LIDAM Publications in Finance

Journal Articles

1. Kan, Raymond; Lassance, Nathan; Wang, Xiaolu. The distribution of sample mean-variance portfolio weights. In: Random Matrices: Theory and Applications, (2024). (Accepté/Sous presse). http://hdl.handle.net/2078.1/281110

2. D'Hondt, Catherine; Roger, Patrick; Hoffmann, Arvid; Plotkina, Daria. Is There a Gender Gap in the Birthday‐Number Effect? The Case of Lotto Players and the Role of Sequential Choice. In: Journal of Gambling Studies, (2024). doi:10.1007/s10899-024-10288-5 (Accepté/Sous presse). http://hdl.handle.net/2078.1/286537

3. D'Hondt, Catherine; De Winne, Rudy; Todorovic, Aleksandar. Target return as efficient driver of risk-taking. In: Review of Behavioral Finance, Vol. 16, no. 1, p. 130-166 (2024). doi:10.1108/RBF-09-2022-0216. http://hdl.handle.net/2078.1/277792

4. Hafner, Christian; Wang, Linqi. Dynamic portfolio selection with sector-specific regularization. In: Econometrics and Statistics, (2024). doi:10.1016/j.ecosta.2022.01.001 (Accepté/Sous presse). http://hdl.handle.net/2078.1/258976

5. 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

6. 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

7. Lassance, Nathan; Vrins, Frédéric. Portfolio Selection: A Target-Distribution Approach. In: European Journal of Operational Research, Vol. 310, no. 1, p. 302-314 (2023). doi:10.1016/j.ejor.2023.02.014. http://hdl.handle.net/2078.1/272598

8. Lassance, Nathan; Martín-Utrera, Alberto; Simaan, Majeed. The Risk of Expected Utility under Parameter Uncertainty. In: Management Science, (2023). (Accepté/Sous presse). http://hdl.handle.net/2078.1/277406

9. Roger, Patrick; D'Hondt, Catherine; Plotkina, Daria; Hoffmann, Arvid. Number 19: Another Victim of the COVID‐19 Pandemic?. In: Journal of Gambling Studies (Online), Vol. 39, no. 3, p. 1417–1450 (2023). doi:10.1007/s10899-022-10145-3. http://hdl.handle.net/2078.1/264109

10. Lassance, Nathan; Vanderveken, Rodolphe; Vrins, Frédéric. On the Combination of Naive and Mean-Variance Portfolio Strategies. In: Journal of Business and Economic Statistics, (2023). (Accepté/Sous presse). http://hdl.handle.net/2078.1/277691

11. 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

12. 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

13. 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

14. 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

15. 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

16. Duterme, Tom. Bloomberg and the GameStop saga: the fear of stock market democracy. In: Economy and Society, Vol. 52, no. 3, p. 373-398 (2023). Louvain Papers on Democracy & Society 80. doi:10.1080/03085147.2023.2189819. http://hdl.handle.net/2078.1/253145

17. Candelon, Bertrand; Moura, Rubens. Sovereign yield curves and the COVID-19 in emerging markets. In: Economic Modelling, Vol. 127, p. 106453 (2023). doi:10.1016/j.econmod.2023.106453. http://hdl.handle.net/2078.1/277351

18. Boulier, Jean-François; D'Hondt, Catherine; Jawadi, Fredj; Prat, Georges; Rozin, Philippe; Taffler, Richard. How Do Investor’s Expectations and Emotions Drive Financial Asset Prices in Times of Crises and Uncertainty: The Analysis of Experts’ Opinions. In: Bankers, Markets & Investors, Vol. 2023/4, no.175, p. 3-12 (2023). http://hdl.handle.net/2078.1/285123

19. Barbagli, Matteo; Vrins, Frédéric. Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework. In: Economic Modelling, Vol. 125, p. 106321 (2023). doi:10.1016/j.econmod.2023.106321. http://hdl.handle.net/2078.1/275625

20. Hafner, Christian; Wang, Linqi. A dynamic conditional score model for the log correlation matrix. In: Journal of Econometrics, Vol. 237, no. 2, part B, p. 105176 (2023). doi:10.1016/j.jeconom.2021.09.004. http://hdl.handle.net/2078.1/258975

21. Iania, Leonardo; Tretiakov, Pavel; Wouters, Rafael. The risk premium in New Keynesian DSGE models: The cost of inflation channel. In: Journal of Economic Dynamics and Control, Vol. 155, p. 104732 (2023). doi:10.1016/j.jedc.2023.104732. http://hdl.handle.net/2078.1/277693

22. 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

23. 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

24. 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

25. 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

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