Finance

Journal Articles

1. 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

2. 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

3. 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

4. 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

5. Lassance, Nathan; Vrins, Frédéric. Portfolio Selection: A Target-Distribution Approach. In: European Journal of Operational Research, (2023). doi:10.1016/j.ejor.2023.02.014 (Accepté/Sous presse). http://hdl.handle.net/2078.1/272598

6. 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. http://hdl.handle.net/2078.1/248130

7. Hafner, Christian; Wang, Linqi. Dynamic portfolio selection with sector-specific regularization. In: Econometrics and Statistics, (2022). doi:10.1016/j.ecosta.2022.01.001 (Accepté/Sous presse). http://hdl.handle.net/2078.1/258976

8. Hafner, Christian; Wang, Linqi. A dynamic conditional score model for the log correlation matrix. In: Journal of Econometrics, (2022). doi:10.1016/j.jeconom.2021.09.004 (Accepté/Sous presse). http://hdl.handle.net/2078.1/258975

9. 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. http://hdl.handle.net/2078.1/254447

10. 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

11. 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. http://hdl.handle.net/2078.1/259523

12. 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/fina.pr.i. http://hdl.handle.net/2078.1/250456

13. 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). http://hdl.handle.net/2078.1/260956

14. Roger, Patrick; D'Hondt, Catherine; Plotkina, Daria; Hoffmann, Arvid. Number 19: Another Victim of the COVID‐19 Pandemic?. In: Journal of Gambling Studies (Online), (2022). doi:10.1007/s10899-022-10145-3 (Accepté/Sous presse). http://hdl.handle.net/2078.1/264109

15. 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. http://hdl.handle.net/2078.1/261877

16. 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

17. 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. http://hdl.handle.net/2078.1/248132

18. 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. http://hdl.handle.net/2078.1/257597

19. 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/j.frl.2021.102470. http://hdl.handle.net/2078.1/251463

20. 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

21. 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

22. 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). http://hdl.handle.net/2078.1/250457

23. 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). http://hdl.handle.net/2078.1/250451

24. 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. http://hdl.handle.net/2078.1/248798

25. 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. http://hdl.handle.net/2078.1/253308

26. 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. http://hdl.handle.net/2078.1/245986

27. 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. http://hdl.handle.net/2078.1/218951

28. 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). http://hdl.handle.net/2078.1/254715

29. 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. http://hdl.handle.net/2078.1/246607

30. 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. http://hdl.handle.net/2078.1/241097

31. Bellotti, Anthony; Brigo, Damiano; Gambetti, Paolo; Vrins, Frédéric. Forecasting recovery rates on non-performing loans with machine learning. In: International Journal of Forecasting, Vol. 37, no. 1, p. 428-444. http://hdl.handle.net/2078.1/230633

32. 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, Vol. 71, p. 101557 (2020). doi:10.1016/j.irfa.2020.101557. http://hdl.handle.net/2078.1/231044

33. 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. http://hdl.handle.net/2078.1/223398

34. Laly, Floris; Petitjean, Mikael. Mini flash crashes: Review, taxonomy and policy responses. In: Bulletin of Economic Research, Vol. 72, no.3, p. 251-271 (2020). doi:10.1111/boer.12221. http://hdl.handle.net/2078.1/250454

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

36. 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

37. Thewissen, James. Jockeying for position in CEO letters: Impression management and sentiment analytics. In: Financial Management, Vol. 48, no.1, p. 77-115 (2019). doi:10.1111/fima.12219. http://hdl.handle.net/2078.1/227157

38. 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

39. 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

40. 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

41. 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

42. 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. http://hdl.handle.net/2078.1/227457

43. Profeta, Christophe; Vrins, Frédéric. Piecewise constant martingales and lazy clocks. In: Probability, Uncertainty and Quantitative Risk, Vol. 4, no. 2 (2019). doi:10.1186/s41546-019-0036-4. http://hdl.handle.net/2078.1/211213

44. Petitjean, Mikael. La Belgique est-elle inégalitaire ?. In: La Libre Belgique, Vol. 2018, no.Avril , p. 18. http://hdl.handle.net/2078.1/196948

45. Bellofatto, Anthony; D'Hondt, Catherine; De Winne, Rudy. Subjective Financial Literacy and Retail Investors’ Behavior. In: Journal of Banking and Finance, Vol. 92, no.1, p. 168-181. doi:10.1016/j.jbankfin.2018.05.004. http://hdl.handle.net/2078.1/203762

