1. UCL Home
  2. Research institutes
  3. Louvain Institute of Data Analysis and modeling in...
  4. Louvain Finance
  5. Publications
  6. Published Papers

Published Papers

2018

  • Brigo, Damiano and Vrins, Frédéric. Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. In: European Journal of Operational Research, Vol. 269, p. 1154-1164 (2018). doi: 10.1016/j.ejor.2018.03.015. http://hdl.handle.net/2078.1/196286

  • Brogaard, Jonathan; Carrion, Allen; Moyaert, Thibaut; Riordan, Ryan; Shkilko, Andriy; Sokolov, Konstantin. High frequency trading and extreme price movements. In: Journal of Financial Economics, Vol. 128(2), p. 253-265 (2018). doi: 10.1016/j.jfineco.2018.02.002. http://hdl.handle.net/2078.1/197005

  • Jeanblanc, Monique and Vrins, Frédéric. Conic martingales from Stochastic integrals. In: Mathematical Finance, Vol. 28(2), p. 516-535 (2018). doi: 10.1111/mafi.12147. http://hdl.handle.net/2078.1/176590

  • Lassance, Nathan and Vrins, Frédéric. A Comparison of Pricing and Hedging Performances of Equity Derivatives Models. In: Applied Economics, Vol. 50(10), p. 1122-1137 (2018). doi:10.1080/00036846.2017.1352080 http://hdl.handle.net/2078.1/186376

2017

  • De Winne, Rudy and D'Hondt, Catherine. La finance comportementale: enjeux et perspectives. In: Regards économiques, Vol. 30(131), p. 1-10 (March 2017). http://hdl.handle.net/2078.1/186116

  • D'Hondt, Catherine and Detollenaere, Benoît. Identifying Expensive Trades by Monitoring the Limit Order Book. In: Journal of Forecasting, Vol. 36, p. 273-290 (2017).  doi: 10.1002/for.2422. http://hdl.handle.net/2078.1/143317

  • Vrins, Frédéric. Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics. In: International Journal of Theoretical and Applied Finance, Vol. 20(7), 1750045 (Nov. 2017). http://hdl.handle.net/2078.1/187277

2016

  • Petitjean, Mikael. On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios. In: Economic Modelling, Vol. 54(1), p. 67-81 (April 2016). doi:10.1016/j.econmod.2015.12.016. http://hdl.handle.net/2078.1/171607

  • Vrins, Frédéric. Characteristic Function of Time-Inhomogeneous Lévy-Driven Ornstein-Uhlenbeck Processes. In: Statistics & Probability Letters, Vol. 116 (2016), p. 55-61 (14/05/2016). doi:10.1016/j.spl.2016.04.013. http://hdl.handle.net/2078.1/173975

2015

  • Dewachter, Hans; Iania, Leonardo; Lyrio, Marco and Perea, Maite de Sola. A macro-financial analysis of the euro area sovereign bond market. In: Journal of Banking & Finance, 50, 308-325 (2015). doi:10.1016/j.jbankfin.2014.03.011. http://hdl.handle.net/2078/144133

  • D'Hondt, Catherine; Majois, Christophe and Mazza, Paolo. Commonality on Euronext: Do Location and Account Type Matter? In: International Review of Financial Analysis, Vol. 42, p. 183-198 (2015). http://hdl.handle.net/2078/165981

  • Petitjean, Mikael. How integrated is the European carbon derivatives market? In: Finance Research Letters, Vol. 15(1), p. 18-30 (Nov. 2015). doi:10.1016/j.frl.2015.07.005. http://hdl.handle.net/2078.1/171606

  • Petitjean, Mikael. Les sept familles de l'ISR. In: B NQ Quaterly, Vol. 2015, p. 26 (15/10/2015). http://hdl.handle.net/2078.1/166382

2014

  • Boudt, Kris and Petitjean, Mikael. Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks. In: Journal of Financial Markets, Vol. 17(1), p. 121-149 (2014). doi:10.1016/j.finmar.2013.05.004. http://hdl.handle.net/2078.1/143093

  • Dewachter, Hans ; Iania, Leonardo and Lyrio, Marco. Information in the yield curve: A macro-finance approach. In: Journal of Applied Econometrics, Vol. 29(1), p. 42-64 (2014). doi:10.1002/jae.2305. http://hdl.handle.net/2078.1/159484

  • De Winne, Rudy ; Gresse, Carole and Platten, Isabelle. Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index. In: International Review of Financial Analysis, Vol. 34, p. 31-43 (2014). doi:10.1016/j.irfa.2014.04.003. http://hdl.handle.net/2078.1/159507

  • Godart, Camille and Petitjean, Mikael. De la médiocrité des conseils d’investissement de Test-Achats invest sur actions individuelles. In: Brussels Economic Review, Vol. 57(3), p. 1-28 (Autumn 2014).
    http://hdl.handle.net/2078.1/166322

  • Liu, Qiang ; Vekemans, Katrien ; Leonardo, Iania ; Komuta, Mina ; Parkkinen, Jaakko ; Heedfeld, Veerle ; Wylin, Tine ; Monbaliu, Diethard ; Pirenne, Jacques and van Pelt, Jos. Assessing warm ischemic injury of pig livers at hypothermic machine perfusion. In: Journal of Surgical Research, Vol. 186(1), p. 379-389 (January 2014). http://hdl.handle.net/2078.1/152866

  • Petitjean, Mikael. Testing the profitability of contrarian trading strategies based on the overreaction hypothesis. In: Bankers, Markets & Investors, Vol. 2014(133), p. 4-10 (Nov-Dec. 2014). http://hdl.handle.net/2078.1/152863

2013

  • Caliman, Thibaut ; D'Hondt, Catherine and Petitjean, Mikael. Determining an optimal multiplier in dynamic core-satellite strategies. In: The Journal of Asset Management, Vol. 14(4), p. 210-227 (2013). doi:10.1057/jam.2013.16. http://hdl.handle.net/2078.1/141841

  • Petitjean, Mikael. Bank failures and regulation: a critical review. In: Journal of Financial Regulation and Compliance, Vol. 21(1), p. 16-38 (2013). doi:10.1108/13581981311297803. http://hdl.handle.net/2078.1/136068

  • Gilson, Nathalie and Labondance, Fabien. Synchronisation des chocs d'offre et de demande en Europe : un après euro ou une après crises des subprimes ? In: L'actualité économique, Vol. 89(3), p. 1-35 (Sept. 2013). doi:10.7202/1025396ar. http://hdl.handle.net/2078.1/152572

  • Duvinage, Matthieu ; Mazza, Paolo and Petitjean, Mikael. The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks. In: Quantitative Finance, Vol. 13(7), p. 1059-1070 (2013). doi:10.1080/14697688.2013.768774. http://hdl.handle.net/2078.1/136070

  • Hofert, Marius and Vrins, Frédéric. Sibuya copulas. In: Journal of Multivariate Analysis, Vol. 114, p. 318-337 (February 2013). doi:10.1016/j.jmva.2012.08.007. http://hdl.handle.net/2078.1/150979

2011

  • Dewachter, Hans and Iania, Leonardo. An extended macro-finance model with financial factors. In: Journal of Financial and Quantitative Analysis, Vol. 46(6), p. 1893-1916 (2013). http://hdl.handle.net/2078/117795