Research

The LIDAM publications from the last three month:

Published papers:

Augustyniak, Maciej; Bauwens,Luc; and Dufays, Arnaud. A new approach to volatility modeling: The factorial hidden Markov volatility model. In: Journal of Business & Economic Statistics, 2019.
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Baurin, Arno et Hindriks, Jean. Quels sont les métiers pénibles ? In: Regards Economiques, 151, 2019.
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Brigo, Damiano; Jeanblanc, Monique and Vrins, Frédéric. SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions. In: Stochastic Processes and their Applications, 2019.
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Devolder Pierre and Hindriks, Jean. Réforme des pensions: une urgence absolue. In: Pyramides 31/32, 233-260, 2019.
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De Wolf, Daniel and Smeers, Yves. Generalized derivatives of the optimal value of a linear program with respect to matrix coefficients. In: European Journal of Operational Research, 2019.
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Finance, Olivier; Adam, Arnaud; Jones, Jonathan and Thomas, Isabelle. Révéler la polarisation économique d’une ville à partir de traces GPS de camions. Le cas de Liège. In: Bulletin de la Société Géographique de Liège, 72, 2019.
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Sanders Lena; Thomas, Isabelle and Vacchiani-Marcuzzo, Céline. On the survival of butterflies in the jungle of urban systems. In: Chapter 9 in Denise Pumain (ed.), Theories and Models of Urbanization, Lecture Notes in Morphogenesis, 151-167, 2020.
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Sidqi, Yousra; Frankhauser, Pierre; Thomas, Isabelle and Retière, Nicolas. Comparing fractal indices of electric networks to roads and buildings: The case of Grenoble. In: Physica A: Statistical Mechanics and its Applications, 531, p.121774, 2019.
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Thisse, Jacques-François. Economics of agglomeration. In: Oxford Research Encyclopedia, Economics and Finance, Oxford University Press, 2019.
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Finance, Olivier; Adam, Arnaud; Jones, Jonathan and Thomas, Isabelle. Révéler la polarisation économique d’une ville à partir de traces GPS de camions. Le cas de Liège. In: Bulletin de la Société Géographique de Liège, 72, 2019.
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Sanders Lena; Thomas, Isabelle and Vacchiani-Marcuzzo, Céline. On the survival of butterflies in the jungle of urban systems. In: Chapter 9 in Denise Pumain (ed.), Theories and Models of Urbanization, Lecture Notes in Morphogenesis, 151-167, 2020.
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Sidqi, Yousra; Frankhauser, Pierre; Thomas, Isabelle and Retière, Nicolas. Comparing fractal indices of electric networks to roads and buildings: The case of Grenoble. In: Physica A: Statistical Mechanics and its Applications, 531, p.121774, 2019.
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Published papers:

Batyra, Anna; de la Croix, David; Pierrard, Olivier; Sneessens, Henri. Structural changes in the labor market and the rise of early retirement in France and Germany. In: German Economic Review, Vol. 20, no. 4, p. e38-e69 (2019).
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Brolis, Olivier; Nyssens, Marthe. Does the mission of an organization affect hte quality of low-skilled jobs in quasi-markets?: A comparison between social enterprises and for-profit organizations. In: VOLUNTAS: International Journal of Voluntary and Nonprofit Organizations, p. 1-17, 2019.
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Defourny, Jacques ; Nyssens, Marthe. La diversité des modèles d’entreprise sociale : nouvelles dynamiques au cœur et aux confins de l’économie sociale. In Marché et Organisations, vol. 2019, no. 3, p. 17-38 (2019).
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Djajić, Slobodan; Docquier, Frédéric; Michael, Michael S. Optimal education policy and human capital accumulation in the context of brain drain. In: Journal of Demographic Economics, Vol. 85, no.4, p. 271-303 (2019).
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Faraglia, Elisa; Marcet, Albert; Oikonomou, Rigas; Scott, Andrew. Government debt management: The long and the short of it. In: The Review of Economic Studies, Vol. 86, no.6, p. 2554-2604 (2019).
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Gomes, Joseph. Linguistic fractionalization and vealth information in Sub-Saharan Africa. In : The World Bank Economic Review, p. 1-6 (2019).
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Mesén Vargas, Juliana; Van der Linden, Bruno. Why cash transfer programs can both stimulate and slow down job finding. In: IZA Journal of Labor Economics, Vol. 8, no.1, p. 1-27 (2019).
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Murray, Jenny ; Wickramasekera, Nyantara ; Elings, Marjolein ; Bragg, Rachel ;Brennan, Cathy ; Richardson, Zoe ; Wright, Judy ; Llorente, Marina g. ; Cade, Janet ; Shickle, Darren, Tubeuf Sandy et al. The impact of care farms on quality of life, depression and anxiety among different population groups: A systematic review. In : Campbell Systematic Review, vol. 15, no. 4, p. 1-61 (December 2019).
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Smith, Chris ; Hewison, Jenny ; West, Robert M. ; Guthrie , Elspeth ; Trigwell, Peter ; Crawford, Mike J.; Czoski Murray, Carolyn J. ; Fossey, Matt ; Hulme, Claire ; Tubeuf, Sandy et al. Liaison psychiatry-measurement and evaluation of service types, referral patterns and outcomes (LP-MAESTRO): a protocol. In : BMJ Open. Vol. 9, no. 11, p. 032179 (November 2019).
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Published papers:

Asmussen, Soren; Ivanovs, Jevgenijs; Segers, Johan. On the longest gap between power-rate arrivals. In: Bernoulli : a journal of mathematical statistics and probability, Vol. 25, no. 1, p. 375-394 (2019).
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Daraio, Cinzia; Simar, Léopold; Wilson, Paul W. Fast and efficient computation of directional distance estimators. In: Annals of Operations Research, First Online: 11 February 2019.
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Denuit, Michel; Mesfioui, Mhamed; Trufin, Julien. Concordance-based predictive measures in regression models for discrete responses. In: Scandinavian Actuarial Journal, Vol. 2019, no.10, p. 824-836 (2019).
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Denuit, Michel; Sznajder, Dominik; Trufin, Julien. Model selection based on Lorenz and concentration curves, Gini indices and convex order. In: Insurance: Mathematics and Economics, Vol. 89, p. 128-139 (2019).
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Feraud, Baptiste; Leenders, Justine; Martineau, Estelle; Giraudeau, Patrick; Govaerts, Bernadette; de Tullio, Pascal. Two data pre-processing workflows to facilitate the discovery of biomarkers by 2D NMR metabolomics. In: Metabolomics, Vol. 15, no.63, p. n/a-n/a (published online 16 April 2019).
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Florens, Jean-Pierre; Simar, Léopold; Van Keilegom, Ingrid. Estimation of the boundary of a variable observed with symmetric error. In: Journal of the American Statistical Association.
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Gorrostieta, Cristina; Ombao, Hernando; von Sachs, Rainer. Time-dependent dual-frequency coherence in multivariate non-stationary time series. In: Journal of Time Series Analysis, Vol. 40, p. 3-22 (2019).
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Guisset, Séverine; Martin, Manon; Govaerts, Bernadette. Comparison of PARAFASCA, AComDim, and AMOPLS approaches in the multivariate GLM modelling of multi-factorial designs. In: Chemometrics and Intelligent Laboratory Systems, Vol. 184, p. 44-63 (2019).
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Hainaut, Donatien. Hedging of crop harvest with derivatives on temperature.In: Insurance: Mathematics and Economics, Vol. 84, p. 98-114 (2019).
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Hainaut, Donatien. A self-organizing predictive map for non-life insurance. In: European Actuarial Journal, First Online: 18 December 2018.
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Hainaut, Donatien; Deelstra, Griselda. A Self-exciting switching jump diffusion: Properties, calibration and hitting time. In: Quantitative Finance, Vol. 19, no. 3, p. 407-426 (2019).
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Hainaut, Donatien; Deelstra, Griselda. A Bivariate Mutually-excited switching jump diffusion (BMESJD) for asset prices. In: Methodology and Computing in Applied Probability, Vol. 21, no. 4, p. 1337-1375 (2019).
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Hanbali, Hamza; Denuit, Michel; Dhaene, Jan; Trufin, Julien. A dynamic equivalence principle for systematic longevity risk management. In: Insurance: Mathematics and Economics, Vol. 86, p. 158-167 (2019).
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Mathieu, Sophie; von Sachs, Rainer; Ritter, Christian; Delouille, Véronique; Lefèvre, Laure. Uncertainty quantification in sunspot counts. In: The Astrophysical Journal, accepted (2019).
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Nicolaie, Mioara Alina; Taylor, Jeremy M. G.; Legrand, Catherine. Vertical modeling: analysis of competing risks data with a cure fraction. In: Lifetime Data Analysis, Vol. 25, no.1, p. 1-25 (2019).
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Park, Byeong U.; Simar, Léopold; Zelenyuk, Valentin. Forecasting of recessions via dynamic probit for time series: replication and extension of Kauppi and Saikkonen (2008). In: Empirical Economics, First Online: 15 May 2019 (2019).
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Roueff, François; von Sachs, Rainer. Time-frequency analysis of locally stationary Hawkes processes. In: Bernoulli : a journal of mathematical statistics and probability, Vol. 25, no. 2, p. 1355-1385 (2019).
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Simar, Léopold; W. Wilson, Paul. Central limit theorems and inference for sources of productivity change measured by nonparametric Malmquist indices. In: European Journal of Operational Research, Vol. 277, no.2, p. 756-769 (2019).
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Wunsch, Guillaume; Mouchart, Michel; Russo, Federica. Examining cause-effect relations in the social sciences. A structural causal modelling approach. In: STAtOR, Vol. 3, no.September, p. 18-22 (2019).
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von Sachs, Rainer. Nonparametric spectral analysis of multivariate time series. In: Annual Review of Statistics and Its Application, Vol. 7, no. 1, p. to appear (2020).
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Published papers:

Ben Naceur, S.; Candelon, B.; Lajaunie, Q. Taming financial development to reduce crises. In: Emerging Market Review 40, 2019.
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Brigo, D; Jeanblanc, M; Vrins, F. SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions. In: Stochastic Process and their Applications, 2019.
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Gambetti, P.; Gauthier, G.; Vrins F. Recovery rates: Uncertainly certainly matters. In: Journal of Banking and Finance, Vol 106, 2019.
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Lassance, N., Vrins, F. Minimum Rényi, Entropy portfolios. Ann Oper Res, 2019.
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Profeta, Christophe; Vrins, F. Piecewise constant martingales and lazy clocks. In: Probability, Uncertainty and Quantitative Risk, Vol. 4(2), 2019.
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