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Content
2024
- 2024006 Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering
by Germain, Arnaud & Vrins, Frédéric
- 2024005 European option pricing with model constrained Gaussian process regressions
by Hainaut, Donatien & Vrins, Frédéric
- 2024004 Optimal Portfolio Size under Parameter Uncertainty
by Vanderveken, Rodolphe & Lassance, Nathan & Vrins, Frédéric
- 2024003 The Economic Value of Mean Squared Error: Evidence from Portfolio Selection
by Cai, Zhaokun & Cui, Zhenyu & Lassance, Nathan & Simaan, Majeed
- 2024002 The role of CDS spreads in explaining bond recovery rates
by Barbagli, Matteo & François, Pascal & Gauthier, Geneviève & Vrins, Frédéric
- 2024001 Calendar Effects on Returns, Volatility and Higher Moments: Evidence from Crypto Markets
by Algieri, Bernardina & Lawuobahsumo, Kokulo & Leccadito, Arturo
2023
- 2023007 Business cycle and realized losses in the consumer credit industry
by Distaso, Walter & Roccazzella, Francesco & Vrins, Frédéric
- 2023006 The distribution of sample mean-variance portfolio weights
by Kan, Raymond & Lassance, Nathan & Wang, Xiaolu
- 2023005 What Makes Econometric Ideas Popular: The Role of Connectivity
by Candelon, Bertrand & Joëts, Marc & Mignon, Valérie
- 2023004 Message in a Bottle: Forecasting wine prices
by Algieri, Bernardina & Iania, Leonardo & Leccadito, Arturo & Meloni, Giulia
- 2023003 Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia
by Boeckx, Jef & Iania, Leonardo & Wauters, Joris
- 2023002 Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries
by Iania, Leonardo & Lyrio, Marco & Nersisyan, Liana
- 2023001 Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets
by Mugrabi, Farah Daniela
2022
- 2022012 Retail Investors’ Disposition Effect and Order Choices
by De Winne, Rudy & Luong, Nhung & Palan, Stefan
- 2022011 A Novel Robust Method for Estimating the Covariance Matrix of Financial Returns with Applications to Risk Management
by Leccadito, Arturo & Staino, Alessandro & Toscano, Pietro
- 2022010 Macroprudential Policies, Economic Growth and Banking Crises
by Belkhir, Mohamed & Ben Naceur, Sami & Candelon, Bertrand & Wijnandts, Jean-Charles
- 2022009 A general firm value model under partial information
by Mbaye, Cheikh & Sagna, Abass & Vrins, Frédéric
- 2022008 The risk premium in New Keynesian DSGE models: the cost of inflation channel
by Iania, Leonardo & Tretiakov, Pavel & Wouters, Rafael
- 2022007 Number 19: Another Victim of the COVID‐19 Pandemic?
by Roger, Patrick & D’Hondt, Catherine & Plotkina, Daria & Hoffmann, Arvid
- 2022006 On the optimal combination of naive and mean-variance portfolio strategies
by Lassance, Nathan & Vanderveken, Rodolphe & Vrins, Frédéric
- 2022005 Testing for Causality between Climate Policies and Carbon Emissions Reduction
by Candelon, Bertrand & Hasse, Jean-Baptiste
- 2022004 Should we care about ECB inflation expectations?
by Roccazzella, Francesco & Candelon, Bertrand
- 2022003 Forecasting total energy’s CO2 emissions
by Iania, Leonardo & Algieri, Bernardina & Leccadito, Arturo
- 2022002 Dynamic Autoregressive Liquidity (DArLiQ)
by Hafner, Christian & Linton, Oliver & Wang, Linqi
- 2022001 MultiATSM: An R Package for Arbitrage-free Multicountry Affine Term Structure of Interest Rates Models with Unspanned Macroeconomic Risk
by Moura, Rubens
2021
- 2021018 Unpacking the black box of ICO white papers: a topic modeling approach
by Pastwa, Anna M. & Shrestha, Prabal & Thewissen, James & Torsin, Wouter
- 2021017 Earnings Management Methods and CEO Political Affiliation
by Özgür, Arslan-Ayaydin & Thewissen, James & Torsin, Wouter
- 2021016 International Earnings Announcements: Tone, Forward-looking Statements, and Informativeness
by Henry, Elaine & Thewissen, James & Torsin, Wouter
- 2021015 Fragmentation in the European Monetary Union: Is it really over?
by Candelon, Bertrand & Luisi , Angelo & Roccazzella, Francesco
- 2021014 Optimal Portfolio Diversification via Independent Component Analysis
by DeMiguel, Victor & Lassance, Nathan & Vrins, Frédéric
- 2021013 Maximizing the Out-of-Sample Sharpe Ratio
by Lassance, Nathan
- 2021012 Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?
