Latest published Articles

Journal Articles

1. Bocart, Fabian; Ghysels, Eric; Hafner, Christian. Monthly Art Market Returns. In: Journal of Risk and Financial Management, Vol. 13, no.5, p. 100 (2020). doi:10.3390/jrfm13050100.

2. Hafner, Christian. The Spread of the Covid-19 Pandemic in Time and Space. In: International Journal of Environmental Research and Public Health, Vol. 17, no.11, p. 3827 (2020). doi:10.3390/ijerph17113827.

3. Hafner, Christian; Linton, Oliver; Tang, Haihan. Estimation of a multiplicative correlation structure in the large dimensional case. In: Journal of Econometrics, Vol. 217, no.2, p. 431-470 (2020). doi:10.1016/j.jeconom.2019.12.012.

4. Hafner, Christian; Kyriakopoulou, Dimitra. Exponential-Type GARCH Models With Linear-in-Variance Risk Premium. In: Journal of Business & Economic Statistics, Vol. To appear. doi:10.1080/07350015.2019.1691564 (Accepté/Sous presse).

5. Hafner, Christian; Herwartz, Helmut; Maxand, Simone. Identification of structural multivariate GARCH models. In: Journal of Econometrics, Vol. To appear (2020). doi:10.1016/j.jeconom.2020.07.019 (Accepté/Sous presse).

6. Njike Leunga, Charles Guy; Hainaut, Donatien. Interbank credit risk modeling with self-exciting jump processes. In: International Journal of Theoretical and Applied Finance, Vol. 23, no.6, p. 2050039 (2020). doi:10.1142/s0219024920500399 (Accepté/Sous presse).

7. Denuit, Michel. Investing in your own and peers’ risks: the simple analytics of P2P insurance. In: European Actuarial Journal, Vol. 10, no.2, p. 335-359 (2020). doi:10.1007/s13385-020-00238-x.

8. Devolder, Pierre; Levantesi, Susanna; Menzietti, Massimiliano. Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system. In: Annals of Operations Research, Vol. To appear. doi:10.1007/s10479-020-03819-x (Accepté/Sous presse).

9. Segers, Johan. One- versus multi-component regular variation and extremes of Markov trees. In: Advances in Applied Probability, Vol. 52, no.3, p. 855-878 (2020). doi:10.1017/apr.2020.22.

10. Denuit, Michel; Lu, Yang. Wishart‐gamma random effects models with applications to nonlife insurance. In: Journal of Risk and Insurance, Vol. to appear, p. 39 (2020). doi:10.1111/jori.12327 (Accepté/Sous presse).

11. Denuit, Michel; Robert, Christian Y. Large-Loss Behavior of Conditional Mean Risk Sharing. In: ASTIN Bulletin, Vol. 50, no.3, p. 1093-1122 (2020). doi:10.1017/asb.2020.23.

12. Deelstra, Griselda; Devolder, Pierre; Gnameho, Kossi; Hieber, Peter. VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD. In: ASTIN Bulletin, Vol. 50, no.3, p. 709-742 (2020). doi:10.1017/asb.2020.25.

13. Devolder, Pierre. Une alternative à la pension à points : le compte individuel pension en euros. In: Regards économiques, Vol. 150, no.septembre, p. 1-10 (2019).

14. Zeddouk, Fadoua; Devolder, Pierre. Mean reversion in stochastic mortality: why and how?. In: European Actuarial Journal, (2020). (Accepté/Sous presse).

15. Ngugnie Diffouo, Pauline; Devolder, Pierre. Longevity Risk Measurement of Life Annuity Products. In: Risks, Vol. 8, no.1, p. 31 (2020). doi:10.3390/risks8010031.

16. Devolder, Pierre; de Valeriola, Sébastien. Between DB and DC: optimal hybrid PAYG pension schemes. In: European Actuarial Journal, Vol. 2, p. 463-482 (2019).

17. Pechon, Florian; Trufin, Julien; Denuit, Michel. Preliminary selection of risk factors in P&C ratemaking. In: Variance : advancing the science of risk, Vol. 13, no.1, p. 124-14 (2020).

