Nottingham University Business School
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Linh Xuan Diep Nguyen

Qualifications: MSc in Investment Analysis (University of Stirling - UK) - 2011 BSc in International Finance (Foreign Trade University - Vietnam) - 2010

Room: A2 (South Building)
Tel: +44 (0) 115 8467995

Current Status: Writing up
Year of Registration: 2014
Expected Completion Date: /09/2017

Primary Funding Source:
Nottingham University Business School Scholarship

Research Topic:
Business-Linkage Volatility Modelling

Research Details:
My research is to examine the multivariate volatility modelling for related industries and related companies. Specifically, they are industries which are next to each other in the production line, or firms which have main customer-supplier relationships. The actual economic links between industries are measured using Input-Output Matrix (obtained through Input-Output Benchmark Survey of the Bureau of Economic Analysis) while those between firms are captured through the major customer information in public company financial reports. Findings of this study are potentially contributive for the finance literature as multivariate volatility modelling (and higher co-moment modelling in general) for economically linked entities have not been well-scrutinized. In terms of practical implications, the results of this research would be highly important for managers and/or investors whose investment strategies concentrate in some specific industries, one industry, or a group of related companies.

Research Supervisor/s: Thanaset Chevapatrakul and Simona Mateut

Division: Industrial Economics and Finance

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Nottingham University Business School

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