LIDAM Publications in Finance

You will find below our latest publications (journal articles, book chapters and books) in finance. 


Journal Articles


1. D'Hondt, Catherine; De Winne, Rudy; Todorovic, Aleksandar. Target return as efficient driver of risk-taking. In: Review of Behavioral Finance, Vol. 16, no. 1, p. 130-166 (2024). doi:10.1108/RBF-09-2022-0216. http://hdl.handle.net/2078.1/277792

2. Kan, Raymond; Lassance, Nathan; Wang, Xiaolu. The distribution of sample mean-variance portfolio weights. In: Random Matrices: Theory and Applications, (2024). (Accepté/Sous presse). http://hdl.handle.net/2078.1/281110

3. Hafner, Christian; Wang, Linqi. Dynamic portfolio selection with sector-specific regularization. In: Econometrics and Statistics, (2024). doi:10.1016/j.ecosta.2022.01.001 (Accepté/Sous presse). http://hdl.handle.net/2078.1/258976

4. 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. http://hdl.handle.net/2078.1/251782

5. 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

6. 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. http://hdl.handle.net/2078.1/268417

7. 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

8. 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

9. Lassance, Nathan; Martín-Utrera, Alberto; Simaan, Majeed. The Risk of Expected Utility under Parameter Uncertainty. In: Management Science, (2023). (Accepté/Sous presse). http://hdl.handle.net/2078.1/277406

10. 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. http://hdl.handle.net/2078.1/264109

11. 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). http://hdl.handle.net/2078.1/277691

12. 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. http://hdl.handle.net/2078.1/272598

13. 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). http://hdl.handle.net/2078.1/274416

14. 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. http://hdl.handle.net/2078.1/277693

15. 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). http://hdl.handle.net/2078.1/272240

16. 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. http://hdl.handle.net/2078.1/277351

17. Duterme, Tom. Bloomberg and the GameStop saga: the fear of stock market democracy. In: Economy and Society, Vol. 52, no. 3, p. 373-398 (2023). Louvain Papers on Democracy & Society 80. doi:10.1080/03085147.2023.2189819. http://hdl.handle.net/2078.1/253145

18. Boulier, Jean-François; D'Hondt, Catherine; Jawadi, Fredj; Prat, Georges; Rozin, Philippe; Taffler, Richard. How Do Investor’s Expectations and Emotions Drive Financial Asset Prices in Times of Crises and Uncertainty: The Analysis of Experts’ Opinions. In: Bankers, Markets & Investors, Vol. 2023/4, no.175, p. 3-12 (2023). http://hdl.handle.net/2078.1/285123

19. 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

20. Hafner, Christian; Wang, Linqi. A dynamic conditional score model for the log correlation matrix. In: Journal of Econometrics, Vol. 237, no. 2, part B, p. 105176 (2023). doi:10.1016/j.jeconom.2021.09.004. http://hdl.handle.net/2078.1/258975

21. 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). http://hdl.handle.net/2078.1/259858

22. 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. http://hdl.handle.net/2078.1/245979

23. 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. http://hdl.handle.net/2078.1/257716

24. 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

25. 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. http://hdl.handle.net/2078.1/267635


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. http://hdl.handle.net/2078.1/251599