Recent Publications

Journal Articles

1. Roccazzella, Francesco; Gambetti, Paolo; Vrins, Frédéric. Optimal and robust combination of forecasts via constrained optimization and shrinkage. In: International Journal of Forecasting, (2021). doi:10.1016/j.ijforecast.2021.04.002 (Accepté/Sous presse).

2. Mbaye, Cheikh; Vrins, Frédéric. Affine term structure models: a time-change approach with perfect fit to market curves. In: Mathematical Finance, (2022). doi:10.1111/mafi.12342 (Accepté/Sous presse).

3. 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, (2022). (Accepté/Sous presse).

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

5. Babii, Andrii; Ghysels, Eric; Striaukas, Jonas. Machine Learning Time Series Regressions With an Application to Nowcasting. In: Journal of Business and Economic Statistics, (2021). doi:10.1080/07350015.2021.1899933 (Accepté/Sous presse).

6. 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.

7. 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, (2021). doi:10.1016/ (Accepté/Sous presse).

8. Desagre, Christophe; D'Hondt, Catherine. Googlization and retail trading activity. In: Journal of Behavioral and Experimental Finance, no. 29 (2021) 100453, p. 14 (2021). doi:10.1016/j.jbef.2020.100453 (Accepté/Sous presse).

9. 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.

10. 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.

11. 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, (2021). doi:10.3758/s13423-021-01921-0 (Accepté/Sous presse).

12. 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.

13. 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.

14. 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).

15. Henry, Elaine; Thewissen, James; Torsin, Wouter. International Earnings Announcements: Tone, Forward-looking Statements, and Informativeness. In: The European Accounting Review, (2021). (Accepté/Sous presse).

16. Lassance, Nathan. Reconciling mean-variance portfolio theory with non-Gaussian returns. In: European Journal of Operational Research, (2021). doi:10.1016/j.ejor.2021.06.016 (Accepté/Sous presse).

17. 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.

18. 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 (Accepté/Sous presse).

19. 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 (Accepté/Sous presse).

20. 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.

21. 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.

22. Thewissen, James; Özgür Arslan-Ayaydin; Torsin, Wouter. Earnings Management Methods and CEO Political Affiliation. In: Comptabilite Contrôle Audit, (2021). (Accepté/Sous presse).

23. 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, (2021). doi:10.1080/02664763.2021.1982878 (Accepté/Sous presse).

24. 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).

25. 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, (2021). (Accepté/Sous presse).

26. Petitjean, Mikael. Judging the functioning of equity markets in 2020: A bird's-eye (re)view. In: Bankers, Markets, and Investors, (2021). (Accepté/Sous presse).

27. D'Hondt, Catherine; Merli, Maxime; Roger, Tristan. What drives retail portfolio exposure to ESG factors?. In: Finance Research Letters, , p. 102470 (2021). doi:10.1016/ (Accepté/Sous presse).

28. 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.

29. Lassance, Nathan; Vrins, Frédéric; DeMiguel, Victor. Optimal portfolio diversification via independent component analysis. In: Operations Research, (2021). (Accepté/Sous presse).

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.