Duc Khuong Nguyen

IPAG Business School

Professor of Finance

184 BD Saint Germain

Paris, 75006

France

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

SCHOLARLY PAPERS

27

DOWNLOADS
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SSRN RANKINGS

Top 22,914

in Total Papers Downloads

2,679

SSRN CITATIONS
Rank 33,383

SSRN RANKINGS

Top 33,383

in Total Papers Citations

22

CROSSREF CITATIONS

3

Scholarly Papers (27)

1.

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

Journal of Economic Surveys, forthcoming, University of St.Gallen, School of Finance Research Paper No. 2019/10
Number of pages: 46 Posted: 31 Jul 2019 Last Revised: 31 Dec 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 370 (99,370)
Citation 3

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Environment, Climate, Risk Management, Banking, Financial Institutions

2.

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 336 (110,813)

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ICAPM, integration, emerging markets, multivariate GARCH

3.

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 275 (137,137)

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Board of Directors, Gender, Diversity, Corporate Governance.

4.

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 249 (151,566)

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

5.

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 233 (161,547)
Citation 3

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

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 210 (178,319)
Citation 4

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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 192 (193,584)

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Mutual Fund Performance, Idiosyncratic Risk, Liquidity, Style Analysis

8.

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, Rennes School of Business, IPAG Business School, Comsats University Islamabad and COMSATS University Islamabad
Downloads 158 (229,087)
Citation 5

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

9.

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 144 (247,284)
Citation 8

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

10.

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 133 (263,164)

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

11.

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: 62 Posted: 10 Jun 2020 Last Revised: 04 Mar 2021
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 116 (291,018)
Citation 3

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

12.

Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach

Number of pages: 55 Posted: 05 Nov 2020 Last Revised: 30 Dec 2020
Duc Khuong Nguyen, Nikolas Topaloglou and Thomas Walther
IPAG Business School, Athens University of Economics and Business and Utrecht University - School of Economics
Downloads 87 (351,758)

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Stochastic Dominance, Stochastic Spanning, Commodities, FX, Real Estate, Diversification

13.

Broker Network Connectivity and the Cross-Section of Expected Returns

Number of pages: 53 Posted: 29 Jan 2021
Murat Tiniç, Ahmet Şensoy, Muge Demir and Duc Khuong Nguyen
Kadir Has University, Bilkent University, Government of the Republic of Turkey - Banking Regulation and Supervision Agency (BDDK) and IPAG Business School
Downloads 50 (468,965)

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Stock market,trading networks,broker networks, network connectivity, pricing factors

14.

Reaching for Yield and the Diabolic Loop in a Monetary Union

Journal of International Money and Finance, Vol. 108, pp. 102-157, November 2020
Number of pages: 41 Posted: 13 Feb 2019 Last Revised: 06 Jan 2021
University Paris-Est Créteil (UPEC) - Institut de Recherche en Gestion, University of Bath, IPAG Business School and Durham University Business School
Downloads 42 (503,049)

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Diabolic loop, Financial intermediation, Sovereign debt

15.

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 38 (521,823)
Citation 1

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cojumps, foreign asset holdings, international diversification

16.

New Determinants of Sovereign Risk Premia: Identification through Asset Price Shocks, Credit Premia, and Financial Cycle Synchronization

Number of pages: 69 Posted: 01 Apr 2021 Last Revised: 09 Jun 2021
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
Downloads 20 (628,357)

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Sovereign Credit Risk; Asset Prices; Credit cycles; Credit Booms; Financial Cycles

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 11 (721,468)
Citation 1

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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 6 (763,662)

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international Asset Pricing, Segmentation, Emerging Markets, Multivariate GARCH

18.

Regulatory Changes and Long-run Relationships of the EMU Sovereign Debt Markets: Implications for Future Policy Framework

Number of pages: 33 Posted: 28 Feb 2021
Erdinc Akyildirim, Shaen Corbet, Duc Khuong Nguyen and Ahmet Sensoy
ETH Zürich - Department of Mathematics, Dublin City University, IPAG Business School and Borsa Istanbul
Downloads 8 (717,468)

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19.

Economic drivers of volatility and correlation in precious metal markets

Number of pages: 36
Theu Dinh, Stephane Goutte, Duc Khuong Nguyen and Thomas Walther
University of Paris-Saclay, University Paris-Saclay, UVSQ, CEMOTEV, UVSQ., IPAG Business School and Utrecht University - School of Economics
Downloads 1

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Precious metals, long-term volatility \sep long-term correlation, macroeconomic drivers, financial drivers, economic policy uncertainty, mixed data sampling

20.

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

Journal of Banking and Finance, Vol. 92, pp. 340-357, March 2018
Posted: 15 Apr 2021
University Paris-Est Créteil (UPEC) - Institut de Recherche en Gestion, University of Bath, IPAG Business School and Durham University Business School

Abstract:

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Pension Funds; Unconventional Monetary Policy; Asset Allocation; Interest Rates

21.

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

22.

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 (794,839)
Citation 1
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23.

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

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

24.

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

25.

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

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

26.

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

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

27.

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)

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