LIDAM Publications 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. http://hdl.handle.net/2078.1/273898

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

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

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. 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). http://hdl.handle.net/2078.1/258976

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). http://hdl.handle.net/2078.1/258975

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

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

9. 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

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

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. http://hdl.handle.net/2078.1/253145

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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