RESEARCH

 
Selected articles
  • Cojumps and Asset Allocation in International Equity Markets. Journal of Economic Dynamics and Control, Vol. 98, pp. 1-22, 2019 (with Mohamed Arouri, Oussama M’saddek, and Kuntara Pukthuanthong).

  • Fiscal Policy Interventions at the Zero Lower BoundJournal of Economic Dynamics and Control, Vol. 93, pp. 297-314, 2018 (with Sabri Boubaker and Nikos Paltalidis).

  • Market Integration and Financial Linkages among Stock Markets in Pacific Basin Countries. Journal of Empirical Finance, Vol. 46, pp. 77-92, 2018 (with Julien Chevallier, Jonathan Siverskog, and Gazi Salah Uddin).​

  • Black Swan Events and Safe Havens: The role of Gold in Globally Integrated Emerging Markets. Journal of International Money and Finance, Vol. 73(Part B), pp. 317-334, 2017 (with Stelios Bekiros, Sabri Boubaker, and Gazi Salah Uddin).

  • Assessing the Effects of Unconventional Monetary Policy and Low Interest Rates on Pension Fund Risk IncentivesJournal of Banking and Finance, Vol. 77, pp. 35-52, 2017 (with Sabri Boubaker, Dimitrios Gounopoulos, and Nikos Paltalidis).

  • 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(11), pp. 1352-1362, 2017 (with Rania Jammazi).

  • Multivariate Dependence and Portfolio Optimization Algorithms under Illiquid Market ScenariosEuropean Journal of Operational Research, Vol. 259(3), pp. 1121-1131, 2017 (with Mazin A.M. Al Janabi, Jose Arreola Hernandez, and Theo Berger).

  • Information Diffusion, Cluster Formation and Entropy-based Network Dynamics in Equity and Commodity MarketsEuropean Journal of Operational Research, Vol. 256(3), pp. 945-961, 2017 (with Stelios Bekiros, Leonidas Sandoval Jr., and Gazi Salah Uddin).

  • Dynamic Global Linkages of the BRICS Stock Markets with the U.S. and Europe under External Crisis Shocks: Implications for Portfolio Risk Forecasting. The World Economy, Vol. 39(11), pp. 1703–1727, 2016 (with Shawkat Hammoudeh, Sang-Hoon Kang, and Walid Mensi).

  • Impact of Speculation and Economic Uncertainty on Commodity MarketsInternational Review of Financial Analysis, Vol. 43, pp. 115-127, 2016 (with Pierre Andreasson, Stelios Bekiros, and Gazi Salah Uddin).

  • Asymmetric Linkages between BRICS Stock Returns and Country Risk Ratings: Evidence from Dynamic Panel Threshold ModelsReview of International Economics, Vol. 24, pp. 1-19, 2016 (with Shawkat Hammoudeh, Walid Mensi and Seong-Min Yoon).

  • US Monetary Policy and Sectoral Commodity PricesJournal of International Money and Finance, Vol. 57, pp. 61-85, 2015 (with Shawkat Hammoudeh, and Ricardo Sousa).

  • Dynamic Dependence of the Global Islamic Equity Index with Global Conventional Equity Market Indices and Risk FactorsPacific-Basin Finance Journal, Vol. 30, pp. 189-206, 2014 (with Shawkat Hammoudeh, Walid Mensi, and Juan Carlos Reboredo).

  • Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium? Journal of International Financial Markets, Institutions and Money, Vol. 33, pp. 367-378, 2014 (with Rangan Gupta, Shawkat Hammoudeh, and Mampho P. Modise).

  • Dependence of Stock and Commodity Futures Markets in China: Implications for Portfolio InvestmentEmerging Markets Review, Vol. 21, pp. 183-200, 2014 (with Shawkat Hammoudeh, Juan Carlos Reboredo, and Xiaoqian Wen).

