam Breitenstein, Duc Khuong Nguyen and Thomas Walther
Dresden University of Technology - Chair of Finance and Financial Services, IPAG Business School and Utrecht University - School of Economics
Downloads 217 (154,694)
Citation 1

Abstract:

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Environment, Climate, Risk Management, Banking, Financial Institutions

5.

Research Handbook of Finance and Sustainability (Table of Contents)

Research Handbook of Finance and Sustainability, Forthcoming
Number of pages: 11 Posted: 23 Aug 2017
Sabri Boubaker, Douglas J. Cumming and Duc Khuong Nguyen
University Paris-Est Créteil (UPEC) - Institut de Recherche en Gestion, Florida Atlantic University and IPAG Business School
Downloads 215 (155,374)

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Corporate social responsibility; Environmental Finance; Entrepreneurial Finance; Sustainable Finance; Fraud; Corporate Governance

6.

Does the Board of Directors Affect Cash Holdings? A Study of French Listed Firms

Journal of Management and Governance, Forthcoming
Number of pages: 30 Posted: 31 Oct 2013
Sabri Boubaker, Imen Derouiche and Duc Khuong Nguyen
University Paris-Est Créteil (UPEC) - Institut de Recherche en Gestion, Independent and IPAG Business School
Downloads 209 (159,532)
Citation 3

Abstract:

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Corporate governance, Board of directors, Agency costs, Corporate governance, Cash holdings

7.

Do Liquidity and Idiosyncratic Risk Matter?: Evidence from the European Mutual Fund Market

Review of Quantitative Finance and Accounting, August 2016, Volume 47, Issue 2, pp 213-247., Midwest Finance Association 2013 Annual Meeting Paper.
Number of pages: 37 Posted: 01 Feb 2012 Last Revised: 22 Oct 2016
Javier Vidal-García, Marta Vidal and Duc Khuong Nguyen
Harvard University, Universidad Europea de Madrid and IPAG Business School
Downloads 189 (175,058)

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Mutual Fund Performance, Idiosyncratic Risk, Liquidity, Style Analysis

8.

Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables

University of St. Gallen, School of Finance Research Paper No. 2018/24, Journal of Forecasting, 39(2), pp. 126-142, DOI: 10.1002/for.2617
Number of pages: 41 Posted: 05 Dec 2018 Last Revised: 05 Feb 2020
Duc Khuong Nguyen and Thomas Walther
IPAG Business School and Utrecht University - School of Economics
Downloads 121 (252,863)
Citation 5

Abstract:

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Commodity futures, GARCH, Long-term volatility, Macroeconomic effects, Mixed data sampling

9.

Research Handbook of Investing in the Triple Bottom Line (Introduction)

Research Handbook of Investing in the Triple Bottom Line, Forthcoming
Number of pages: 9 Posted: 18 Dec 2017
Sabri Boubaker, Douglas J. Cumming and Duc Khuong Nguyen
University Paris-Est Créteil (UPEC) - Institut de Recherche en Gestion, Florida Atlantic University and IPAG Business School
Downloads 113 (265,693)

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Impact investing, Sustainable development, Socially responsible firms, Green finance instruments, Financial stability, Fraud, Corporate social responsibility

10.

On the Efficiency of Foreign Exchange Markets in Times of the COVID-19 Pandemic

Number of pages: 32 Posted: 30 Jun 2020
Faheem Aslam, Saqib Aziz, Duc Khuong Nguyen, Khurrum Mughal and Maaz Khan
Hanyang University - School of Business, ESC Rennes School of Business, IPAG Business School, Comsats University Islamabad and COMSATS University Islamabad
Downloads 55 (408,293)

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COVID-19; pandemic; forex market; MF-DFA; high frequency; efficiency

11.

Cojumps and Asset Allocation in International Equity Markets

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 42 Posted: 28 Nov 2018
Université Côte d'Azur, Université Clermont Auvergne, IPAG Business School and University of Missouri, Columbia
Downloads 33 (493,379)
Citation 1

Abstract:

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cojumps, foreign asset holdings, international diversification

12.

Reaching for Yield and the Diabolic Loop in a Monetary Union

Journal of International Money and Finance, Forthcoming
Number of pages: 41 Posted: 13 Feb 2019 Last Revised: 02 Feb 2020
University Paris-Est Créteil (UPEC) - Institut de Recherche en Gestion, University of Bath, IPAG Business School and Durham University Business School
Downloads 30 (508,508)

Abstract:

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Diabolic loop, Financial intermediation, Sovereign debt

13.

