LIDAM Publications in Finance

Journal Articles

1. Vrins, Frédéric. On the distribution of the integral of a function with respect to a Brownian bridge. In: Journal of Computational and Applied Mathematics, Vol. 477, p. 117174 (2026). http://hdl.handle.net/2078.1/307212

2. Vrins, Frédéric. Joint pricing of default-free and defaultable claims in a reduced-form model featuring a martingale part. In: European Journal of Operational Research, Vol. 329, no. 1, p. 180-197 (2026). doi:10.1016/j.ejor.2025.09.043. http://hdl.handle.net/2078.1/306066

3. D'Hondt, Catherine; Petitjean, Mikael; El Hichou, Younes. Uncovering the profile of passive exchange-traded fund retail investors. In: Finance : revue de l'Association française de finance, (2025). doi:10.3917/fina.pr.040 (Accepté/Sous presse). http://hdl.handle.net/2078/294397

4. Kallal, Sami. Is fiscal countercyclicality growth enhancing? Evidence from developing countries over the period 1990–2019. In: Journal of Economic Asymmetries, Vol. 32, p. e00416 (2025). doi:10.1016/j.jeca.2025.e00416. http://hdl.handle.net/2078.1/301277

5. Desagre, Christophe; Laly, Floris; Petitjean, Mikael. Revisiting the trading activity of high-frequency trading firms around ultra-fast flash events. In: Financial Innovation, Vol. 11, p. 68 (2025). doi:10.1186/s40854-024-00726-z. http://hdl.handle.net/2078/294398

6. Candelon, Bertrand; Roccazzella, Francesco. Evaluating Inflation Forecasts in the Euro Area and the Role of the ECB. In: Journal of Forecasting, Vol. 44, no. 3, p. 978-1008 (2025). doi:10.1002/for.3235. http://hdl.handle.net/2078.1/293931

7. Kan, Raymond; Lassance, Nathan. Optimal Portfolio Choice with Fat Tails and Parameter Uncertainty. In: Journal of Financial and Quantitative Analysis, (2025). (Accepté/Sous presse). http://hdl.handle.net/2078.1/293928

8. Distaso, Walter; Roccazzella, Francesco; Vrins, Frédéric. Business cycle and realized losses in the consumer credit industry. In: European Journal of Operational Research, Vol. 323, no. 3, p. 1024-1039 (2025). doi:10.1016/j.ejor.2024.12.026. http://hdl.handle.net/2078.1/296736

9. Barbagli, Matteo; François, Pascal; Gauthier, Geneviève; Vrins, Frédéric. The role of CDS spreads in explaining bond recovery rates. In: Journal of Banking & Finance, Vol. 174, p. 107414 (2025). doi:10.1016/j.jbankfin.2025.107414. http://hdl.handle.net/2078.1/299927

10. Ben Naceur, Sami; Candelon, Bertrand; Elekdag, Selim; Emrullahu, Drilona. Is FinTech Eating The Bank’s Lunch?. In: Journal of International Financial Management and Accounting, (2025). doi:10.1111%2Fjifm.12242 (Accepté/Sous presse). http://hdl.handle.net/2078.1/300159

11. Lassance, Nathan; Vanderveken, Rodolphe; Vrins, Frédéric. Optimal Portfolio Size under Parameter Uncertainty. In: Journal of Financial and Quantitative Analysis, (2025). (Accepté/Sous presse). http://hdl.handle.net/2078.1/306664

12. Germain, Arnaud; Vrins, Frédéric. Credit selection in collateralized loan obligation: Efficient approximation through linearization and clustering. In: European Journal of Operational Research, (2025). doi:10.1016/j.ejor.2025.11.015 (Accepté/Sous presse). http://hdl.handle.net/2078.1/307524

13. Degryse, Hans; De Winne, Rudy; Gresse, Carole; Payne, Richard. Duplicated Orders, Swift Cancellations, and Fast Market Making in Fragmented Markets. In: Management Science, (2025). doi:10.1287/mnsc.2023.01789 (Accepté/Sous presse). http://hdl.handle.net/2078.1/307542

14. Mugrabi Otero, Farah; Belkhir, Mohamed; Naceur, Sami; Candelon, Bertrand; Choi, Woon Gyu. Macroprudential Policy and Bank Systemic Risk: Does Inflation Targeting Matter?. In: Emerging Markets Review, (2025). doi:10.1016/j.ememar.2025.101397 (Accepté/Sous presse). http://hdl.handle.net/2078.1/308087