46. Mazza, Paolo; Petitjean, Mikael. Implicit transaction cost management using intraday price dynamics. In: Applied Economics, Vol. 50, no. 39, p. 4264-4274 (2018). doi:10.1080/00036846.2018.1441523. http://hdl.handle.net/2078.1/203431

47. Dahlqvist, Carl-Henrik; Gnabo, Jean-Yves. Effective network inference through multivariate information transfer estimation. In: Physica A: Statistical Mechanics and its Applications, Vol. 499, no.1, p. 376-394 (2018). doi:10.1016/j.physa.2018.02.053. http://hdl.handle.net/2078.1/199478

48. Petitjean, Mikael. Le sauvetage des institutions financières a épargné plusieurs milliards d’euros aux pouvoirs publics. In: L'Écho : le quotidien de l'économie et de la finance, Vol. 2018, no.03 mars, p. 18 (2018). http://hdl.handle.net/2078.1/203434

49. Jeanblanc, Monique; Vrins, Frédéric. Conic martingales from Stochastic integrals. In: Mathematical Finance, Vol. 28, no. 2, p. 516-535. doi:10.1111/mafi.12147. http://hdl.handle.net/2078.1/176590

50. Damiano Brigo; Vrins, Frédéric. Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. In: European Journal of Operational Research, Vol. 269, p. 1154-1164 (2018). http://hdl.handle.net/2078.1/196286

51. Vrins, Frédéric; Petitjean, Mikael. Extreme events and the cumulative distribution of net gains in gambling and structured products. In: Applied Economics, Vol. 50, no. 58, p. 6285-6300 (2018). doi:10.1080/00036846.2018.1489514. http://hdl.handle.net/2078.1/199211

52. Mbaye, Cheikh; Vrins, Frédéric. A subordinated CIR intensity model with application to wrong-way risk CVA. In: International Journal of Theoretical and Applied Finance, Vol. 21, no.7, p. 22 (2018). doi:10.1142/s0219024918500450. http://hdl.handle.net/2078.1/204500

53. Lassance, Nathan; Vrins, Frédéric. A Comparison of Pricing and Hedging Performances of Equity Derivatives Models. In: Applied Economics, Vol. 50, no. 10, p. 1122-1137 (2018). doi:10.1080/00036846.2017.1352080. http://hdl.handle.net/2078.1/186376

54. Petitjean, Mikael. What explains the success of reward-based crowdfunding campaigns as they unfold? Evidence from the French crowdfunding platform KissKissBankBank. In: Finance Research Letters, Vol. 26, p. 9-14 (2018). doi:10.1016/j.frl.2017.11.005. http://hdl.handle.net/2078.1/203432

55. Vrins, Frédéric. Bannissement des produits dérivés: la bonne affaire ?. In: Regards économiques, , no.142, p. 1-15 (2018). http://hdl.handle.net/2078.1/207660

56. Campello, Murillo; Gao, Janet; Qiu, Jiaping; Zhang, Yue. Bankruptcy and the cost of organized labor: Evidence from union elections. In: The Review of Financial Studies, Vol. 31, no.3, p. 980-1013 (2018). doi:10.1093/rfs/hhx117. http://hdl.handle.net/2078.1/221037

57. James Thewissen; Wouter Torsin; Kris Boudt. When does the tone of earnings press releases matter?. In: International Review of Financial Analysis, Vol. 57, no.2, p. 231-245 (2018). doi:10.1016/j.irfa.2018.02.002. http://hdl.handle.net/2078.1/227456

58. Brogaard, Jonathan; Carrion, Allen; Moyaert, Thibaut; Riordan, Ryan; Shkilko, Andriy; Sokolov, Konstantin. High frequency trading and extreme price movements. In: Journal of Financial Economics, Vol. 128, no.2, p. 253-265 (2018). doi:10.1016/j.jfineco.2018.02.002. http://hdl.handle.net/2078.1/197005

59. Dahlqvist, Carl-Henrik. Cross-country information transmissions and the role of commodity markets: A multichannel Markov switching approach. In: PLoS ONE, Vol. 13, no. 8, p. 21 (2018). doi:10.1371/journal.pone.0202251. http://hdl.handle.net/2078.1/201963