by Herr, Donovan & Clausse, Emilien & Vrins, Frédéric
- 2021011 Target Returns and Negative Interest Rates
by D’Hondt, Catherine & De Winne, Rudy & Todorovic, Aleksandar
- 2021010 Harmonization, Mutual Recognition or National Treatment: a Melitz approach
by Beguin, Malo
- 2021009 Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default
by Barbagli, Matteo & Vrins, Frédéric
- 2021008 Blaming or praising passive ETFs?
by D’Hondt, Catherine & Elhichou Elmaya, Younes & Petitjean, Mikael
- 2021007 A Multicountry Model of the Term Structures of Interest Rates with a GVAR
by Candelon, Bertrand & Moura, Rubens
- 2021006 Asymmetric short-rate model without lower bound
by Vrins, Frédéric & Wang, Linqi
- 2021005 Portfolio Selection: A Target-Distribution Approach
by Lassance, Nathan & Vrins, Frédéric
- 2021004 Machine Learning Time Series Regressions With an Application to Nowcasting
by Babii, Andrii & Ghysels, Eric & Striaukas, Jonas
- 2021003 Do retail investors bite off more than they can chew? A close look at their return objectives
by D’Hondt, Catherine & De Winne, Rudy & Merli, Maxime
- 2021002 Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?
by De Backer, Bruno & Dewachter, Hans & Iania, Leonardo
- 2021001 Diversification Potential in Real Estate Portfolios
by Candelon, Bertrand & Fuerst, Franz & Hasse, Jean-Baptiste
2020
- 2020013 Retail Investing in Passive Exchange Traded Funds
by D'Hondt, Catherine & Elhichou Elmaya, Younes & Petitjean, Mikael
- 2020012 Does religiosity have an influence on the small and medium-sized enterprise managers’ will to use Islamic finance loans?
by Ridouan, Allaa
- 2020011 Are Belgian retail consumers considering Islamic finance loans solutions in function of their ethical profile? An opinion survey about the causality between ethical profiles and interest for those solutions
by Ridouan, Allaa
- 2020010 Bond Risk Premia in Emerging Markets: Evidence from Brazil, China, Mexico, and Russia
by Iania, Leonardo & Lyrio, Marco & Moura, Rubens
- 2020009 Testing for the Validity of W in GVAR models
by Candelon, Bertrand & Luisi, Angelo
- 2020008 Toward a macroprudential regulatory framework for mutual funds
by Argyropoulos, Christos & Candelon, Bertrand & Hasse, Jean-Baptiste & Panopoulou, Ekaterini
- 2020007 Meta-learning approaches for recovery rate prediction
by Gambetti, Paolo & Roccazzella, Francesco & Vrins, Frédéric
- 2020006 Optimal and robust combination of forecasts via constrained optimization and shrinkage
by Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric
- 2020005 What leads people to tolerate negative interest rates on their savings?
by Corneille, Olivier & D'Hondt, Catherine & De Winne, Rudy & Efendic, Emir & Todorovic, Aleksandar
- 2020004 Googlization and retail investors' trading activity
by Christophe Desagre & Catherine D'Hondt
- 2020003 Robust portfolio selection using sparse estimation of comoment tensors
by Lassance, Nathan & Vrins, Frédéric
- 2020002 Forecasting recovery rates on non-performing loans with machine learning
by Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric
- 2020001 Measuring the disposition effect
by De Winne, Rudy
2019
- 2019007 Robust portfolio selection using sparse estimation of comoment tensors
by Lassance, Nathan & Vrins, Frédéric
- 2019006 Negative interest rates may be more psychologically acceptable than assumed: Implications for savings
by Efendic, Emir & D'Hondt, Catherine & De Winne, Rudy & Corneille, Olivier
- 2019005 Affine term-structure models: A time-changed approach with perfect fit to market curves
by Mbaye, Cheikh & Vrins, Frédéric
- 2019004 Credit market frictions and rational agents' myopia: Modeling financial frictions and shock to expectations in a DSGE setting estimated on Slovenian data
by Roccazzella, Francesco
- 2019003 Minimum Rényi entropy portfolios
by Lassance, Nathan & Vrins, Frédéric
- 2019002 Appetite for information and trading behavior
by Bellofatto, Anthony & Broihanne, Marie-Hélène & D'Hondt, Catherine
- 2019001 Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity
by Degryse, Hans & De Winne, Rudy & Gresse, Carole & Payne, Richard
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