LIDAM Publications in Finance

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

Journal Articles

1. Vrins, Frédéric. SVB, Crédit Suisse,. au suivant ?. In: Regards économiques, Vol. Focus, no. 30 (2023). doi:10.14428/regardseco2023.03.30.01.

2. 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.

3. 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).

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).

5. Hafner, Christian; Wang, Linqi. Dynamic portfolio selection with sector-specific regularization. In: Econometrics and Statistics, (2023). doi:10.1016/j.ecosta.2022.01.001 (Accepté/Sous presse).

6. Hafner, Christian; Wang, Linqi. A dynamic conditional score model for the log correlation matrix. In: Journal of Econometrics, (2023). doi:10.1016/j.jeconom.2021.09.004 (Accepté/Sous presse).

7. 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.

8. 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).

9. Candelon, Bertrand; Hasse, Jean-Baptiste. Testing for Causality between Climate Policies and Carbon Emissions Reduction. In: Finance Research Letters, (2023). (Accepté/Sous presse).

10. 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).

11. Duterme, Tom. Bloomberg and the GameStop saga: the fear of stock market democracy. In: Economy and Society, (2023). Louvain Papers on Democracy & Society 80. doi:10.1080/03085147.2023.2189819.

12. 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.

13. 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.

14. 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).

15. 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.

16. 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/

17. 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.

18. 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.

19. 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.

20. 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/

21. 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).

22. 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.

23. 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).

24. 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).

25. 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.

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.