60. Corneille, Olivier; De Winne, Rudy; D'Hondt, Catherine. The Disposition Effect does not survive disclosure of expected price trends. In: Journal of behavioral and experimental finance, Vol. 20, p. 80-91 (2018). doi:10.1016/j.jbef.2018.08.003. http://hdl.handle.net/2078.1/196594

61. Vrins, Frédéric. Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint. In: Risks, Vol. 6, no. 3, p. 64 (2018). doi:10.3390/risks6030064. http://hdl.handle.net/2078.1/200666

62. Boullenger, Victor; Petitjean, Mikael; Daguet, Patrick. Capital-risque et performance à court terme de l’entreprise après introduction en bourse. In: Forum financier : revue bancaire et financière, Vol. 6, no.5, p. 1-14. http://hdl.handle.net/2078.1/203433

63. D'Hondt, Catherine; Detollenaere, Benoît. Identifying Expensive Trades by Monitoring the Limit Order Book. In: Journal of Forecasting, Vol. 36, p. 273-290 (2017). doi:10.1002/for.2422. http://hdl.handle.net/2078.1/143317

64. D'Hondt, Catherine; Roger, Patrick. Investor sentiment and stock return predictability: The power of ignorance. In: Finance, Vol. 38, no. 2, p. 7-37 (2017). (Accepté/Sous presse). http://hdl.handle.net/2078.1/196590

65. Vrins, Frédéric. Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics. In: International Journal of Theoretical and Applied Finance, Vol. 20, no. 7:1750045 (2017). http://hdl.handle.net/2078.1/187277

66. De Winne, Rudy; D'Hondt, Catherine. La finance comportementale: enjeux et perspectives. In: Regards économiques, Vol. 30, no. 131, p. 1-10 (2017). http://hdl.handle.net/2078.1/186116

67. Petitjean, Mikael. On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios. In: Economic Modelling, Vol. 54, no.1, p. 67-81 (Avril 2016). doi:10.1016/j.econmod.2015.12.016. http://hdl.handle.net/2078.1/171607

68. Vrins, Frédéric. Characteristic Function of Time-Inhomogeneous Lévy-Driven Ornstein-Uhlenbeck Processes. In: Statistics & Probability Letters, Vol. 116, no.2016, p. 55-61 (14/5/2016). doi:10.1016/j.spl.2016.04.013. http://hdl.handle.net/2078.1/173975

69. Dewachter, Hans; Iania, Leonardo; Lyrio, Marco; Perea, Maite de Sola. A macro-financial analysis of the euro area sovereign bond market. In: Journal of Banking & Finance, Vol. 50, p. 308-325 (2015). doi:10.1016/j.jbankfin.2014.03.011. http://hdl.handle.net/2078/144133

70. Petitjean, Mikael. How integrated is the European carbon derivatives market?. In: Finance Research Letters, Vol. 15, no.1, p. 18-30 (Novembre 2015). doi:10.1016/j.frl.2015.07.005. http://hdl.handle.net/2078.1/171606

71. D'Hondt, Catherine; Majois, Christophe; Mazza, Paolo. Commonality on Euronext: Do Location and Account Type Matter?. In: International Review of Financial Analysis, Vol. 42, p. 183-198 (2015). http://hdl.handle.net/2078/165981

72. Bodart, Vincent; Candelon, Bertrand; Carpantier, Jean-François. Real exchanges rates, commodity prices and structural factors in developing countries. In: Journal of International Money and Finance : theoretical and empirical research in international economics and finance, Vol. 51, p. 264-284 (March 2015). doi:10.1016/j.jimonfin.2014.11.021. http://hdl.handle.net/2078.1/159260

73. Petitjean, Mikael. Les sept familles de l'ISR. In: B NQ Quarterly, Vol. 2015, no. Octobre, p. 26 (2015). http://hdl.handle.net/2078.1/166382

74. Boudt, Kris; Petitjean, Mikael. Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks. In: Journal of Financial Markets, Vol. 17, no.1, p. 121-149 (2014). doi:10.1016/j.finmar.2013.05.004. http://hdl.handle.net/2078.1/143093

75. Dewachter, Hans; Iania, Leonardo; Lyrio, Marco. Information in the yield curve: A macro-finance approach. In: Journal of Applied Econometrics, Vol. 29, no. 1, p. 42-64 (2014). doi:10.1002/jae.2305. http://hdl.handle.net/2078.1/159484

