LIDAM Discussion Papers LFIN
2023
2023 / 07
Walter Distaso, Francesco Roccazzella, Frédéric Vrins
Business cycle and realized losses in the consumer credit industry
2023 / 06
Raymond Kan, Nathan Lassance, Xiaolu Wang
The distribution of sample mean-variance portfolio weights
2023 / 05
Bertrand Candelon, Marc Joëts, Valérie Mignon
What Makes Econometric Ideas Popular: The Role of Connectivity
2023 / 04
Bernardina Algieri, Leonardo Iania, Arturo Leccadito, Giulia Meloni
Message in a Bottle: Forecasting wine prices
2023 / 03
Jef Boeckx, Leonardo Iania, Joris Wauters
Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia
2023 / 02
Leonardo Iania, Marco Lyrio, Liana Nersisyan
Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries
2023 / 01
Farah Daniela Mugrabi
Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets
2022
2022 / 12
Rudy De Winne, Nhung Luong, Stefan Palan
Retail Investors’ Disposition Effect and Order Choices
2022 / 11
Arturo Leccadito, Alessandro Staino, Pietro Toscano
A Novel Robust Method for Estimating the Covariance Matrix of Financial Returns with Applications to Risk Management
2022 / 10
Mohamed Belkhir, Sami Ben Naceur, Bertrand Candelon, Jean-Charles Wijnandts
Macroprudential Policies, Economic Growth and Banking Crises
2022 / 09
Cheikh Mbaye, Abass Sagna, Frédéric Vrins
A general firm value model under partial information
2022 / 08
Leonardo Iania, Pavel Tretiakov, Rafael Wouters
The risk premium in New Keynesian DSGE models: the cost of inflation channel
2022 / 07
Patrick Roger, Catherine D’Hondt, Daria Plotkina, Arvid Hoffmann
Number 19: Another Victim of the COVID‐19 Pandemic?
2022 / 06
Nathan Lassance, Rodolphe Vanderveken, Frédéric Vrins
On the optimal combination of naive and mean-variance portfolio strategies
2022 / 05
Bertrand Candelon, Jean-Baptiste Hasse
Testing for Causality between Climate Policies and Carbon Emissions Reduction
2022 / 04
Francesco Roccazzella, Bertrand Candelon
Should we care about ECB inflation expectations?
2022 / 03
Leonardo Iania, Bernardina Algieri, Arturo Leccadito
Forecasting total energy’s CO2 emissions
2022 / 02
Christian Hafner, Oliver Linton, Linqi Wang
Dynamic Autoregressive Liquidity (DArLiQ)
2022 / 01
Rubens Moura
MultiATSM: An R Package for Arbitrage-free Multicountry Affine Term Structure of Interest Rates Models with Unspanned Macroeconomic Risk
2021
2021 / 18
Anna M. Pastwa, Prabal Shrestha, James Thewissen, Wouter Torsin
Unpacking the black box of ICO white papers: a topic modeling approach
2021 / 17
Arslan-Ayaydin Özgür, James Thewissen, Wouter Torsin
Earnings Management Methods and CEO Political Affiliation
2021 / 16
Elaine Henry, James Thewissen, Wouter Torsin
International Earnings Announcements: Tone, Forward-looking Statements, and Informativeness
2021 / 15
Bertrand Candelon, Angelo Luisi , Francesco Roccazzella
Fragmentation in the European Monetary Union: Is it really over?
2021 / 14
Victor DeMiguel, Nathan Lassance, Frédéric Vrins
Optimal Portfolio Diversification via Independent Component Analysis
2021 / 13
Nathan Lassance
Maximizing the Out-of-Sample Sharpe Ratio
2021 / 12
Donovan Herr, Emilien Clausse, Frédéric Vrins
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?
2021 / 11
Catherine D’Hondt, Rudy De Winne, Aleksandar Todorovic
Target Returns and Negative Interest Rates
2021 / 10
Malo Beguin
Harmonization, Mutual Recognition or National Treatment: a Melitz approach
2021 / 09
Matteo Barbagli, Frédéric Vrins
Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default
2021 / 08
Catherine D’Hondt, Younes Elhichou Elmaya, Mikael Petitjean
Blaming or praising passive ETFs?
