LIDAM Discussion Papers LFIN

From Université catholique de Louvain, Louvain Finance (LFIN)
Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium).
Contact information at EDIRC.
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2024006: Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering: Arnaud Germain and Frédéric Vrins
2024005: European option pricing with model constrained Gaussian process regressions: Donatien Hainaut and Frédéric Vrins
2024004: Optimal Portfolio Size under Parameter Uncertainty: Rodolphe Vanderveken, Nathan Lassance and Frédéric Vrins
2024003: The Economic Value of Mean Squared Error: Evidence from Portfolio Selection: Zhaokun Cai, Zhenyu Cui, Nathan Lassance and Majeed Simaan
2024002: The role of CDS spreads in explaining bond recovery rates: Matteo Barbagli, Pascal François, Geneviève Gauthier and Frédéric Vrins
2024001: Calendar Effects on Returns, Volatility and Higher Moments: Evidence from Crypto Markets: Bernardina Algieri, Kokulo Lawuobahsumo and Arturo Leccadito
2023007: Business cycle and realized losses in the consumer credit industry: Walter Distaso, Francesco Roccazzella and Frédéric Vrins
2023006: The distribution of sample mean-variance portfolio weights: Raymond Kan, Nathan Lassance and Xiaolu Wang
2023005: What Makes Econometric Ideas Popular: The Role of Connectivity: Bertrand Candelon, Marc Joëts and Valérie Mignon
2023004: Message in a Bottle: Forecasting wine prices: Bernardina Algieri, Leonardo Iania, Arturo Leccadito and Giulia Meloni
2023003: Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia: Jef Boeckx, Leonardo Iania and Joris Wauters
2023002: Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries: Leonardo Iania, Marco Lyrio and Liana Nersisyan
2023001: Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets: Farah Daniela Mugrabi
2022012: Retail Investors’ Disposition Effect and Order Choices: Rudy De Winne, Nhung Luong and Stefan Palan
2022011: A Novel Robust Method for Estimating the Covariance Matrix of Financial Returns with Applications to Risk Management: Arturo Leccadito, Alessandro Staino and Pietro Toscano
2022010: Macroprudential Policies, Economic Growth and Banking Crises: Mohamed Belkhir, Sami Ben Naceur, Bertrand Candelon and Jean-Charles Wijnandts
2022009: A general firm value model under partial information: Cheikh Mbaye, Abass Sagna and Frédéric Vrins
2022008: The risk premium in New Keynesian DSGE models: the cost of inflation channel: Leonardo Iania, Pavel Tretiakov and Raf Wouters
2022007: Number 19: Another Victim of the COVID‐19 Pandemic?: Patrick Roger, D’Hondt, Catherine, Daria Plotkina and Arvid Hoffmann
2022006: On the optimal combination of naive and mean-variance portfolio strategies: Nathan Lassance, Rodolphe Vanderveken and Frédéric Vrins
2022005: Testing for Causality between Climate Policies and Carbon Emissions Reduction: Bertrand Candelon and Jean-Baptiste Hasse
2022004: Should we care about ECB inflation expectations?: Francesco Roccazzella and Bertrand Candelon
2022003: Forecasting total energy’s CO2 emissions: Leonardo Iania, Bernardina Algieri and Arturo Leccadito
2022002: Dynamic Autoregressive Liquidity (DArLiQ): Christian Hafner, Oliver Linton and Linqi Wang
2022001: MultiATSM: An R Package for Arbitrage-free Multicountry Affine Term Structure of Interest Rates Models with Unspanned Macroeconomic Risk: Rubens Moura
2021018: Unpacking the black box of ICO white papers: a topic modeling approach: Anna Pastwa, Prabal Shrestha, James Thewissen and Wouter Torsin
2021017: Earnings Management Methods and CEO Political Affiliation: Özgür Arslan-Ayaydin, James Thewissen and Wouter Torsin
2021016: International Earnings Announcements: Tone, Forward-looking Statements, and Informativeness: Elaine Henry, James Thewissen and Wouter Torsin
2021015: Fragmentation in the European Monetary Union: Is it really over?: Bertrand Candelon, Angelo Luisi and Francesco Roccazzella
2021014: Optimal Portfolio Diversification via Independent Component Analysis: Victor DeMiguel, Nathan Lassance and Frédéric Vrins
