DP Archives

2023 / 07
Walter Distaso, Francesco Roccazzella, Frédéric Vrins
Business cycle and realized losses in the consumer credit industry

2023 / 06
Raymond Kan, Nathan Lassance, Xiaolu Wang
The distribution of sample mean-variance portfolio weights

2023 / 05
Bertrand Candelon, Marc Joëts, Valérie Mignon
What Makes Econometric Ideas Popular: The Role of Connectivity

2023 / 04
Bernardina Algieri, Leonardo Iania, Arturo Leccadito, Giulia Meloni
Message in a Bottle: Forecasting wine prices

2023 / 03
Jef Boeckx, Leonardo Iania, Joris Wauters
Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia

2023 / 02
Leonardo Iania, Marco Lyrio, Liana Nersisyan
Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries

2023 / 01
Farah Daniela Mugrabi
Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets

2022 / 12
Rudy De Winne, Nhung Luong, Stefan Palan
Retail Investors’ Disposition Effect and Order Choices

2022 / 11
Arturo Leccadito, Alessandro Staino, Pietro Toscano
A Novel Robust Method for Estimating the Covariance Matrix of Financial Returns with Applications to Risk Management

2022 / 10
Mohamed Belkhir, Sami Ben Naceur, Bertrand Candelon, Jean-Charles Wijnandts
Macroprudential Policies, Economic Growth and Banking Crises

2022 / 09
Cheikh Mbaye, Abass Sagna, Frédéric Vrins
A general firm value model under partial information

2022 / 08
Leonardo Iania, Pavel Tretiakov, Rafael Wouters
The risk premium in New Keynesian DSGE models: the cost of inflation channel

2022 / 07
Patrick Roger, Catherine D’Hondt, Daria Plotkina, Arvid Hoffmann
Number 19: Another Victim of the COVID‐19 Pandemic?

2022 / 06
Nathan Lassance, Rodolphe Vanderveken, Frédéric Vrins
On the optimal combination of naive and mean-variance portfolio strategies

2022 / 05
Bertrand Candelon, Jean-Baptiste Hasse
Testing for Causality between Climate Policies and Carbon Emissions Reduction

2022 / 04
Francesco Roccazzella, Bertrand Candelon
Should we care about ECB inflation expectations?

2022 / 03
Leonardo Iania, Bernardina Algieri, Arturo Leccadito
Forecasting total energy’s CO2 emissions

2022 / 02
Christian Hafner, Oliver Linton, Linqi Wang
Dynamic Autoregressive Liquidity (DArLiQ)

2022 / 01
Rubens Moura
MultiATSM: An R Package for Arbitrage-free Multicountry Affine Term Structure of Interest Rates Models with Unspanned Macroeconomic Risk

2021 / 18
Anna M. Pastwa, Prabal Shrestha, James Thewissen, Wouter Torsin
Unpacking the black box of ICO white papers: a topic modeling approach

2021 / 17
Arslan-Ayaydin Özgür, James Thewissen, Wouter Torsin
Earnings Management Methods and CEO Political Affiliation

2021 / 16
Elaine Henry, James Thewissen, Wouter Torsin
International Earnings Announcements: Tone, Forward-looking Statements, and Informativeness

2021 / 15
Bertrand Candelon, Angelo  Luisi , Francesco Roccazzella
Fragmentation in the European Monetary Union: Is it really over?

2021 / 14
Victor DeMiguel, Nathan Lassance, Frédéric Vrins
Optimal Portfolio Diversification via Independent Component Analysis

2021 / 13
Nathan Lassance
Maximizing the Out-of-Sample Sharpe Ratio

2021 / 12
Donovan Herr, Emilien Clausse, Frédéric Vrins
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?

2021 / 11
Catherine D’Hondt, Rudy De Winne, Aleksandar Todorovic
Target Returns and Negative Interest Rates

2021 / 10
Malo Beguin
Harmonization, Mutual Recognition or National Treatment: a Melitz approach

2021 / 09
Matteo Barbagli, Frédéric Vrins
Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default

2021 / 08
Catherine D’Hondt, Younes Elhichou Elmaya, Mikael Petitjean
Blaming or praising passive ETFs?

2021 / 07
Bertrand Candelon, Rubens Moura
A Multicountry Model of the Term Structures of Interest Rates with a GVAR

2021 / 06
Frédéric Vrins, Linqi Wang
Asymmetric short-rate model without lower bound

2021 / 05
Nathan Lassance, Frédéric Vrins
Portfolio Selection: A Target-Distribution Approach

2021 / 04
Andrii Babii, Eric Ghysels, Jonas Striaukas
Machine Learning Time Series Regressions With an Application to Nowcasting

2021 / 03
Catherine D’Hondt, Rudy De Winne, Maxime Merli
Do retail investors bite off more than they can chew? A close look at their return objectives

2021 / 02
Bruno De Backer, Hans Dewachter, Leonardo Iania
Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?