2021 / 07
Bertrand Candelon, Rubens Moura
A Multicountry Model of the Term Structures of Interest Rates with a GVAR
2021 / 06
Frédéric Vrins, Linqi Wang
Asymmetric short-rate model without lower bound
2021 / 05
Nathan Lassance, Frédéric Vrins
Portfolio Selection: A Target-Distribution Approach
2021 / 04
Andrii Babii, Eric Ghysels, Jonas Striaukas
Machine Learning Time Series Regressions With an Application to Nowcasting
2021 / 03
Catherine D’Hondt, Rudy De Winne, Maxime Merli
Do retail investors bite off more than they can chew? A close look at their return objectives
2021 / 02
Bruno De Backer, Hans Dewachter, Leonardo Iania
Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?
2021 / 01
Bertrand Candelon, Franz Fuerst, Jean-Baptiste Hasse
Diversification Potential in Real Estate Portfolios
2020
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LFIN Working Paper 2020/13
Catherine D'hondt, Younes El Hichou El Maya, Mikael Petitjean
Retail Investing in passive Exchange Traded Funds
http://hdl.handle.net/2078.1/237026 -
LFIN Working Paper 2020/12
Allaa Ridouan
Does religiosity have an influence on the small and medium-sized enterprise managers’ will to use Islamic finance loans?
http://hdl.handle.net/2078.1/235621 -
LFIN Working Paper 2020/11
Allaa Ridouan
Are Belgian retail consumers considering Islamic finance loans solutions in function of their ethical profile? An opinion survey about the causality between ethical profiles and interest for those solutions
http://hdl.handle.net/2078.1/235618 -
LFIN Working Paper 2020/10
Leonardo Iania, Marco Lyrio, Rubens Moura
Bond Risk Premia in Emerging Markets: Evidence from Brazil, China, Mexico, and Russia
http://hdl.handle.net/2078.1/235575 -
LFIN Working Paper 2020/09
Bertrand Candelon, Angelo Luisi
Testing for the Validity of W in GVAR models
http://hdl.handle.net/2078.1/235311 -
LFIN Working Paper 2020/08
Christos Argyropoulos, Bertrand Candelon, Jean-Baptiste Hasse and Ekaterini Panopoulou
Toward a macroprudential regulatory framework for mutual funds
http://hdl.handle.net/2078.1/229724
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LFIN Working Paper 2020/07
Paolo Gambetti, Francesco Roccazzella, and Frédéric Vrins
Meta-learning approaches for recovery rate prediction
http://hdl.handle.net/2078.1/229301 -
LFIN Working Paper 2020/06
Francesco Roccazzella, Paolo Gambetti and Frédéric Vrins
Optimal and robust combination of forecasts via constrained optimization and shrinkage
http://hdl.handle.net/2078.1/229061 -
LFIN Working Paper 2020/05
Olivier Corneille, Catherine D'Hondt, Rudy De Winne, Emir Efendic and Aleksandar Todorovic
What leads people to tolerate negative interest rates on their savings?
http://hdl.handle.net/2078.1/228117 -
LFIN Working Paper 2020/04
Christophe Desagre and Catherine D'Hondt
Googlization and retail investors' trading activity
http://hdl.handle.net/2078.1/224597 -
LFIN Working Paper 2020/03
Nathan Lassance and Frédéric Vrins
Robust portfolio selection using sparse estimation of comoment tensors
http://hdl.handle.net/2078.1/223396 -
LFIN Working Paper 2020/02
Anthony Bellotti, Damiano Brigo, Paolo Gambetti and Frédéric Vrins
Forecasting recovery rates on non-performing loans with machine learning
http://hdl.handle.net/2078.1/228115 -
LFIN Working Paper 2020/01
De Winne Rudy
Measuring the disposition effect
http://hdl.handle.net/2078.1/227132
2019
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LFIN Working Paper 2019/07
Nathan Lassance and Frédéric Vrins
Robust portfolio selection using sparse estimation of comoment tensors.
http://hdl.handle.net/2078.1/223396 -
LFIN Working Paper 2019/06
Emir Efendic, Catherine D'Hondt, Rudy De Winne and Olivier Corneille
Negative interest rates may be more psychologically acceptable than assumed: Implications for saving
http://hdl.handle.net/2078.1/223229 -
LFIN Working Paper 2019/05
Mbaye, Cheikh; Vrins, Frédéric
Affine term-structure models: A time-changed approach with perfect fit to market curves.
http://hdl.handle.net/2078.1/221793 -
LFIN Working Paper 2019/04
Francesco Roccazzella
Credit market frictions and rational agents' myopia: Modeling financial frictions and shock to expectations in a DSGE setting estimated on Solvenian data.