76. De Winne, Rudy; Platten, Isabelle; Gresse, Carole. Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index. In: International Review of Financial Analysis, Vol. 34, p. 31-43 (2014). doi:10.1016/j.irfa.2014.04.003. http://hdl.handle.net/2078.1/159507

77. Petitjean, Mikael. Testing the profitability of contrarian trading strategies based on the overreaction hypothesis. In: Bankers, Markets & Investors, Vol. 2014, no.133, p. 4-10 (Nov-Dec 2014). http://hdl.handle.net/2078.1/152863

78. Godart, Camille; Petitjean, Mikael. De la médiocrité des conseils d’investissement de Test-Achats invest sur actions individuelles. In: Brussels Economic Review, Vol. 57, no. 3, p. 1-28 (2014). http://hdl.handle.net/2078.1/166322

79. Caliman, Thibaut; D'Hondt, Catherine; Petitjean, Mikael. Determining an optimal multiplier in dynamic core-satellite strategies. In: The Journal of Asset Management, Vol. 14, no.4, p. 210-227 (2013). doi:10.1057/jam.2013.16. http://hdl.handle.net/2078.1/141841

80. Petitjean, Mikael. Bank failures and regulation: a critical review. In: Journal of Financial Regulation and Compliance, Vol. 21, no.1, p. 16-38 (2013). doi:10.1108/13581981311297803. http://hdl.handle.net/2078.1/136068

81. Gilson, Nathalie; Labondance, Fabien. Synchronisation des chocs d'offre et de demande en Europe : un après euro ou une après crises des subprimes ?. In: L'actualité économique, Vol. 89, no. 3, p. 1-35 (septembre 2013). doi:10.7202/1025396ar. http://hdl.handle.net/2078.1/152572

82. Duvinage, Matthieu; Mazza, Paolo; Petitjean, Mikael. The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks. In: Quantitative Finance, Vol. 13, no.7, p. 1059-1070 (2013). doi:10.1080/14697688.2013.768774. http://hdl.handle.net/2078.1/136070

83. Vrins, Frédéric; Hofert, Marius. Sibuya copulas. In: Journal of Multivariate Analysis, Vol. 114, p. 318-337 (2013). doi:10.1016/j.jmva.2012.08.007. http://hdl.handle.net/2078.1/150979

84. Dewachter, Hans; Iania, Leonardo. An Extended Macro-Finance Model with Financial Factors. In: Journal of Financial and Quantitative Analysis, Vol. 46, no. 6, p. 1893-1916. http://hdl.handle.net/2078/117795

Conference Papers

1. Bellotti, Anthony; Brigo, Damiano; Gambetti, Paolo; Vrins, Frédéric. Forecasting recovery rates on non-performing loans with machine learning. 2019 xxx. http://hdl.handle.net/2078.1/218695

2. D'Hondt, Catherine. MiFID questionnaires, financial advice and investor behavior. 2019 xxx. http://hdl.handle.net/2078.1/214487

3. Degryse, Hans; De Winne, Rudy; Gresse, Carole; Payne, Richard. Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity. 2019 xxx. http://hdl.handle.net/2078.1/218090

4. Nathan Lassance; Frédéric Vrins. Portfolio selection with higher-order moments: A target-distribution approach. 2019 xxx. http://hdl.handle.net/2078.1/216561

5. Mbaye, Cheikh; Vrins, Frédéric. Fitting default intensity models to market curves: a time change approach. 2019 xxx. http://hdl.handle.net/2078.1/217900

6. Lassance, Nathan; DeMiguel, Victor; Vrins, Frédéric. Optimal portfolio diversification via independent component analysis. 2019 xxx. http://hdl.handle.net/2078.1/213724

7. Degryse, Hans; De Winne, Rudy; Gresse, Carole; Payne, Richard. Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity. 2018 xxx. http://hdl.handle.net/2078.1/203826

8. D'Hondt, Catherine. De l’homo economicus à l’homo sapiens : enjeux et perspectives pour la finance. 2018 xxx. http://hdl.handle.net/2078.1/211354

9. Desagre, Christophe; D'Hondt, Catherine; Petitjean, Mikael. Liquidity and the rise of fast trading on Euronext. 2018 xxx. http://hdl.handle.net/2078.1/203288