15. Bellofatto, Anthony; Broihanne, Marie‑Hélène; D'Hondt, Catherine. Financial knowledge acquisition and trading behavior: empirical evidence from an online information tool. In: Financial Markets and Portfolio Management, Vol. 39, p. 1-45 (2025). doi:10.1007/s11408-024-00459-0. http://hdl.handle.net/2078.1/294259

16. D'Hondt, Catherine; De Winne, Rudy; Todorovic, Aleksandar. Target return as efficient driver of risk-taking. In: Review of Behavioral Finance, Vol. 16, no. 1, p. 130-166 (2024). doi:10.1108/RBF-09-2022-0216. http://hdl.handle.net/2078.1/277792

17. Kan, Raymond; Lassance, Nathan; Wang, Xiaolu. The distribution of sample mean-variance portfolio weights. In: Random Matrices: Theory and Applications, Vol. 13, no. 1, p. 2450002 (2024). doi:10.1142/S2010326324500023. http://hdl.handle.net/2078.1/281110

18. Lassance, Nathan; Vanderveken, Rodolphe; Vrins, Frédéric. On the Combination of Naive and Mean-Variance Portfolio Strategies. In: Journal of Business and Economic Statistics, Vol. 42, no. 3, p. 875-889 (2024). http://hdl.handle.net/2078.1/277691

19. Lassance, Nathan; Martín-Utrera, Alberto; Simaan, Majeed. The Risk of Expected Utility under Parameter Uncertainty. In: Management Science, Vol. 70, no. 11, p. 7644-7663 (2024). http://hdl.handle.net/2078.1/277406

20. Algieri, Bernardina; Iania, Leonardo; Leccadito, Arturo; Meloni, Giulia. Message in a bottle: Forecasting wine prices. In: Journal of Wine Economics, Vol. 19, p. 64-91 (2024). doi:10.1017/jwe.2024.3. http://hdl.handle.net/2078.1/291951

21. De Bondt, Werner; De Winne, Rudy; D'Hondt, Catherine. Measuring speculation beyond day trading and bets on lottery-like stocks. In: International Review of Financial Analysis, Vol. 96, no.A, p. 103632 (2024). doi:10.1016/j.irfa.2024.103632. http://hdl.handle.net/2078.1/292475

22. Candelon, Bertrand; Joëts, Marc; Mignon, Valérie. What makes econometric ideas popular: The role of connectivity. In: Research Policy, Vol. 53, no.7, p. 105025 (2024). doi:10.1016/j.respol.2024.105025. http://hdl.handle.net/2078.1/287531

23. Mazza, Paolo; Petitjean, Mikael; Tohlukov, Ariana. Financial Performance and The Legal Landscape: An International Study of Controversial Business Activities. In: Economics, Management, and Financial Markets, Vol. 19, no.2, p. 60-86 (2024). doi:10.22381/emfm19220244. http://hdl.handle.net/2078/294399

24. Feilian Xia; Thewissen, James; Shrestha, Prabal; Shuo Yan. The power of a name: Exploring the relationship between ICO name fluency and investor decision making. In: International Review of Financial Analysis, Vol. 93, p. 103142 (2024). doi:10.1016/j.irfa.2024.103142. http://hdl.handle.net/2078.1/285798

25. Candelon, Bertrand; Moura, Rubens. A Multicountry Model of the Term Structures of Interest Rates with a GVAR. In: Journal of Financial Econometrics, Vol. 22, no. 5, p. 1558-1587 (2024). doi:10.1093/jjfinec/nbae008. http://hdl.handle.net/2078.1/287400

Book Chapters

1. Candelon, Bertrand; Hadzi-Vaskov, Metodij. Convergence vs. Divergence in Emerging Market Sovereign Spreads. In: Convincing Economics : Essays in honour of Prof. Dr. Clemens Kool , Maastricht University Press, 2025, p. 93-111. xxx xxx. doi:10.26481/mup.2501. http://hdl.handle.net/2078.1/304416

2. Aloy, Marcel; Laly, Floris; Laurent, Sébastien; Lecourt, Christelle. Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs. In: Recent Econometric Techniques for Macroeconomic and Financial Data (Dynamic Modeling and Econometrics in Economics and Finance; xxx), Springer, 2021, p. 229-264. 978-3-030-54254-2. xxx xxx. http://hdl.handle.net/2078.1/251599