http://hdl.handle.net/2078.1/221790 -
LFIN Working Paper 2019/03
Lassance Nathan and Vrins Frédéric
Minimum Rényi entropy portfolios.
http://hdl.handle.net/2078.1/211168 -
LFIN Working Paper 2019/02
Bellofatto, Anthony; Brohanne Marie-Hélène; D'Hondt Catherine
Appetite for information and trading behavior.
http://hdl.handle.net/2078.1/211506 -
LFIN Working Paper 2019/01
Degryse, Hans; De Winne, Rudy; Gresse, Carole; Payne, Richard
Cross-venue liquidity provision: High frequency trading and Ghost liquidity.
http://hdl.handle.net/2078.1/214852
2018
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Bellofatto, Anthony; D'Hondt, Catherine and De Winne, Rudy.
Subjective financial literacy and retail investors' behavior.
http://hdl.handle.net/2078.1/196459 -
Corneille, Olivier; De Winne, Rudy and D'Hondt, Catherine.
The disposition effect does not survive disclosure of expected price trends.
http://hdl.handle.net/2078.1/196594 -
Desagre, Christophe and D'Hondt Catherine.
Googlization and retail investment decisions.
http://hdl.handle.net/2078.1/196595 -
Desagre, Christophe ; D'Hondt, Catherine ; Petitjean, Mikael.
Rise of the machines on stock exchanges: curse or blessing?
http://hdl.handle.net/2078.1/207321 -
Petitjean, Mikael.
Implicit transaction cost management using intraday price dynamics.
http://hdl.handle.net/2078.1/196937 -
Petitjean, Mikael.
What explains the success of reward-based crowdfunding campaigns as they unfold?
http://hdl.handle.net/2078.1/196938 -
Weber, Matthias; Striaukas, Jonas; Schumacher, Martin; Binder, Harald.
Network constrained covariate coefficient and connection sign estimation.
(CORE Discussion Paper 2018/18)
http://hdl.handle.net/2078.1/200683
2017
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Bellofatto, Anthony.
Appetite for Information in Mandatory Profiling of Individual Investors.
http://hdl.handle.net/2078/175952 -
Bellofatto, Anthony ; D'Hondt, Catherine and De Winne, Rudy.
Financial literacy and informativeness of the MiFID Tests.
http://hdl.handle.net/2078.1/191095 -
Bellofatto, Anthony.
How does language impact foreign investing in a multilingual country?
http://hdl.handle.net/2078.1/191091 -
Profeta, Christophe and Vrins, Frédéric.
Piecewise constant martingales and lazy clocks
(CORE Discussion Paper 2017/31), 2017, 18 p.
http://hdl.handle.net/2078.1/190145
2016
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D'Hondt, Catherine and Moyaert, Thibaut.
Detecting and Forecasting High Volume Price Impact in the Stock Market.
http://hdl.handle.net/2078.1/143316 -
Brigo, Damiano ; Jeanblanc, Monique and Vrins, Frédéric.
SDEs with Uniform Distributions : Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions.
(CORE Discussion Paper 2016/46)
http://hdl.handle.net/2078.1/179270 -
Petitjean, Mikael and Vrins, Frédéric.
Win or Lose for Life ? Regards croisés sur les jeux de hasard et les produits structurés.
(ILSM 2016/18)
http://hdl.handle.net/2078.1/196193
2015
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Vrins, Frédéric and Jeanblanc, Monique.
The Φ-Martingale
(CORE DP; 2015/22)
http://hdl.handle.net/2078.1/160916 -
Bellofatto, Anthony ; D'Hondt, Catherine and De Winne, Rudy.
To what extent can MiFID tests be informative?
http://hdl.handle.net/2078/166051
2014
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Bellofatto, Anthony ; De Winne, Rudy and D'Hondt, Catherine.
Beyond the disposition effect: Evidence from the 1999-2012 period.
http://hdl.handle.net/2078/167544 -
D'Hondt, Catherine ; Mazza, Paolo and Majois, Christophe.
Commonality on Euronext: Do location and account type matter?
http://hdl.handle.net/2078.1/143315 -
Petitjean, Mikael and Villard, Geoffroy.
How integrated is the European carbon derivatives market?
http://hdl.handle.net/2078.1/144137 -
Iania, Leonardo.
Information in the yield curve: A Mmacro-finance approach.
(National Bank of Belgium Working Paper No 254)
http://hdl.handle.net/2078/144134