2021013: Maximizing the Out-of-Sample Sharpe Ratio: Nathan Lassance
2021012: Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?: Donovan Herr, Emilien Clausse and Frédéric Vrins
2021011: Target Returns and Negative Interest Rates: D’Hondt, Catherine, Rudy De Winne and Aleksandar Todorovic
2021010: Harmonization, Mutual Recognition or National Treatment: a Melitz approach: Malo Beguin
2021009: Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default: Matteo Barbagli and Frédéric Vrins
2021008: Blaming or praising passive ETFs?: D’Hondt, Catherine, Younes Elhichou Elmaya and Mikael Petitjean
2021007: A Multicountry Model of the Term Structures of Interest Rates with a GVAR: Bertrand Candelon and Rubens Moura
2021006: Asymmetric short-rate model without lower bound: Frédéric Vrins and Linqi Wang
2021005: Portfolio Selection: A Target-Distribution Approach: Nathan Lassance and Frédéric Vrins
2021004: Machine Learning Time Series Regressions With an Application to Nowcasting: Andrii Babii, Eric Ghysels and Jonas Striaukas
2021003: Do retail investors bite off more than they can chew? A close look at their return objectives: D’Hondt, Catherine, Rudy De Winne and Maxime Merli
2021002: Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?: Bruno De Backer, Hans Dewachter and Leonardo Iania
2021001: Diversification Potential in Real Estate Portfolios: Bertrand Candelon, Franz Fuerst and Jean-Baptiste Hasse
2020013: Retail Investing in Passive Exchange Traded Funds: Catherine D'Hondt, Younes Elhichou Elmaya and Mikael Petitjean
2020012: Does religiosity have an influence on the small and medium-sized enterprise managers’ will to use Islamic finance loans?: Allaa Ridouan
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: Allaa Ridouan
2020010: Bond Risk Premia in Emerging Markets: Evidence from Brazil, China, Mexico, and Russia: Leonardo Iania, Marco Lyrio and Rubens Moura
2020009: Testing for the Validity of W in GVAR models: Bertrand Candelon and Angelo Luisi
2020008: Toward a macroprudential regulatory framework for mutual funds: Christos Argyropoulos, Bertrand Candelon, Jean-Baptiste Hasse and Ekaterini Panopoulou
2020007: Meta-learning approaches for recovery rate prediction: Paolo Gambetti, Francesco Roccazzella and Frédéric Vrins
2020006: Optimal and robust combination of forecasts via constrained optimization and shrinkage: Francesco Roccazzella, Paolo Gambetti and Frédéric Vrins
2020005: What leads people to tolerate negative interest rates on their savings?: Olivier Corneille, Catherine D'Hondt, Rudy De Winne, Emir Efendic and Aleksandar Todorovic
2020004: Googlization and retail investors' trading activity: Christophe Desagre and Catherine D'Hondt
2020003: Robust portfolio selection using sparse estimation of comoment tensors: Nathan Lassance and Frédéric Vrins
2020002: Forecasting recovery rates on non-performing loans with machine learning: Anthony Bellotti, Damiano Brigo, Paolo Gambetti and Frédéric Vrins
2020001: Measuring the disposition effect: Rudy De Winne
2019007: Robust portfolio selection using sparse estimation of comoment tensors: Nathan Lassance and Frédéric Vrins
2019006: Negative interest rates may be more psychologically acceptable than assumed: Implications for savings: Emir Efendic, Catherine D'Hondt, Rudy De Winne and Olivier Corneille
2019005: Affine term-structure models: A time-changed approach with perfect fit to market curves: Cheikh Mbaye and Frédéric Vrins
2019004: Credit market frictions and rational agents' myopia: Modeling financial frictions and shock to expectations in a DSGE setting estimated on Slovenian data: Francesco Roccazzella
2019003: Minimum Rényi entropy portfolios: Nathan Lassance and Frédéric Vrins
2019002: Appetite for information and trading behavior: Anthony Bellofatto, Marie-Hélène Broihanne and Catherine D'Hondt
2019001: Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity: Hans Degryse, Rudy De Winne, Carole Gresse and Richard Payne