LFIN Discussion Papers 2022-2021


LFIN Discussion Papers 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


LFIN Discussion Papers 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