Journal Articles
1. Barbagli, Matteo; Vrins, Frédéric.
Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework. In:
Economic Modelling, Vol. 125, p. 106321 (2023). doi:10.1016/j.econmod.2023.106321.
http://hdl.handle.net/2078.1/275625
2. Vrins, Frédéric.
SVB, Crédit Suisse,. au suivant ?. In:
Regards économiques, Vol. Focus, no. 30 (2023). doi:10.14428/regardseco2023.03.30.01.
http://hdl.handle.net/2078.1/273898
3. Candelon, Bertrand; Hasse, Jean-Baptiste.
Testing for Causality between Climate Policies and Carbon Emissions Reduction. In:
Finance Research Letters, (2023). (Accepté/Sous presse).
http://hdl.handle.net/2078.1/274417
4. Albert J. Menkveld; Anna Dreber; Felix Holzmeister; Juergen Huber; Magnus Johannesson; Michael Kirchler; Sebastian Neusüss; Michael Razen; Utz Weitzel; Hasse, Jean-Baptiste.
Non-Standard Errors. In:
The Journal of Finance, (2023). (Accepté/Sous presse).
http://hdl.handle.net/2078.1/273312
5. Lassance, Nathan.
Reconciling mean-variance portfolio theory with non-Gaussian returns. In:
European Journal of Operational Research, Vol. 297, no. 2, p. 729-740 (2022). doi:10.1016/j.ejor.2021.06.016.
http://hdl.handle.net/2078.1/248132
6. Mbaye, Cheikh; Vrins, Frédéric.
Affine term structure models: a time-change approach with perfect fit to market curves. In:
Mathematical Finance, Vol. 32, no. 2, p. 678-724 (2022). doi:10.1111/mafi.12342.
http://hdl.handle.net/2078.1/254447
7. Desagre, Christophe; D'Hondt, Catherine; Petitjean, Mikael.
The rise of fast trading: Curse or blessing for liquidity?. In:
Finance : revue de l'Association française de finance, Vol. 43, p. 119-158 (2022). doi:10.3917/fina.pr.i.
http://hdl.handle.net/2078.1/250456
8. D'Hondt, Catherine; Merli, Maxime; Roger, Tristan.
What drives retail portfolio exposure to ESG factors?. In:
Finance Research Letters, Vol. 46, no. Part B, p. 102470 (2022). doi:10.1016/j.frl.2021.102470.
http://hdl.handle.net/2078.1/251463
9. Lassance, Nathan; Vrins, Frédéric; DeMiguel, Victor.
Optimal portfolio diversification via independent component analysis. In:
Operations Research, Vol. 70, no. 1, p. 55-72 (2022). doi:10.1287/opre.2021.2140.
http://hdl.handle.net/2078.1/248130
10. Petitjean, Mikael.
Judging the functioning of equity markets in 2020: A bird's-eye (re)view. In:
Bankers, Markets, and Investors, Vol. 169, p. 1-11 (2022). (Accepté/Sous presse).
http://hdl.handle.net/2078.1/250457
11. Erdemlioglu, Deniz; Petitjean, Mikael; Vargas, Nicolas.
Market Instability and Technical Trading at High Frequency: Evidence from NASDAQ Stocks. In:
Economic Modelling, Vol. 102, p. 105592 (2021). doi:10.1016/j.econmod.2021.105592 (Accepté/Sous presse).
http://hdl.handle.net/2078.1/250451
12. Corneille, Olivier; D'Hondt, Catherine; De Winne, Rudy; Efendic, Emir; Todorovic, Aleksandar.
What leads people to tolerate negative interest rates on their savings. In:
Journal of Behavioral and Experimental Economics, Vol. 93, p. 101714 (2021). doi:10.1016/j.socec.2021.101714.
http://hdl.handle.net/2078.1/246607
13. Herr, Donovan; Clausse, Emilien; Vrins, Frédéric.
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?. In:
Revue Bancaire et Financière, Vol. 3, p. 138-148 (2021).
http://hdl.handle.net/2078.1/254715
14. Lassance, Nathan; Vrins, Frédéric.
Portfolio selection with parsimonious higher comoments estimation. In:
Journal of Banking and Finance, Vol. 126, p. 106115 (2021). doi:10.1016/j.jbankfin.2021.106115.
http://hdl.handle.net/2078.1/293652
15. Efendic, Emir; Corneille, Olivier; D'Hondt, Catherine; De Winne, Rudy.
How risk-prone are people when facing a sure loss? Negative interest rates as a convenient conceptual framework. In:
Psychonomic Bulletin & Review, Vol. 28, p. 1715–1725 (2021). doi:10.3758/s13423-021-01921-0.
http://hdl.handle.net/2078.1/245900
16. Laly, Floris; Petitjean, Mikael.
Mini flash crashes: Review, taxonomy and policy responses. In:
Bulletin of Economic Research, Vol. 72, no.3, p. 251-271 (2020). doi:10.1111/boer.12221.
http://hdl.handle.net/2078.1/250454
