Thao Nguyen
School of Economics and Finance
Massey Business School
Profile
Thesis Title
Essays on Financial Risk Modelling
Research Description
The fact that the co-movement and spillover effect between financial markets or among different types of financial assets have the remarkable influences on portfolio allocation, risk management and asset pricing brings into a large number of research papers measuring dependence structure and spillover effect in financial markets by popular models such as VAR, GARCH, MGARCH, DCC. The emerging issue recently related to capturing the asymmetric structure or long-memory behavior of a time series attracts the interest of many researcher. I plan to do research on a new dynamic financial econometric model to incorporate both asymmetric dependence structure and long-memory dependence structure in financial markets. If I can address the proposed issue, I can provide an empirical analysis on the change of correlation and spillover effect in financial markets through the long period with explanation of extreme shocks.
Personal Description
I graduated MSc in Investment Analysis from University of Stirling with distinction degree. Before working as a lecturer in Economics at National Academy of Public Administration Vietnam, I had 2 years working experience in auditing and banking industry. As I have strong interest in exploring new financial econometric models to capture co-movement and spillover effect between financial markets and financial assets which fall into my supervisors' research expertise, I have chosen to pursue PhD study at Massey University under supervision of Prof Xiaoming Li and Dr Hung Do.
Supervisors
Professor Xiaoming Li
Associate Professor Hung Do