Recent publications


Journal Articles


1. Bellotti, Anthony; Brigo, Damiano; Gambetti, Paolo; Vrins, Frédéric. Forecasting recovery rates on non-performing loans with machine learning. In: International Journal of Forecasting, (2020). (Accepté/Sous presse). http://hdl.handle.net/2078.1/230633

2. Iania, Leonardo; Allard, Anne-Florence; Smedts, Kristien. Stock-bond return correlations: Moving away from "one-frequency-fits-all" by extending the DCC-MIDAS approach  . In: International Review of Financial Analysis,. (Accepté/Sous presse). http://hdl.handle.net/2078.1/231044

3. Thewissen, James. Disclosure tone management and labor unions. In: Journal of Business Finance & Accounting, (2020). (Accepté/Sous presse). http://hdl.handle.net/2078.1/231843

4. Petitjean, Mikael. Eco-friendly policies and financial performance:Was the financial crisis a game changer for large US companies?. In: Energy Economics, Vol. 80, no. Feb, p. 502-511 (2019). doi:10.1016/j.eneco.2019.01.028. http://hdl.handle.net/2078.1/214094

5. Yan, Beibei; Aerts, Walter; Thewissen, James. The informativeness of impression management − financial analysts and rhetorical style of CEO letters. In: Pacific Accounting Review, Vol. 31, no.3, p. 462-496 (2019). doi:10.1108/par-09-2017-0063 (Soumis). http://hdl.handle.net/2078.1/227457

6. Mazza, Paolo; Petitjean, Mikael. Testing the effect of technical analysis on market quality and order book dynamics. In: Applied Economics, Vol. 51, no.18, p. 1947-1976 (2019). doi:10.1080/00036846.2018.1529404. http://hdl.handle.net/2078.1/212373

7. Naceur, Sami Ben; Candelon, Bertrand; Lajaunie, Quentin. Taming financial development to reduce crises. In: Emerging Markets Review, Vol. 40, p. 100618 (2019). doi:10.1016/j.ememar.2019.05.003. http://hdl.handle.net/2078.1/225229

8. Vrins, Frédéric. Advances in Credit Risk Modeling and Management. In: Risks, (2019). http://hdl.handle.net/2078.1/215467

9. Profeta, Christophe; Vrins, Frédéric. Piecewise constant martingales and lazy clocks. In: Probability, Uncertainty and Quantitative Risk, Vol. 4, no. 2 (2019) (2019). http://hdl.handle.net/2078.1/211213

10. Gambetti, Paolo; Gauthier, Geneviève; Vrins, Frédéric. Recovery rates: Uncertainty certainly matters. In: Journal of Banking & Finance, Vol. 106, no.9, p. 371-383 (2019). doi:10.1016/j.jbankfin.2019.07.010. http://hdl.handle.net/2078.1/218203

11. Hans Dewacther; Iania, Leonardo; Wolfgang Lemke; Marco Lyrio. A Macro-Financial Analysis of the Corporate Bond Market. In: Empirical Economics, Vol. 57, p. 1911–1933 (December 2019). http://hdl.handle.net/2078.1/199634

12. Brigo, Damiano; Jeanblanc, Monique; Vrins, Frédéric. SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions. In: Stochastic Processes and Their Applications, Vol. 130, no. 7, p. 3895-3919 (2020). doi:10.1016/j.spa.2019.11.003 (Accepté/Sous presse). http://hdl.handle.net/2078.1/223398

13. Lassance, Nathan; Vrins, Frédéric. Minimum Rényi entropy portfolios. In: Annals of Operations Research, (2019). doi:10.1007/s10479-019-03364-2 (Accepté/Sous presse). http://hdl.handle.net/2078.1/218951


Books


1. Thewissen, James; Özgür Arslan-Ayaydin; André Dorsman. Regulations in the energy industry : financial, economic and legal implications. 2020. 9783030322953.pages. http://hdl.handle.net/2078.1/227455

2. Vrins, Frédéric. Advances in Credit Risk Modeling and Management. MDPI: Basel, 2020. 978-3-03928-761-1. 177 pages. http://hdl.handle.net/2078.1/231015