Working Papers
1. D'Hondt, Catherine; El Hichou El Maya, Younes; Petitjean, Mikael.
Blaming or praising passive ETFs?. 2021. 31 p. LIDAM Discussion Paper LFIN 2021/08.
http://hdl.handle.net/2078.1/249987
2. Barbagli, Matteo; Vrins, Frédéric.
Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default. 2021. 40 p. LIDAM Discussion Paper LFIN 2021/09.
http://hdl.handle.net/2078.1/250240
3. Vrins, Frédéric; Wang, Linqi.
Asymmetric short-rate model without lower bound. 2021. 36 p. LIDAM Discussion Paper LFIN 2021/06.
http://hdl.handle.net/2078.1/249984
4. Lassance, Nathan; Vrins, Frédéric.
Portfolio Selection: A Target-Distribution Approach. 2021. 52 p. LIDAM Discussion Paper LFIN 2021/05.
http://hdl.handle.net/2078.1/249982
5. D'Hondt, Catherine; De Winne, Rudy; Todorovic, Aleksandar.
Target Returns and Negative Interest Rates. 2021. 29 p. LIDAM Discussion Paper LFIN 2021/11.
http://hdl.handle.net/2078.1/253623
6. Lassance, Nathan.
Maximizing the Out-of-Sample Sharpe Ratio. 2021. 48 p. LIDAM Discussion Paper LFIN 2021/13.
http://hdl.handle.net/2078.1/255449
7. Herr, Donovan; Clausse, Emilien; Vrins, Frédéric.
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?. 2021. 24 p. LIDAM Discussion Paper LFIN 2021/12.
http://hdl.handle.net/2078.1/254713
8. DeMiguel, Victor; Lassance, Nathan; Vrins, Frédéric.
Optimal portfolio diversification via independent component analysis. 2021. 56 p. LIDAM Discussion Paper LFIN 2021/14.
http://hdl.handle.net/2078.1/256995
9. Desagre, Christophe; D'Hondt, Catherine; Petitjean, Mikael.
The rise of fast trading: Curse or blessing for liquidity?. 2020. xxx xxx.
http://hdl.handle.net/2078.1/207321
10. Corneille, Olivier; D'Hondt, Catherine; De Winne, Rudy; Efendic, Emir; Todorovic, Aleksandar.
What leads people to tolerate negative interest rates on their savings?. 2020. 25 p. LFIN Working Paper 2020/05.
http://hdl.handle.net/2078.1/228117
11. Bellotti, Anthony; Brigo, Damiano; Gambetti, Paolo; Vrins, Frédéric.
Forecasting recovery rates on non-performing loans with machine learning. 2020. 36 p. LFIN Working Paper 2020/02.
http://hdl.handle.net/2078.1/228115
12. Gambetti, Paolo; Roccazzella, Francesco; Vrins, Frédéric.
Meta-learning approaches for recovery rate prediction. 2020. 30 p. LFIN Working Paper 2020/07.
http://hdl.handle.net/2078.1/229301
13. Degryse, Hans; De Winne, Rudy; Gresse, Carole; Payne, Richard.
Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity. 2019. xxx xxx.
http://hdl.handle.net/2078.1/214852
14. Lassance, Nathan; Vrins, Frédéric.
Minimum Rényi entropy portfolios. 2019. 33 p. CORE Discussion Paper 2019/01.
http://hdl.handle.net/2078.1/211168
15. Lassance, Nathan; Vrins, Frédéric.
Robust portfolio selection using sparse estimation of comoment tensors. 2019. 25 p. LFIN Working Paper 2020/03.
http://hdl.handle.net/2078.1/223396
16. Roccazzella, Francesco.
Credit market frictions and rational agents' myopia: Modeling financial frictions and shock to expectations in a DSGE setting estimated on Slovenian data. 2019. 41 p. LFIN Working Papers 2019/4.
http://hdl.handle.net/2078.1/221790
17. Weber, Matthias; Striaukas, Jonas; Schumacher, Martin; Binder, Harald.
Network constrained covariate coefficient and connection sign estimation. 2018. 20 p. CORE Discussion Paper 2018/18.
http://hdl.handle.net/2078.1/200683
18. Petitjean, Mikael.
Implicit transaction cost management using intraday price dynamics. 2018. 23 p. xxx xxx.
http://hdl.handle.net/2078.1/196937
19. Profeta, Christophe; Vrins, Frédéric.
Piecewise constant martingales and lazy clocks. 2017. 18 p. CORE Discussion Paper 2017/31.
http://hdl.handle.net/2078.1/190145
20. D'Hondt, Catherine; Mazza, Paolo; Majois, Christophe.
Commonality on Euronext: Do Location and Account Type Matter?. 2014. xxx xxx.
http://hdl.handle.net/2078.1/143315
21. De Winne, Rudy; Gresse, Carole; Platten, Isabelle.
Liquidity and Risk Sharing Benefits from the Introduction of an ETF. 2012. 46 p. xxx xxx.
http://hdl.handle.net/2078/113736