10. Desagre, Christophe; D'Hondt, Catherine. Googlization and retail investment decisions. 2018 xxx. http://hdl.handle.net/2078.1/203287

11. Desagre, Christophe; D'Hondt, Catherine; Petitjean, Mikael. Liquidity and the rise of fast trading on Euronext. 2018 xxx. http://hdl.handle.net/2078.1/203290

12. D'Hondt, Catherine. L’impact de la psychologie sur les décisions des investisseurs. 2018 xxx. http://hdl.handle.net/2078.1/211351

13. Degryse, Hans; De Winne, Rudy; Gresse, Carole; Payne, Richard. Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity. 2018 xxx. http://hdl.handle.net/2078.1/203764

14. Desagre, Christophe; D'Hondt, Catherine. Googlization and retail investment decisions. 2018 xxx. http://hdl.handle.net/2078.1/203291

15. Desagre, Christophe; D'Hondt, Catherine. Googlization and retail investment decisions. 2018 xxx. http://hdl.handle.net/2078.1/203276

16. Vrins, Frédéric. Wrong-way risk via change of measure : theory, implementation and performance analysis. 2018 xxx. http://hdl.handle.net/2078.1/196424

17. Lassance, Nathan; Vrins, Frédéric. Minimum Rényi Entropy Portfolios. 2018 xxx. http://hdl.handle.net/2078.1/196434

18. Vrins, Frédéric. A Dynamic Stochastic Recovery Rate Model With Applications to Credit Derivatives Pricing. 2018 xxx. http://hdl.handle.net/2078.1/196637

19. Lassance, Nathan; Vrins, Frédéric. Minimum Rényi Entropy Portfolios. 2018 xxx. http://hdl.handle.net/2078.1/198050

20. Lassance, Nathan; Vrins, Frédéric. Minimum Rényi Entropy Portfolios. 2018 xxx. http://hdl.handle.net/2078.1/196435

21. Lassance, Nathan; DeMiguel, Victor; Vrins, Frédéric. Optimal Portfolio Diversification via Independent Component Analysis. 2018 xxx. http://hdl.handle.net/2078.1/198049

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

2. Gambetti, Paolo; Gauthier, Geneviève; Vrins, Frédéric. Stochastic recovery rate: Impact of pricing measure's choice and financial consequences on single-name products. In: New Methods in Fixed Income Modeling , Springer International: USA, 2018, p. 181-203. 978-3-030-07008-3 / 978-3-319-95284-0. xxx xxx. http://hdl.handle.net/2078.1/196189

3. Vrins, Frédéric; Chevalier, Philippe. Jeu de hasard en Belgique: la modélisation mathématique au service de la transparence. In: Droit des jeux de hasard , Larcier, 2018, p. 199-215. 9782807906006. xxx xxx. http://hdl.handle.net/2078.1/196466

4. Mbaye, Cheikh; Pagès, Gilles; Vrins, Frédéric. An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDES. In: Numerical Analysis and its Applications (Lecture Notes in Computer Science; xxx), Springer: Cham, 2017, p. 482--491. 978-3-319-57099-0. xxx xxx. doi:10.1007/978-3-319-57099-0_54. http://hdl.handle.net/2078.1/184499

5. Brigo, Damiano; Hvolby, Thomas; Vrins, Frédéric. Wrong-way risk adjusted exposure: Analytical approximations for options in default intensity models. In: Innovations in Insurance, Risk- and Asset Management , Springer: Berlin, 2017. xxx xxx. http://hdl.handle.net/2078.1/190154

Working Papers

1. Mugrabi, Farah Daniela. Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets. 2023. 45 p. LIDAM Discussion Paper LFIN 2023/01. http://hdl.handle.net/2078.1/273269

2. Guimaraes Togeiro De Moura, Rubens. MultiATSM: An R Package for Arbitrage-free Multicountry Affine Term Structure of Interest Rates Models with Unspanned Macroeconomic Risk. 2022. 29 p. LIDAM Discussion Paper LFIN 2022/01. http://hdl.handle.net/2078.1/259119

3. Iania, Leonardo; Tretiakov, Pavel; Wouters, Rafael. The risk premium in New Keynesian DSGE models: the cost of inflation channel. 2022. 36 p. LIDAM Discussion Paper LFIN 2022/08. http://hdl.handle.net/2078.1/264654

