Recent Publications

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.

2. Candelon, Bertrand; Moura, Rubens. Sovereign yield curves and the COVID-19 in emerging markets. In: Economic Modelling, Vol. 127, p. 106453 (2023). doi:10.1016/j.econmod.2023.106453.

3. Lassance, Nathan; Vanderveken, Rodolphe; Vrins, Frédéric. On the Combination of Naive and Mean-Variance Portfolio Strategies. In: Journal of Business and Economic Statistics, (2023). (Accepté/Sous presse).

4. Roger, Patrick; D'Hondt, Catherine; Plotkina, Daria; Hoffmann, Arvid. Number 19: Another Victim of the COVID‐19 Pandemic?. In: Journal of Gambling Studies (Online), Vol. 39, no. 3, p. 1417–1450 (2023). doi:10.1007/s10899-022-10145-3.

5. D'Hondt, Catherine; De Winne, Rudy; Todorovic, Aleksandar. Target return as efficient driver of risk-taking. In: Review of Behavioral Finance, (2023). doi:10.1108/RBF-09-2022-0216 (Accepté/Sous presse).

6. Lassance, Nathan; Martín-Utrera, Alberto; Simaan, Majeed. The Risk of Expected Utility under Parameter Uncertainty. In: Management Science, (2023). (Accepté/Sous presse).

7. Lassance, Nathan; Vrins, Frédéric. Portfolio Selection: A Target-Distribution Approach. In: European Journal of Operational Research, Vol. 310, no. 1, p. 302-314 (2023). doi:10.1016/j.ejor.2023.02.014.

8. Duterme, Tom. Tous les traders voient-ils le même marché ? Le conflit d’expertise au cœur de la saga GameStop. In:, Vol. /, no.128, p. 7 (2023).

9. Vrins, Frédéric. SVB, Crédit Suisse,. au suivant ?. In: Regards économiques, Vol. Focus, no. 30 (2023). doi:10.14428/regardseco2023.03.30.01.

10. Lassance, Nathan. An Analytical Shrinkage Estimator for Linear Regression. In: Statistics & Probability Letters, Vol. 194, p. 109760 (2023). doi:10.1016/j.spl.2022.109760.

11. 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).

12. Hafner, Christian; Wang, Linqi. Dynamic portfolio selection with sector-specific regularization. In: Econometrics and Statistics, (2023). doi:10.1016/j.ecosta.2022.01.001 (Accepté/Sous presse).

13. Hafner, Christian; Wang, Linqi. A dynamic conditional score model for the log correlation matrix. In: Journal of Econometrics, (2023). doi:10.1016/j.jeconom.2021.09.004 (Accepté/Sous presse).

14. Weber, Matthias; Striaukas, Jonas; Schumacher, Martin; Binder, Harald. Regularized regression when covariates are linked on a network: the 3CoSE algorithm. In: Journal of Applied Statistics, Vol. 50, no. 3, p. 535-554 (2023). doi:10.1080/02664763.2021.1982878.

15. Candelon, Bertrand; Hasse, Jean-Baptiste. Testing for Causality between Climate Policies and Carbon Emissions Reduction. In: Finance Research Letters, (2023). (Accepté/Sous presse).

16. Desagre, Christophe; Paolo Mazza; Petitjean, Mikael. Crypto market dynamics in stressful conditions. In: Applied Economics, (2023). doi:10.1080/00036846.2022.2108754 (Accepté/Sous presse).

17. Duterme, Tom. Bloomberg and the GameStop saga: the fear of stock market democracy. In: Economy and Society, (2023). Louvain Papers on Democracy & Society 80. doi:10.1080/03085147.2023.2189819.

18. Argyropoulos, Christos; Candelon, Bertrand; Hasse, Jean-Baptiste; Panopoulou, Ekaterini. Toward a Macroprudential Regulatory Framework for Mutual Funds. In: International Journal of Finance and Economics, (2023). (Accepté/Sous presse).

19. Iania, Leonardo; Tretiakov, Pavel; Wouters, Rafael. The risk premium in New Keynesian DSGE models: The cost of inflation channel. In: Journal of Economic Dynamics and Control, Vol. 155, p. 104732 (2023). doi:10.1016/j.jedc.2023.104732.

20. 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.

