Published Papers


  • Gambetti Paolo; Gauthier Geneviève and Vrins Frédéric. Recovery rates: Uncertainty certainly matters. In: Journal of Banking & Finance, Vol. 106(9), 371-383, 2019.
    doi: 10.1016.j.jbankfin.2019.07.010.

  • Lassance Nathan and Vrins Frédéric. Minimum Rényi entropy portfolios. Annals of Operations Research, 2019 (in press).

  • Mazza, Paolo; Petitjean, Mikael. Testing the effect of technical analysis on market quality and order book dynamics. In: Applied Economics, Vol. 51(18), p. 1947-1976 (2019).

  • Petitjean, Mikael. Eco-friendly policies and financial performance:Was the financial crisis a game changer for large US companies? In: Energy Economics, Vol. 80,  p. 502-511 (2019).

  • Profeta, Christophe; Vrins, Frédéric. Piecewise constant martingales and lazy clocks. In: Probability, Uncertainty and Quantitative Risk, Vol. 4(2) (2019).

  • Vrins, Frédéric. Advances in credit risk modeling and management. In: Risks (2019).


  • Bellofatto, Anthony; D'Hondt, Catherine and De Winne, Rudy. Subjective financial literacy and retail investors' behavior. In Journal of Banking and Finance, Vol. 92(1), p. 168-181, 2018.

  • Brigo, Damiano and Vrins, Frédéric. Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures. In: European Journal of Operational Research, Vol. 269, p. 1154-1164 (2018).
    doi: 10.1016/j.ejor.2018.03.015.

  • Brogaard, Jonathan; Carrion, Allen; Moyaert, Thibaut; Riordan, Ryan; Shkilko, Andriy; Sokolov, Konstantin. High frequency trading and extreme price movements. In: Journal of Financial Economics, Vol. 128(2), p. 253-265 (2018).
    doi: 10.1016/j.jfineco.2018.02.002.

  • Corneille, Olivier; De Winne Rudy and D'Hondt Catherine. The disposition effect does not survive disclosure of expected price trends. Journal of Behavioral and Experimental Finance, 20, 80-91 (2018).
    doi: 10.1016/j.jbef.2018.08.003.

  • Iania, Leonardo. A macro-financial analysis of the corporate bond market. In: Empirical Economics, Forthcoming (2018) (Accepté/Sous presse).

  • Jeanblanc, Monique and Vrins, Frédéric. Conic martingales from stochastic integrals. In: Mathematical Finance, Vol. 28(2), p. 516-535 (2018).
    doi: 10.1111/mafi.12147.

  • Lassance, Nathan and Vrins, Frédéric. A comparison of pricing and hedging performances of equity derivatives models. In: Applied Economics, Vol. 50(10), p. 1122-1137 (2018).

  • Cheikh Mbaye and Frédéric Vrins. A surbordinated CIR intensity model with application to wrong-way risk CVA. In: International Journal of Theoretical and Applied Finance, 21(7), 2018.
    doi: 10.1142/S0219024918500450.

  • Dahlqvist, Carl-Henrik. Cross-country information transmissions and the role of commodity markets: A multichannel Markov switching approach. In: Cross-country information transmissions and the role of commodity markets: A multichannel Markov switching approach, Vol. 13(8), p. 21 (2018).

  • Mazza, Paolo; Petitjean, Mikael. Implicit transaction cost management using intraday price dynamics. In: Applied Economics, Vol. 50(39), p. 4264-4274 (2018).

  •  Mikael Petitjean. What explains the success of reward-based crowdfunding campaigns as they unfold? Evidence from the French crowdfunding platform KissKissBankBank. In Finance Research Letters, 26, 9-14, 2018.

  • Mikael Petitjean and Frédéric Vrins. Extreme events and the cumulative distribution of net gains in gambling and structured products. In Applied Economics, 50(58), 6285-6300, 2018.

  •  Vrins, Frédéric. Bannissement des produits dérivés : la bonne affaire ? Regards Economiques, 142, 2018.

  • Vrins, Frédéric. Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures, collab. Damiano Brigo. In: European Journal of Operational Research, Vol. 269, p. 1154-1164 (2018).

  • Vrins, Frédéric. Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint. In: Risks, Vol. 6(3), p. 64 (2018).
    doi:10.3390/risks6030064 (Accepté/Sous presse).


  •  Boullenger Victor, Daguet, Patrick and Mikael Petitjean. Venture capital and post-IPO short-term performance. Revue Bancaire et Financière/Bank- en Financiewezen, 6, 1-14, 2017.

  • De Winne, Rudy and D'Hondt, Catherine. La finance comportementale: enjeux et perspectives. In: Regards économiques, Vol. 30(131), p. 1-10 (March 2017).