18. Féraud, Baptiste; Martineau, Estelle; Leenders, Justine; Govaerts, Bernadette; de Tullio, Pascal; Giraudeau, Patrick. Combining rapid 2D NMR experiments with novel pre-processing workflows and MIC quality measures for metabolomics. In: Metabolomics, Vol. 16, no.4 (2020). doi:10.1007/s11306-020-01662-6.

19. Martin, Manon; Govaerts, Bernadette. LiMM‐PCA: Combining ASCA+ and linear mixed models to analyse high‐dimensional designed data. In: Journal of Chemometrics, Vol. 34, no.6 (2020). doi:10.1002/cem.3232.

20. De Backer, Mickaël; El Ghouch, Anouar; Van Keilegom, Ingrid. Linear Censored Quantile Regression: A Novel Minimum‐Distance Approach. In: Scandinavian Journal of Statistics,. doi:10.1111/sjos.12475 (Accepté/Sous presse).

21. Hainaut, Donatien; Denuit, Michel. Wavelet-based feature extraction for mortality projection. In: ASTIN Bulletin, Vol. 50, no. 3, p. 675-707 (2020). doi:10.1017/asb.2020.18.

22. Hainaut, Donatien. Fractional Hawkes processes. In: Physica A: Statistical Mechanics and its Applications, Vol. 549, p. 124330 (2020). doi:10.1016/j.physa.2020.124330 (Accepté/Sous presse).

23. Simar, Léopold; Wilson, Paul. Hypothesis Testing in Nonparametric Models of Production using Multiple Sample Splits. In: Journal of Productivity Analysis,. (Accepté/Sous presse).

24. Daouia, Abdelaati; Florens, Jean-Pierre; Simar, Léopold. Robustified expected maximum production frontiers. In: Econometric Theory, Vol. to appear. (Accepté/Sous presse).

25. Simar, Léopold; Zelenyuk, Valentin. Improving Finite Sample Approximation by Central Limit Theorems for DEA and FDH efficiency scores. In: European Journal of Operational Research, Vol. to appear. (Accepté/Sous presse).

26. Pircalabelu, Eugen; Claeskens, Gerda. Community-Based Group Graphical Lasso. In: Journal of Machine Learning Research, Vol. to appear. (Accepté/Sous presse).

27. Hainaut, Donatien; Leonenko, Nikolai. Option pricing in illiquid markets: a fractional jump-diffusion approach. In: journal of computational and applied mathematics, Vol. 381 (1/1/2021).

28. Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano; von Sachs, Rainer. Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. In: The Journal of Econometrics, Vol. to appear, no. to appear, p. to appear (2020). doi:10.1016/j.jeconom.2020.07.004 (Accepté/Sous presse).

29. Schokkaert, Erik; Devolder, Pierre; Hindriks, Jean; Vandenbroucke, Frank. Towards an equitable and sustainable points system. A proposal for pension reform in Belgium. In: Journal of Pension Economics and Finance, Vol. 19, no. 1, p. 49-79 (2020). doi:10.1017/s1474747218000112.

Book Chapters

1. Wunsch, Guillaume; Mouchart, Michel; Russo, Federica. La modélisation en sciences sociales : incertitudes et défis. In: Modèles : prévoir, comprendre, expliquer, interpréter, reproduire, trahir (Mémoires; xxx), Académie Royale de Belgique: Bruxelles, 2020, p. 165-183. 978-2-8031-0718-6.

2. Govaerts, Bernadette; Francq, Bernard G.; Marion, Rebecca; Martin, Manon; Thiel, Michel. The Essentials on Linear Regression, ANOVA, General Linear and Linear Mixed Models for the Chemist. In: Comprehensive Chemometrics, Chemical and Biochemical Data Analysis , Elsevier, 2020, p. 431-463. 9780444641663. doi:10.1016/b978-0-12-409547-2.14579-2.

3. Mastromarco, Camilla; Simar, Léopold; Wilson, Paul. Nonparametric Statistical Analysis of Production. In: The Palgrave Handbook of Economic Performance Analysis , Springer International Publishing, 2020, p. 301-381. 978-3-030-23726-4. doi:10.1007/978-3-030-23727-1.