4. Mbaye, Cheikh; Sagna, Abass; Vrins, Frédéric. A general firm-value model under partial information. 2022. 27 p. LIDAM Discussion Paper LFIN 2022/09. http://hdl.handle.net/2078.1/264657

5. Lassance, Nathan; Vanderveken, Rodolphe; Vrins, Frédéric. On the optimal combination of naive and mean-variance portfolio strategies. 2022. 86 p. LIDAM Discussion Paper LFIN 2022/06. http://hdl.handle.net/2078.1/263695

6. Candelon, Bertrand; Hasse, Jean-Baptiste. Testing for Causality between Climate Policies and Carbon Emissions Reduction. 2022. 15 p. LIDAM Discussion Paper LFIN 2022/05. http://hdl.handle.net/2078.1/262723

7. Iania, Leonardo; Algieri, Bernardina; Leccadito, Arturo. Forecasting total energy’s CO2 emissions. 2022. 58 p. LIDAM Discussion Paper LFIN 2022/03. http://hdl.handle.net/2078.1/260961

8. Roger, Patrick; D'Hondt, Catherine; Plotkina, Daria; Hoffmann, Arvid. Number 19: Another Victim of the COVID‐19 Pandemic?. 2022. 52 p. LIDAM Discussion Paper LFIN 2022/07. http://hdl.handle.net/2078.1/264121

9. Roccazzella, Francesco; Candelon, Bertrand. Should we care about ECB inflation expectations?. 2022. 49 p. LIDAM Discussion Paper LFIN 2022/04. http://hdl.handle.net/2078.1/261921

10. Hafner, Christian; Linton, Oliver; Wang, Linqi. Dynamic Autoregressive Liquidity (DArLiQ). 2022. 80 p. LIDAM Discussion Paper ISBA; LIDAM Discussion Paper LFIN 2022/09; 2022/02. http://hdl.handle.net/2078.1/259123

11. Leccadito, Arturo; Staino, Alessandro; Toscano, Pietro. A Novel Robust Method for Estimating the Covariance Matrix of Financial Returns with Applications to Risk Management. 2022. 38 p. LIDAM Discussion Paper LFIN 2022/11. http://hdl.handle.net/2078.1/267774

12. Belkhir, Mohamed; Ben Naceur, Sami; Candelon, Bertrand; Wijnandts, Jean-Charles. Macroprudential Policies, Economic Growth and Banking Crises. 2022. 56 p. LIDAM Discussion Paper LFIN 2022/10. http://hdl.handle.net/2078.1/267460

13. De Winne, Rudy; Luong, Nhung; Palan, Stefan. Retail Investors’ Disposition Effect and Order Choices. 2022. 45 p. LIDAM Discussion Paper LFIN 2022/12. http://hdl.handle.net/2078.1/262253

14. Özgür, Arslan-Ayaydin; Thewissen, James; Torsin, Wouter. Earnings Management Methods and CEO Political Affiliation. 2021. 48 p. LIDAM Discussion Paper LFIN 2021/17. http://hdl.handle.net/2078.1/258959

15. Henry, Elaine; Thewissen, James; Torsin, Wouter. International Earnings Announcements: Tone, Forward-looking Statements, and Informativeness. 2021. 46 p. LIDAM Discussion Paper LFIN 2021/16. http://hdl.handle.net/2078.1/258958

16. Pastwa, Anna M.; Shrestha, Prabal Man; Thewissen, James; Torsin, Wouter. Unpacking the black box of ICO white papers: a topic modeling approach. 2021. 58 p. LIDAM Discussion Paper LFIN 2021/18. http://hdl.handle.net/2078.1/258960

17. D'Hondt, Catherine; El Hichou El Maya, Younes; Petitjean, Mikael. Blaming or praising passive ETFs?. 2021. 31 p. LIDAM Discussion Paper LFIN 2021/08. http://hdl.handle.net/2078.1/249987

18. Barbagli, Matteo; Vrins, Frédéric. Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default. 2021. 40 p. LIDAM Discussion Paper LFIN 2021/09. http://hdl.handle.net/2078.1/250240

19. Vrins, Frédéric; Wang, Linqi. Asymmetric short-rate model without lower bound. 2021. 36 p. LIDAM Discussion Paper LFIN 2021/06. http://hdl.handle.net/2078.1/249984

