Banking & Financial Market

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.

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.

3. Vrins, Frédéric; Wang, Linqi. Asymmetric short-rate model without lower bound. 2021. 36 p. LIDAM Discussion Paper LFIN 2021/06.

4. Lassance, Nathan; Vrins, Frédéric. Portfolio Selection: A Target-Distribution Approach. 2021. 52 p. LIDAM Discussion Paper LFIN 2021/05.

5. D'Hondt, Catherine; De Winne, Rudy; Todorovic, Aleksandar. Target Returns and Negative Interest Rates. 2021. 29 p. LIDAM Discussion Paper LFIN 2021/11.

6. Lassance, Nathan. Maximizing the Out-of-Sample Sharpe Ratio. 2021. 48 p. LIDAM Discussion Paper LFIN 2021/13.

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.

8. DeMiguel, Victor; Lassance, Nathan; Vrins, Frédéric. Optimal portfolio diversification via independent component analysis. 2021. 56 p. LIDAM Discussion Paper LFIN 2021/14.

9. Desagre, Christophe; D'Hondt, Catherine; Petitjean, Mikael. The rise of fast trading: Curse or blessing for liquidity?. 2020. xxx xxx.

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.

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.

12. Gambetti, Paolo; Roccazzella, Francesco; Vrins, Frédéric. Meta-learning approaches for recovery rate prediction. 2020. 30 p. LFIN Working Paper 2020/07.

13. Degryse, Hans; De Winne, Rudy; Gresse, Carole; Payne, Richard. Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity. 2019. xxx xxx.

14. Lassance, Nathan; Vrins, Frédéric. Minimum Rényi entropy portfolios. 2019. 33 p. CORE Discussion Paper 2019/01.

15. Lassance, Nathan; Vrins, Frédéric. Robust portfolio selection using sparse estimation of comoment tensors. 2019. 25 p. LFIN Working Paper 2020/03.

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.

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.

18. Petitjean, Mikael. Implicit transaction cost management using intraday price dynamics. 2018. 23 p. xxx xxx.

19. Profeta, Christophe; Vrins, Frédéric. Piecewise constant martingales and lazy clocks. 2017. 18 p. CORE Discussion Paper 2017/31.

20. D'Hondt, Catherine; Mazza, Paolo; Majois, Christophe. Commonality on Euronext: Do Location and Account Type Matter?. 2014. xxx xxx.

21. De Winne, Rudy; Gresse, Carole; Platten, Isabelle. Liquidity and Risk Sharing Benefits from the Introduction of an ETF. 2012. 46 p. xxx xxx.