Duc Khuong Nguyen

IPAG Business School

Professor of Finance

184 BD Saint Germain

Paris, 75006

France

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

SCHOLARLY PAPERS

19

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Scholarly Papers (19)

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 275 (108,138)

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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
La Rochelle Business School and IPAG Business School
Downloads 255 (117,010)

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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
South Champagne Business School, University of Bath, IPAG Business School and Durham Business School
Downloads 211 (141,131)

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

4.

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
South Champagne Business School, Independent and IPAG Business School
Downloads 201 (147,702)

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

5.

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 181 (162,593)

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Mutual Fund Performance, Idiosyncratic Risk, Liquidity, Style Analysis

6.

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
South Champagne Business School, Florida Atlantic University and IPAG Business School
Downloads 154 (186,992)

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

7.

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
South Champagne Business School, Florida Atlantic University and IPAG Business School
Downloads 77 (305,272)

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

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
Number of pages: 41 Posted: 05 Dec 2018
Duc Khuong Nguyen and Thomas Walther
IPAG Business School and University of St. Gallen - School of Finance
Downloads 71 (319,714)

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

9.

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 30 (456,776)

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cojumps, foreign asset holdings, international diversification

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 5 (625,048)

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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 2 (651,388)

Abstract:

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international Asset Pricing, Segmentation, Emerging Markets, Multivariate GARCH

11.

The Diabolic Loop in a Monetary Union: Banking Fragility, Sovereign Risk, and Fiscal Policy

Posted: 13 Feb 2019
South Champagne Business School, University of Bath, IPAG Business School and Durham Business School

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Diabolic Loop, Financial Intermediation, Sovereign Debt, Fiscal Policy

12.

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
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stochastic processes, wavelet analysis, extreme value theory, VaR, oil-exchange rate portfolios

13.

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
South Champagne Business School, IPAG Business School and Durham Business School

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

14.

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
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15.

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

16.

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

17.

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

18.

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

19.

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