  • D'Hondt, Catherine and Detollenaere, Benoît. Identifying Expensive Trades by Monitoring the Limit Order Book. In: Journal of Forecasting, Vol. 36, p. 273-290 (2017). 
    doi: 10.1002/for.2422.

  • D'Hondt, Catherine and Roger, Patrick. Investor sentiment and stock return predictability: The power of ignorance. In Finance, Vol. 38(2), p. 7-37.

  • Vrins, Frédéric. Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics. In: International Journal of Theoretical and Applied Finance, Vol. 20(7), 1750045 (Nov. 2017).


  • Petitjean, Mikael. On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios. In: Economic Modelling, Vol. 54(1), p. 67-81 (April 2016).

  • Vrins, Frédéric. Characteristic Function of Time-Inhomogeneous Lévy-Driven Ornstein-Uhlenbeck Processes. In: Statistics & Probability Letters, Vol. 116 (2016), p. 55-61 (14/05/2016). doi:10.1016/j.spl.2016.04.013.


  • Dewachter, Hans; Iania, Leonardo; Lyrio, Marco and Perea, Maite de Sola. A macro-financial analysis of the euro area sovereign bond market. In: Journal of Banking & Finance, 50, 308-325 (2015). doi:10.1016/j.jbankfin.2014.03.011.

  • D'Hondt, Catherine; Majois, Christophe and Mazza, Paolo. Commonality on Euronext: Do Location and Account Type Matter? In: International Review of Financial Analysis, Vol. 42, p. 183-198 (2015).

  • Petitjean, Mikael. How integrated is the European carbon derivatives market? In: Finance Research Letters, Vol. 15(1), p. 18-30 (Nov. 2015). doi:10.1016/

  • Petitjean, Mikael. Les sept familles de l'ISR. In: B NQ Quaterly, Vol. 2015, p. 26 (15/10/2015).


  • Boudt, Kris and Petitjean, Mikael. Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks. In: Journal of Financial Markets, Vol. 17(1), p. 121-149 (2014). doi:10.1016/j.finmar.2013.05.004.

  • Dewachter, Hans ; Iania, Leonardo and Lyrio, Marco. Information in the yield curve: A macro-finance approach. In: Journal of Applied Econometrics, Vol. 29(1), p. 42-64 (2014).

  • De Winne, Rudy ; Gresse, Carole and Platten, Isabelle. Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index. In: International Review of Financial Analysis, Vol. 34, p. 31-43 (2014).

  • Godart, Camille and Petitjean, Mikael. De la médiocrité des conseils d’investissement de Test-Achats invest sur actions individuelles. In: Brussels Economic Review, Vol. 57(3), p. 1-28 (Autumn 2014).

  • Liu, Qiang ; Vekemans, Katrien ; Leonardo, Iania ; Komuta, Mina ; Parkkinen, Jaakko ; Heedfeld, Veerle ; Wylin, Tine ; Monbaliu, Diethard ; Pirenne, Jacques and van Pelt, Jos. Assessing warm ischemic injury of pig livers at hypothermic machine perfusion. In: Journal of Surgical Research, Vol. 186(1), p. 379-389 (January 2014).

  • Petitjean, Mikael. Testing the profitability of contrarian trading strategies based on the overreaction hypothesis. In: Bankers, Markets & Investors, Vol. 2014(133), p. 4-10 (Nov-Dec. 2014).


  • Caliman, Thibaut ; D'Hondt, Catherine and Petitjean, Mikael. Determining an optimal multiplier in dynamic core-satellite strategies. In: The Journal of Asset Management, Vol. 14(4), p. 210-227 (2013). doi:10.1057/jam.2013.16.

  • Petitjean, Mikael. Bank failures and regulation: a critical review. In: Journal of Financial Regulation and Compliance, Vol. 21(1), p. 16-38 (2013).

  • Gilson, Nathalie and Labondance, Fabien. Synchronisation des chocs d'offre et de demande en Europe : un après euro ou une après crises des subprimes ? In: L'actualité économique, Vol. 89(3), p. 1-35 (Sept. 2013).

  • Duvinage, Matthieu ; Mazza, Paolo and Petitjean, Mikael. The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks. In: Quantitative Finance, Vol. 13(7), p. 1059-1070 (2013).

  • Hofert, Marius and Vrins, Frédéric. Sibuya copulas. In: Journal of Multivariate Analysis, Vol. 114, p. 318-337 (February 2013).


  • Dewachter, Hans and Iania, Leonardo. An extended macro-finance model with financial factors. In: Journal of Financial and Quantitative Analysis, Vol. 46(6), p. 1893-1916 (2013).