Harris, R.D., Nguyen, L.H. and Stoja, E., 2019. Systematic extreme downside risk. Journal of International Financial Markets, Institutions and Money, 61, pp.128-142.
Harris, R.D., Nguyen, L.H. and Stoja, E., 2019. Extreme downside risk and market turbulence. Quantitative Finance, DOI: 10.1080/14697688.2019.1614652
Nguyen, L.H., Nguyen, L. X. D., Adegbite, E., 2017. Does Mean-CVaR outperform Mean-Variance? A practical perspective. Working paper. Available at SSRN: https://ssrn.com/abstract=3143827
Nguyen, L.H., Nguyen, L. X. D., Tan, L., 2018. Tail risk connectedness between US industries. Working paper. Available at SSRN: https://ssrn.com/abstract=3183044
Nguyen, L.H., Lambe, B. 2019. International Tail Risk Connectedness: Network and Determinants. Working paper. Available at SSRN: https://papers.ssrn.com/abstract=3391545