2021 / 01
Bertrand Candelon, Franz Fuerst, Jean-Baptiste Hasse
Diversification Potential in Real Estate Portfolios

• LFIN Working Paper 2020/13
  Catherine D'hondt, Younes El Hichou El Maya, Mikael Petitjean
  Retail Investing in passive Exchange Traded Funds
  http://hdl.handle.net/2078.1/237026

• LFIN Working Paper 2020/12
  Allaa Ridouan
  Does religiosity have an influence on the small and medium-sized enterprise managers’ will to use Islamic finance loans?
  http://hdl.handle.net/2078.1/235621

• LFIN Working Paper 2020/11
  Allaa Ridouan
  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
  http://hdl.handle.net/2078.1/235618

• LFIN Working Paper 2020/10
  Leonardo Iania, Marco Lyrio, Rubens Moura
  Bond Risk Premia in Emerging Markets: Evidence from Brazil, China, Mexico, and Russia
  http://hdl.handle.net/2078.1/235575

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

• LFIN Working Paper 2020/08
  Christos Argyropoulos, Bertrand Candelon, Jean-Baptiste Hasse and Ekaterini Panopoulou
  Toward a macroprudential regulatory framework for mutual funds
  http://hdl.handle.net/2078.1/229724

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

• LFIN Working Paper 2020/06
  Francesco Roccazzella, Paolo Gambetti and Frédéric Vrins
  Optimal and robust combination of forecasts via constrained optimization and shrinkage
  http://hdl.handle.net/2078.1/229061

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

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

• LFIN Working Paper 2020/03
  Nathan Lassance and Frédéric Vrins
  Robust portfolio selection using sparse estimation of comoment tensors
  http://hdl.handle.net/2078.1/223396

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

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

• LFIN Working Paper 2019/07
  Nathan Lassance and Frédéric Vrins
  Robust portfolio selection using sparse estimation of comoment tensors.
  http://hdl.handle.net/2078.1/223396

• LFIN Working Paper 2019/06
  Emir Efendic, Catherine D'Hondt, Rudy De Winne and Olivier Corneille
  Negative interest rates may be more psychologically acceptable than assumed: Implications for saving
  http://hdl.handle.net/2078.1/223229

• LFIN Working Paper 2019/05
  Mbaye, Cheikh; Vrins, Frédéric
  Affine term-structure models: A time-changed approach with perfect fit to market curves.
  http://hdl.handle.net/2078.1/221793

• LFIN Working Paper 2019/04
  Francesco Roccazzella
  Credit market frictions and rational agents' myopia: Modeling financial frictions and shock to expectations in a DSGE setting estimated on Solvenian data.
  http://hdl.handle.net/2078.1/221790

• LFIN Working Paper 2019/03
  Lassance Nathan and Vrins Frédéric
  Minimum Rényi entropy portfolios.  
  http://hdl.handle.net/2078.1/211168

• LFIN Working Paper 2019/02
  Bellofatto, Anthony; Brohanne Marie-Hélène; D'Hondt Catherine
  Appetite for information and trading behavior.
  http://hdl.handle.net/2078.1/211506

• LFIN Working Paper 2019/01
  Degryse, Hans; De Winne, Rudy; Gresse, Carole; Payne, Richard
  Cross-venue liquidity provision: High frequency trading and Ghost liquidity.
  http://hdl.handle.net/2078.1/214852

• Bellofatto, Anthony; D'Hondt, Catherine and De Winne, Rudy.
  Subjective financial literacy and retail investors' behavior.
  http://hdl.handle.net/2078.1/196459

• Corneille, Olivier; De Winne, Rudy and D'Hondt, Catherine.
  The disposition effect does not survive disclosure of expected price trends.
  http://hdl.handle.net/2078.1/196594

• Desagre, Christophe and D'Hondt Catherine.
  Googlization and retail investment decisions.
  http://hdl.handle.net/2078.1/196595

• Desagre, Christophe ; D'Hondt, Catherine ; Petitjean, Mikael.
  Rise of the machines on stock exchanges: curse or blessing?
  http://hdl.handle.net/2078.1/207321

• Petitjean, Mikael.
  Implicit transaction cost management using intraday price dynamics.
  http://hdl.handle.net/2078.1/196937

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

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

• Bellofatto, Anthony.
  Appetite for Information in Mandatory Profiling of Individual Investors.
  http://hdl.handle.net/2078/175952

• Bellofatto, Anthony ; D'Hondt, Catherine and De Winne, Rudy.
  Financial literacy and informativeness of the MiFID Tests.
  http://hdl.handle.net/2078.1/191095

• Bellofatto, Anthony.
  How does language impact foreign investing in a multilingual country?
  http://hdl.handle.net/2078.1/191091

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

• D'Hondt, Catherine and Moyaert, Thibaut.
  Detecting and Forecasting High Volume Price Impact in the Stock Market.
  http://hdl.handle.net/2078.1/143316

• Brigo, Damiano ; Jeanblanc, Monique and Vrins, Frédéric.
  SDEs with Uniform Distributions : Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions.
  (CORE Discussion Paper 2016/46)
  http://hdl.handle.net/2078.1/179270

• Petitjean, Mikael and Vrins, Frédéric.
  Win or Lose for Life ? Regards croisés sur les jeux de hasard et les produits structurés.
  (ILSM 2016/18)
  http://hdl.handle.net/2078.1/196193

• Vrins, Frédéric and Jeanblanc, Monique.
  The Φ-Martingale
  (CORE DP; 2015/22)
  http://hdl.handle.net/2078.1/160916

• Bellofatto, Anthony ; D'Hondt, Catherine and De Winne, Rudy.
  To what extent can MiFID tests be informative?
  http://hdl.handle.net/2078/166051

• Bellofatto, Anthony ; De Winne, Rudy and D'Hondt, Catherine.
  Beyond the disposition effect: Evidence from the 1999-2012 period.
  http://hdl.handle.net/2078/167544

• D'Hondt, Catherine ; Mazza, Paolo and  Majois, Christophe.
  Commonality on Euronext: Do location and account type matter?
  http://hdl.handle.net/2078.1/143315

• Petitjean, Mikael and Villard, Geoffroy.
  How integrated is the European carbon derivatives market?
  http://hdl.handle.net/2078.1/144137

• Iania, Leonardo.
  Information in the yield curve: A Mmacro-finance approach.
  (National Bank of Belgium Working Paper No 254)
  http://hdl.handle.net/2078/144134