20. Candelon, Bertrand; Guimaraes Togeiro De Moura, Rubens. A Multicountry Model of the Term Structures of Interest Rates with a GVAR. 2021. 43 p. LIDAM Discussion Paper LFIN 2021/07. http://hdl.handle.net/2078.1/249985

21. De Backer, Bruno; Dewachter, Hans; Iania, Leonardo. Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?. 2021. 22 p. LIDAM Discussion Paper LFIN 2021/02. http://hdl.handle.net/2078.1/243995

22. Lassance, Nathan; Vrins, Frédéric. Portfolio Selection: A Target-Distribution Approach. 2021. 52 p. LIDAM Discussion Paper LFIN 2021/05. http://hdl.handle.net/2078.1/249982

23. Babii, Adrii; Ghysels, Eric; Striaukas, Jonas. Machine Learning Time Series Regressions With an Application to Nowcasting. 2021. 32 p. LIDAM Discussion Paper LFIN 2021/04. http://hdl.handle.net/2078.1/245908

24. 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. 2021. 50 p. LIDAM Discussion Paper LFIN 2021/03. http://hdl.handle.net/2078.1/245285

25. D'Hondt, Catherine; De Winne, Rudy; Todorovic, Aleksandar. Target Returns and Negative Interest Rates. 2021. 29 p. LIDAM Discussion Paper LFIN 2021/11. http://hdl.handle.net/2078.1/253623

26. Beguin, Malo. Harmonization, Mutual Recognition or National Treatment: a Melitz approach. 2021. 34 p. LIDAM Discussion Paper LFIN 2021/10. http://hdl.handle.net/2078.1/253076

27. Lassance, Nathan. Maximizing the Out-of-Sample Sharpe Ratio. 2021. 48 p. LIDAM Discussion Paper LFIN 2021/13. http://hdl.handle.net/2078.1/255449

28. Herr, Donovan; Clausse, Emilien; Vrins, Frédéric. Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?. 2021. 24 p. LIDAM Discussion Paper LFIN 2021/12. http://hdl.handle.net/2078.1/254713

29. Candelon, Bertrand; Fuerst, Franz; Hasse, Jean-Baptiste. Diversification Potential in Real Estate Portfolios. 2021. 27 p. LIDAM Discussion Paper LFIN 2021/01. http://hdl.handle.net/2078.1/243938

30. DeMiguel, Victor; Lassance, Nathan; Vrins, Frédéric. Optimal portfolio diversification via independent component analysis. 2021. 56 p. LIDAM Discussion Paper LFIN 2021/14. http://hdl.handle.net/2078.1/256995

31. Candelon, Bertrand; Luisi, Angelo; Roccazzella, Francesco. Fragmentation in the European Monetary Union: Is it really over?. 2021. 49 p. LIDAM Discussion Paper LFIN 2021/15. http://hdl.handle.net/2078.1/257604

32. Bellotti, Anthony; Brigo, Damiano; Gambetti, Paolo; Vrins, Frédéric. Forecasting recovery rates on non-performing loans with machine learning. 2020. 36 p. LFIN Working Paper 2020/02. http://hdl.handle.net/2078.1/228115

33. Desagre, Christophe; D'Hondt, Catherine; Petitjean, Mikael. The rise of fast trading: Curse or blessing for liquidity?. 2020. xxx xxx. http://hdl.handle.net/2078.1/207321

34. Candelon, Bertrand; Luisi, Angelo. Testing for the Validity of W in GVAR models. 2020. 41 p. LFIN Working Paper 2020/09. http://hdl.handle.net/2078.1/235311

35. Corneille, Olivier; D'Hondt, Catherine; De Winne, Rudy; Efendic, Emir; Todorovic, Aleksandar. What leads people to tolerate negative interest rates on their savings?. 2020. 25 p. LFIN Working Paper 2020/05. http://hdl.handle.net/2078.1/228117

36. Gambetti, Paolo; Roccazzella, Francesco; Vrins, Frédéric. Meta-learning approaches for recovery rate prediction. 2020. 30 p. LFIN Working Paper 2020/07. http://hdl.handle.net/2078.1/229301

37. De Winne, Rudy. Measuring the disposition effect. 2020. 44 p. LFIN Working Paper 2020/01. http://hdl.handle.net/2078.1/227132

38. Lassance, Nathan; Vrins, Frédéric. Minimum Rényi entropy portfolios. 2019. 33 p. CORE Discussion Paper 2019/01. http://hdl.handle.net/2078.1/211168