  • Financial Linkages between U.S. Sector Credit Default Swaps MarketsJournal of International Financial Markets, Institutions and Money, Vol. 33, pp., 223-243, 2014 (with Mohamed Arouri, Shawkat Hammoudeh, and Fredj Jawadi).

  • Volatility Forecasting and Risk Management for Commodity Markets in the Presence of Asymmetry and Long MemoryEnergy Economics, Vol. 41, pp. 1-18, 2014 (with Walid Chkili and Shawkat Hammoudeh).

  • Conditional Dependence Structure between Oil Prices and Exchange Rates: A Copula-GARCH ApproachJournal of International Money and Finance, Vol. 32, No. 2, pp. 719-738, 2013 (with Riadh Aloui and Mohamed Ben Aïssa).

  • What Can We Tell about Monetary Policy Synchronization and Interdependence over the 2007-2009 Global Financial Crisis? Journal of Macroeconomics, Vol. 36, pp. 175-187, 2013 (with Mohamed Arouri and Fredj Jawadi).

  • An International CAPM for Partially Integrated Markets: Theory and Empirical EvidenceJournal of Banking and Finance, Vol. 36, No. 9, pp. 2473-2493, 2012 (with Mohamed Arouri and Kuntara Pukthuanthong).

  • Modeling Nonlinear and Heterogeneous Dynamic Linkages in International Monetary MarketsMacroeconomic Dynamics, Vol. 16, S2, pp. 232-251, 2012 (with Mohamed Arouri and Fredj Jawadi).

  • Long Memory and Structural Breaks in Modeling the Return and Volatility Dynamics of Precious MetalsQuarterly Review of Economics and Finance, Vol. 52, No. 2, pp. 207-218, 2012 (with Mohamed Arouri, Shawkat Hammoudeh, and Amine Lahiani).

  • Asymmetric Effects and Long Memory in Dynamic Volatility Relationships between Stock Returns and Exchange RatesJournal of International Financial Markets, Institutions and Money, Vol. 22, No. 4, pp. 738-757, 2012 (with Chaker Aloui and Walid Chkili).

  • On Volatility Spillovers between Oil Prices and Stock Sector Returns: Implications for Portfolio ManagementJournal of International Money and Finance, Vol. 30, No. 7, pp. 1387-1405, 2011 (with Mohamed Arouri and Jamel Jouini).

  • Global Financial Crisis, Extreme Interdependences, and Contagion Effects: The Role of Economic Structure? Journal of Banking and Finance, Vol. 35, No. 1, pp. 130-141, 2011 (with Riadh Aloui and Safouane Ben Aïssa).

Research interests
  • Behavioral and Corporate Finance

  • Commodity Finance

  • Economics of Energy Markets

  • Extreme Value and Portfolio Risk Management

  • Financial Markets, Institutions and Money

  • Financial Econometrics

  • International Trade and Finance

  • Market and Economic Integration

  • Monetary and Fiscal Policies

  • Risk Management

Research profile
Refereeing
  • Annals of Operations Research

  • British Management Journal 

  • Bulletin of Economic Research

  • Economics Letters

  • Economic Modelling

  • Economic Systems

  • Emerging Markets Review

  • Energy Economics

  • Energy Policy

  • European Journal of Finance

  • European Journal of Operational Research

  • International Review of Financial Analysis

  • Journal of Banking and Finance

  • Journal of Business Research

  • Journal of Business & Economic Statistics

  • Journal of Empirical Finance

  • Journal of Forecasting

  • Journal of International Financial Markets, Institutions and Money

  • Journal of International Money and Finance

  • Journal of Macroeconomics 

  • Journal of the Operational Research Society

  • Nature Energy

  • Macroeconomic Dynamics 

  • Pacific Basin Finance Journal 

  • Quantitative Finance 

  • Quarterly Review of Economics and Finance 

  • Review of International Economics

  • Revue d’Economie Politique 

  • Small Business Economics 

  • Studies in Nonlinear Dynamics and Econometrics

  • etc.

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© 2017 by Duc Khuong Nguyen
 

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