21. Roccazzella, Francesco; Gambetti, Paolo; Vrins, Frédéric. Optimal and robust combination of forecasts via constrained optimization and shrinkage. In: International Journal of Forecasting, Vol. 38, no. 1, p. 97-116 (2022). doi:10.1016/j.ijforecast.2021.04.002.

22. Henry, Elaine; Thewissen, James; Torsin, Wouter. International Earnings Announcements: Tone, Forward-looking Statements, and Informativeness. In: The European Accounting Review, (2022). (Accepté/Sous presse).

23. 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.

24. Arslan-Ayaydin, Özgür; Chen, Shimin; Ni, Serene Xu; Thewissen, James. Is cross-listing a panacea for improving earnings quality? The case of H- and B-share firms in China. In: International Review of Financial Analysis, Vol. 81, p. 102113 (2022). doi:10.1016/j.irfa.2022.102113 (Accepté/Sous presse).

25. Mbaye, Cheikh; Sagna, Abass; Vrins, Frédéric. A general firm value model under partial information. In: The Journal of Computational Finance, Vol. 26, no. 1 (2022). doi:10.21314/JCF.2022.020.

26. Duterme, Tom. La fuite des capitaux : menace économique ou ressource rhétorique ?. In:, Vol. /, no.125, p. 4 (2022).

27. 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/

28. Duterme, Tom. Ira Oscar Glick: At the crossroads of the sociologies of financial markets. In: Finance and Society, Vol. 8, no.1, p. 78-84 (2022). doi:10.2218/finsoc.7128.

29. Duterme, Tom. Dow Jones, CAC 40, BEL 20… D’où viennent les indices boursiers ?. In:, Vol. /, no.124, p. 5 (2022).

30. Gambetti , Paolo; Roccazzella, Francesco; Vrins, Frédéric. Meta-Learning Approaches for Recovery Rate Prediction. In: Risks, Vol. 10, no.6, p. 124 (2022). doi:10.3390/risks10060124.

31. Duterme, Tom. Daniel Beunza, Taking the Floor. Models, Morals, and Management in a Wall Street Trading Room, Princeton, Princeton University Press, 2019, 344 p.. In: Revue Française de Socio-Économie, Vol. 2, no.29, p. 219-221 (2022). doi:10.3917/rfse.029.0201.

32. 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.

33. Candelon, Bertrand; Luisi, Angelo; Roccazzella, Francesco. Fragmentation in the European Monetary Union: Is it really over?. In: Journal of International Money and Finance : theoretical and empirical research in international economics and finance, Vol. 122, p. 102545 (2022). doi:10.1016/j.jimonfin.2021.102545.

34. 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/

35. Thewissen, James. Unpacking the black box of ICO white papers: A topic modeling approach. In: Journal of Corporate Finance, (2022). (Accepté/Sous presse).

36. Thewissen, James; Özgür Arslan-Ayaydin; Torsin, Wouter. Earnings Management Methods and CEO Political Affiliation. In: Accounting Auditing Control, Vol. 28, no. 2, p. 83-128 (2022). doi:10.3917/cca.282.0083.

37. 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).

38. Duterme, Tom. Do modern stock exchanges emerge from competition? Evidence from the “Belgian Big Bang”. In: Review of Evolutionary Political Economy, Vol. 3, no. 2, p. 351–371 (2022). doi:10.1007/s43253-022-00069-4.

39. Hasse, Jean-Baptiste; Lajaunie, Quentin. Does the yield curve signal recessions? New evidence from an international panel data analysis. In: The Quarterly Review of Economics and Finance, Vol. 84, p. 9-22 (2022). doi:10.1016/j.qref.2022.01.001.

40. Hoffmann, Arvid; Plotkina, Daria; Roger, Patrick; D'Hondt, Catherine. Superstitious beliefs, locus of control, and feeling at risk in the face of Covid-19. In: Personality and Individual Differences, Vol. 196, p. 111718 (2022). doi:10.1016/j.paid.2022.111718 (Accepté/Sous presse).

41. Babii, Andrii; Ghysels, Eric; Striaukas, Jonas. Machine Learning Time Series Regressions With an Application to Nowcasting. In: Journal of Business and Economic Statistics, Vol. 40, no. 3, p. 1094-1106 (2022). doi:10.1080/07350015.2021.1899933.

42. Belkhir, Mohamed; Ben Naceur, Sami; Candelon, Bertrand; Wijnandts, Jean-Charles. Macroprudential policies, economic growth and banking crises. In: Emerging Markets Review, Vol. 53, p. 100936 (2022). doi:10.1016/j.ememar.2022.100936.