39. D'Hondt, Catherine; De Winne, Rudy; Ghysels, Eric; Raymond, Steve. Artificial Intelligence Alter Egos: Who benefits from Robo-investing?. 2019. 75 p. xxx xxx. http://hdl.handle.net/2078.1/218092

40. Bellofatto, Anthony; Broihanne, Marie-Hélène; D'Hondt, Catherine. Appetite for information and trading behavior. 2019. 34 p. xxx xxx. http://hdl.handle.net/2078.1/211506

41. Mbaye, Cheikh; Vrins, Frédéric. Affine term-structure models: A time-changed approach with perfect fit to market curves. 2019. 55 p. LFIN Working Papers 2019/5. http://hdl.handle.net/2078.1/221793

42. Degryse, Hans; De Winne, Rudy; Gresse, Carole; Payne, Richard. Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity. 2019. xxx xxx. http://hdl.handle.net/2078.1/214852

43. Efendic, Emir; D'Hondt, Catherine; De Winne, Rudy; Corneille, Olivier. Negative interest rates may be more psychologically acceptable than assumed: Implications for savings. 2019. 27 p. xxx xxx. http://hdl.handle.net/2078.1/223229

44. Bereau, Sophie; Gnabo, Jean-Yves; VANHOMWEGEN, Henri. Making a difference: European mutual funds distinctiveness and peers' performance. 2019. 57 p. CORE Discussion Papers 2019/15. http://hdl.handle.net/2078/220658

45. Lassance, Nathan; Vrins, Frédéric. Robust portfolio selection using sparse estimation of comoment tensors. 2019. 25 p. LFIN Working Paper 2020/03. http://hdl.handle.net/2078.1/223396

46. Christophe Desagre; Catherine D'Hondt. Googlization and retail investors' trading activity. 2019. 39 p. LFIN Working Paper 2020/04. http://hdl.handle.net/2078.1/224597

47. Roccazzella, Francesco. Credit market frictions and rational agents' myopia: Modeling financial frictions and shock to expectations in a DSGE setting estimated on Slovenian data. 2019. 41 p. LFIN Working Papers 2019/4. http://hdl.handle.net/2078.1/221790

48. Candelon, Bertrand; Hasse, Jean-Baptiste; Lajaunie, Quentin. SRI: Truths and lies. 2018. 37 p. CORE Discussion Paper 2018/34. http://hdl.handle.net/2078.1/209797

49. Bellofatto, Anthony; D'Hondt, Catherine; De Winne, Rudy. Subjective Financial Literacy and Retail Investors' Behavior. 2018. xxx xxx. http://hdl.handle.net/2078.1/196459

50. Weber, Matthias; Striaukas, Jonas; Schumacher, Martin; Binder, Harald. Network constrained covariate coefficient and connection sign estimation. 2018. 20 p. CORE Discussion Paper 2018/18. http://hdl.handle.net/2078.1/200683

51. Desagre, Christophe; D'Hondt, Catherine. Googlization and retail investment decisions. 2018. 23 p. xxx xxx. http://hdl.handle.net/2078.1/196595

52. Petitjean, Mikael. Implicit transaction cost management using intraday price dynamics. 2018. 23 p. xxx xxx. http://hdl.handle.net/2078.1/196937

53. Petitjean, Mikael. What explains the success of reward-based crowdfunding campaigns as they unfold?. 2018. 8 p. xxx xxx. http://hdl.handle.net/2078.1/196938

54. Profeta, Christophe; Vrins, Frédéric. Piecewise constant martingales and lazy clocks. 2017. 18 p. CORE Discussion Paper 2017/31. http://hdl.handle.net/2078.1/190145

55. D'Hondt, Catherine; Mazza, Paolo; Majois, Christophe. Commonality on Euronext: Do Location and Account Type Matter?. 2014. xxx xxx. http://hdl.handle.net/2078.1/143315

56. Iania, Leonardo; Hans Dewachter; Marco Lyrio. Information in the yield curve: A Macro-Finance approach. 2014. National Bank of Belgium Working Paper No 254. http://hdl.handle.net/2078/144134

57. De Winne, Rudy; Gresse, Carole; Platten, Isabelle. Liquidity and Risk Sharing Benefits from the Introduction of an ETF. 2012. 46 p. xxx xxx. http://hdl.handle.net/2078/113736

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