Stranded Asset Risk and Political Uncertainty: The Impact of the Coal Phase-out on the German Coal Industry

Utrecht School of Economics Working Paper Series nr: 20-02
Number of pages: 65 Posted: 10 Jun 2020 Last Revised: 15 Jun 2020
Dresden University of Technology - Chair of Finance and Financial Services, Dresden University of Technology - Faculty of Economics and Business Management, IPAG Business School and Utrecht University - School of Economics
Downloads 29 (513,751)

Abstract:

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Coal Phase-out, Energy transition, Germany, Stranded Assets

An International CAPM for Partially Integrated Markets: Theory and Empirical Evidence

Number of pages: 39 Posted: 25 Jan 2011
Mohamed Arouri, Duc Khuong Nguyen and Kuntara Pukthuanthong
Université Côte d'Azur, IPAG Business School and University of Missouri, Columbia
Downloads 7 (684,114)
Citation 1

Abstract:

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International asset pricing, segmentation, emerging markets, multivariate GARCH

An International CAPM for Partially Integrated Markets: Theory and Empirical Evidence

Number of pages: 49 Posted: 21 Mar 2011 Last Revised: 05 Feb 2019
Mohamed Arouri, Duc Khuong Nguyen and Kuntara Pukthuanthong
Université Côte d'Azur, IPAG Business School and University of Missouri, Columbia
Downloads 3 (717,490)

Abstract:

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international Asset Pricing, Segmentation, Emerging Markets, Multivariate GARCH

15.

Estimating and Forecasting Portfolio's Value-at-Risk with Wavelet-Based Extreme Value Theory: Evidence from Crude Oil Prices and Us Exchange Rates

Journal of the Operational Research Society, Vol. 68, Issue 11, 2017
Number of pages: 11 Posted: 24 Apr 2018
Rania Jammazi and Duc Khuong Nguyen
Tunis El Manar University - Faculty of Economics and Management Sciences and IPAG Business School
Downloads 1 (708,849)
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stochastic processes, wavelet analysis, extreme value theory, VaR, oil-exchange rate portfolios

16.

The Marcoeconomic Effects of Oil Price, Credit Cycles, and the Sovereign Risk Premium

Posted: 30 Jan 2020 Last Revised: 17 Apr 2020
Kaisheng Luo, Duc Khuong Nguyen and Nikos Paltalidis
Durham University Business School, IPAG Business School and Durham University Business School

Abstract:

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Sovereign Credit Risk; Oil Price Cycles; Credit Cycles; Credit Booms; Markov Switching Regimes

17.

Fiscal Policy Interventions at the Zero Lower Bound

Journal of Economic Dynamics and Control, Vol. 93, pp. 297-314, August 2018
Posted: 04 Mar 2017 Last Revised: 15 Oct 2018
Sabri Boubaker, Duc Khuong Nguyen and Nikos Paltalidis
University Paris-Est Créteil (UPEC) - Institut de Recherche en Gestion, IPAG Business School and Durham University Business School

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Fiscal Policy; Liquidity Trap; Fiscal Multipliers; Zero Lower Bound

18.

Dynamic Global Linkages of the BRICS Stock Markets with the United States and Europe Under External Crisis Shocks: Implications for Portfolio Risk Forecasting

The World Economy, Vol. 39, Issue 11, pp. 1703-1727, 2016
Number of pages: 25 Posted: 10 Nov 2016
Shawkat M. Hammoudeh, Sang Hoon Kang and Duc Khuong Nguyen
Montpellier Business School, Pusan National University and IPAG Business School
Downloads 0 (726,980)
Citation 1
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19.

Multivariate Dependence Risk and Portfolio Optimization: An Application to Mining Stock Portfolios

Resources Policy 46 (2015) 1–11
Posted: 30 May 2016
European University Institute - Economics Department (ECO), Tecnologico de Monterrey (ITESM), Montpellier Business School and IPAG Business School

Abstract:

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Mining stocks, Vine copulas, Risk measures, Tail dependence, Portfolio optimization

20.

Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility

Posted: 02 Oct 2007
Duc Khuong Nguyen and Mondher Bellalah
IPAG Business School and Universite de Cergy-Pontoise

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Stock Market Liberalization, Return Volatility, Emerging Stock Markets, Bivariate GARCH-M models, Structural Breaks, Pooled Time-Series Analysis

21.

Does Macroeconomic Transparency Help Governments Be Solvent? Evidence from Recent Data

Posted: 17 May 2007
Ramzi Mallat and Duc Khuong Nguyen
affiliation not provided to SSRN and IPAG Business School

Abstract:

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emerging markets, transparency, standards and codes, international financial architecture, sovereign debt and yield spreads

22.

Market Deregulations, Volatility and Spillover Effects: Experiences from Emerging Stock Markets

Sima Motamen-Samadian, GOVERNANCE AND RISK IN EMERGING AND GLOBAL MARKETS: Centre for the Study of Emerging Markets Series, Palgrave Macmillan October 2005
Posted: 26 Mar 2007
Duc Khuong Nguyen
IPAG Business School

Abstract:

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International Finance, Financial Liberalizations, Volatility Spillover, Emerging Stock Markets

23.

Stock Market Liberalization and Informational Efficiency in Emerging Markets: New Consideration and Tests

Bank & Markets, No. 84, 2006
Posted: 26 Mar 2007
Duc Khuong Nguyen and Patrice C. Fontaine
IPAG Business School and Eurofidai (CNRS)

Abstract:

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Emerging markets, Stock market liberalization, Weak form efficiency, Time-varying predictability of stock returns, GARCH-in-Mean effect, Kalman Filter