Area 2: Financial Market Failures and Regulation

AuthorTitle (w Links)Title of JournalDate
LOISEL OlivierPegging the interest rate on bank reserves: A resolution of New Keynesian puzzles and paradoxesJournal of Monetary Economics2021
EFING MatthiasReaching for Yield in the ABS Market: Evidence from German Bank InvestmentsReview of Finance2020
FRANCQ ChristianCOUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERSEconometric Theory2020
FRANCQ ChristianTesting the existence of moments for GARCH processesJournal of Econometrics2020
FRANCQ ChristianVirtual Historical Simulation for estimating the conditional VaR of large portfoliosJournal of Econometrics2020
GROMB DenisControlling Sellers Who Provide Advice: Regulation and CompetitionThe Journal of Industrial Economics2020
GROMB DenisThe paradox of pledgeabilityJournal of Financial Economics2020
HOMBERT JohanCan Innovation Help U.S. Manufacturing Firms Escape Import Competition from China?The Journal of Finance2020
KRAFT PepaEffect of Mandatory IFRS Adoption on Accounting-Based Prediction Models for CDS SpreadsEuropean Accounting Review2020
LANDIER AugustinBanks’ exposure to interest rate risk and the transmission of monetary policyJournal of Monetary Economics2020
LANGLOIS HuguesFactors and Risk Premia in Individual International Stock ReturnsJournal of Financial Economics
2020
LANGLOIS HuguesHow is Liquidity Priced in Global Markets?Review of Financial Studies
2020
LANGLOIS HuguesMeasuring skewness premiaJournal of Financial Economics2020
LANGLOIS HuguesA New Benchmark for Dynamic Mean-Variance Portfolio AllocationsHEC Paris Research Paper2020
LOU YunDebt heterogeneity and covenantsManagement Science2020
ROSU IonidOption Prices and the Probability of Success of Cash MergersThe Journal of Financial Econometrics2021
SPAENJERS ChristopheArt as an asset: Evidence from Keynes the collectorReview of Asset Pricing Studies2020
TROLLE AndersMarket Structure and Transaction Costs of Index CDSsThe Journal of Finance2020
VIOLANTE FrancescoPricing individual stock options using both stock and market index informationJournal of Banking & Finance2020
VIOLANTE FrancescoVariance swap payoffs, risk premia and extreme market conditionsEconometrics and Statistics2020
VIOLANTE FrancescoDynamics of variance risk premia: A new model for disentangling the price of riskJournal of Econometrics2017
VUILLEMEY GuillaumeThe value of central clearingJournal of Finance2020
VUILLEMEY GuillaumeThe failure of a clearinghouse: Empirical evidenceReview of Finance2020
COLLIARD Jean-EdouardOptimal supervisory architecture and financial integration in a banking unionReview of Finance2020
CAPKUN VedranDebt-Equity Conflict and the Incidence of Secured CreditThe Journal of Law and Economics2019
COLLIARD Jean-EdouardInventory Management, Dealers' Connections, and Prices in OTC MarketsJournal of Finance2021
COLLIARD Jean-EdouardAsset Dissemination Through Dealer MarketsManagement Science2021
COLLIARD Jean-EdouardMultinational Banks and Supranational Supervision Review of Financial Studies2019
COLLIARD Jean-EdouardStrategic Selection of Risk Models and Bank Capital RegulationManagement Science2019
FERMANIAN Jean-DavidHigh-dimensional penalized arch processesEconometric Reviews2020
FERMANIAN Jean-DavidAbout Kendall's regressionJournal of Multivariate Analysis2020
FERMANIAN Jean-DavidDYNAMIC ASSET CORRELATIONS BASED ON VINESEconometric Theory2019
FOUCAULT ThierryCorporate Strategy, Conformism, and the Stock MarketReview of Financial Studies2019
FRANCQ ChristianQML INFERENCE FOR VOLATILITY MODELS WITH COVARIATESEconometric Theory2019
HURLIN ChristopheMachine Learning et nouvelles sources de données pour le scoring de créditRevue d'économie financière2019
LANDIER AugustinSticky Expectations and the Profitability AnomalyJournal of Finance2019
PERIGNON ChristophePitfalls in systemic-risk scoringJournal of Financial Intermediation2019
ROSU IoanidCash Mergers and the Volatility SmileJournal of Financial Econometrics2019
ROSU IoanidFast and slow informed tradingJournal of Financial Markets2019
SCHMIDT DanielDistracted Institutional InvestorsJournal of Financial and Quantitative Analysis2019
VUILLEMEY GuillaumeBank Interest Rate Risk ManagementManagement Science2019
CAPKUN VedranThe Effects of IFRS Adoption on Observed Earnings Smoothness Properties: The Confounding Effects of Changes in Timely Gain and Loss RecognitionEuropean Accounting Review2018
DERRIEN FrançoisThe Effects of Investment Bank Rankings: Evidence from M&A League TablesReview of Finance2018
FERMANIAN Jean-David Multi-factor Granularity Adjustments for Market and Counterparty RisksJournal of Risk2018
FOUCAULT ThierryData abundance and asset price informativenessJournal of Financial Economics2018
FRANCQ ChristianEstimation risk for the VaR of portfolios driven by semi-parametric multivariate modelsJournal of Econometrics2018
FRANCQ ChristianAn Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA RepresentationJournal of Financial Econometrics2018
GROMB DenisFinancing Capacity Investment Under Demand Uncertainty: An Optimal Contracting ApproachManufacturing & Service Operations Management2018
GROMB DenisThe Dynamics of Financially Constrained ArbitrageJournal of Finance2018
HOMBERT JohanCan Innovation Help U.S. Manufacturing Firms Escape Import Competition from China?Journal of Finance2018
LOVO StefanoZero-sum revision gamesGames and Economic Behavior2018
LOVO StefanoBelief-free price formationJournal of Financial Economics2018
LOVO StefanoA Model of Trading in the Art MarketAmerican Economic Review2018
OTTO ClemensMarking to Market and Inefficient Investment DecisionsManagement Science2018
PEIJNENBURG KimLife-Cycle Asset Allocation with Ambiguity Aversion and LearningJournal of Financial and Quantitative Analysis2018
PERIGNON ChristopheWholesale Funding Dry-UpsJournal of Finance2018
SPAENJERS ChristopheA Model of Trading in the Art MarketAmerican Economic Review2018
PICARD PierreInsurance law and incomplete contractsThe RAND Journal of Economics2020