43. Iania, Leonardo; De Backer, Bruno; Dewachter, Hans. Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?. In: Finance Research Letters, Vol. 43, p. 101978 (2021). doi:10.1016/ (Accepté/Sous presse).

44. Thewissen, James. Disclosure tone management and labor unions. In: Journal of Business Finance & Accounting, Vol. 48, no. 1-2, p. 102-147 (2021). doi:10.1111/jbfa.12483.

45. 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).

46. D'Hondt, Catherine; De Winne, Rudy; Merli, Maxime. Do retail investors bite off more than they can chew? A close look at their return objectives. In: Journal of Economic Behavior & Organization, Vol. 188, p. 879-902 (2021). doi:10.1016/j.jebo.2021.06.009.

47. Thewissen, James; Özgür Arslan-Ayaydin; Prabal Shrestha; Wouter Torsin. Institutions, regulations and initial coin offerings: An international perspective. In: International Review of Economics & Finance, Vol. 72, p. 102-120 (2021). doi:10.1016/j.iref.2020.10.014.

48. Candelon, Bertrand; Hasse, Jean-Baptiste; Lajaunie, Quentin. ESG-Washing in the Mutual Funds Industry? From Information Asymmetry to Regulation. In: Risks, Vol. 9, no.11, p. 199 (2021). doi:10.3390/risks9110199.

49. Duterme, Tom. Comment émerge un indice boursier ? Histoire du BEL 20. In: Revue Française de Socio-Économie, Vol. 2, no.27, p. 174 (2021). doi:10.3917/rfse.027.0157.

50. Iania, Leonardo; Guimaraes Togeiro De Moura, Rubens; Marco Lyrio. Bond risk premia in emerging markets: evidence from Brazil, China, Mexico, and Russia. In: Applied economics, Vol. 53, no.58, p. 6721-6738 (2021). doi:10.1080/00036846.2021.1937505.

51. D'Hondt, Catherine; McGowan, Richard; Roger, Patrick. Trading leveraged Exchange-Traded products is hazardous to your wealth. In: The Quarterly Review of Economics and Finance, Vol. 80, p. 287-302 (2021). doi:10.1016/j.qref.2021.02.012.

52. Candelon, Bertrand; Fuerst, Franz; Hasse, Jean-Baptiste. Diversification potential in real estate portfolios. In: International Economics, Vol. 166, p. 126-139 (2021). doi:10.1016/j.inteco.2021.04.001.

53. Lassance, Nathan; Vrins, Frédéric. Minimum Rényi entropy portfolios. In: Annals of Operations Research, Vol. 299, p. 23–46 (2021). doi:10.1007/s10479-019-03364-2.

54. Candelon, Bertrand; Ferrara, Laurent; Joëts, Marc. Global financial interconnectedness: a non-linear assessment of the uncertainty channel. In: Applied Economics, (2021). doi:10.1080/00036846.2020.1870651.

55. Lassance, Nathan; Vrins, Frédéric. Portfolio selection with parsimonious higher comoments estimation. In: Journal of Banking & Finance, Vol. 126, no. 9, p. 106-115 (2021). doi:10.1016/j.jbankfin.2021.106115.

56. 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).

57. Thewissen, James; Yan, Beibei; Arslan-Ayaydin, Özgür; Torsin, Wouter. Does managerial ability affect disclosure? Evidence from earnings press releases. In: Asian Review of Accounting, Vol. 29, no. 2, p. 192-226 (2021).

58. 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.

59. 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 (Accepté/Sous presse).

60. De Winne, Rudy. Measuring the disposition effect. In: Journal of Behavioral and Experimental Finance, Vol. 29, no. 100468 (2021). doi:10.1016/j.jbef.2021.100468.

61. Desagre, Christophe; D'Hondt, Catherine. Googlization and retail trading activity. In: Journal of Behavioral and Experimental Finance, Vol. 29, p. 100453 (2021). doi:10.1016/j.jbef.2020.100453.

Book Chapters

1. Aloy, Marcel; Laly, Floris; Laurent, Sébastien; Lecourt, Christelle. Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs. In: Recent Econometric Techniques for Macroeconomic and Financial Data (Dynamic Modeling and Econometrics in Economics and Finance; xxx), Springer, 2021, p. 229-264. 978-3-030-54254-2. xxx xxx.