Area 2: Financial Market Failures and Regulation


Author Title (w Links) Journal Date
Jean-David FERMANIAN On the stationarity of dynamic conditional correlation models Econometric Theory 2017
Jean-David FERMANIAN Multifactor granularity adjustments for market and counterparty risks Journal of Risk 2018
Caroline HILLAIRET Optimal Contract with Moral Hazard for Public Private Partnerships Stochastics : An international Journal of Probability and Stochastic Processes. 2017
Jean-Pierre PONSSARD Output-based allocations in pollution markets with uncertainty and self-selection Journal of Environmental Economics and Management 2017
Jean-Pierre PONSSARD Using output-based allocations to manage volatility in pollution permit markets Energy Economics 2017
Jean-Edouard COLLIARD Catching Falling Knives: Speculating on Liquidity Shocks Management Science 2017
Jean-Edouard COLLIARD Financial Transaction Taxes, Market Composition, and Liquidity Journal of Finance 2017
Jean-Edouard COLLIARD Where the Risks Lie: A Survey on Systemic Risk Review of Finance 2016
François DERRIEN Systemic Risk in Clearing Houses:  Evidence from the European Repo Market Journal of Financial Economics 2017
Thierry FOUCAULT Toxic Arbitrage Review of Financial Studies 2017
Johan HOMBERT The Real Effects of Lending Relationships on Innovative Firms and Inventor Mobility Review of Financial Studies 2017
Stefano LOVO No-trade in second-price auctions with entry costs and secret reserve prices Economics Letters 2017
Christophe PERIGNON The Political Economy of Financial Innovation: Evidence from Local Governments Review of Financial Studies 2017
Christophe PERIGNON CoMargin Journal of Financial and Quantitative Analysis 2017
Hervé STOLOWY Letter from the Editor: Why Are Papers Desk Rejected at European Accounting Review? (note) European Accounting Review 2017
Hervé STOLOWY Media bias and the persistence of the expectation gap: An analysis of press articles on corporate fraud Journal of Business Ethics 2017
David THESMAR Housing Collateral and Entrepreneurship Journal of Finance 2017
Denis GROMB Financing Capacity Investment Under Demand Uncertainty: An Optimal Contracting Approach Manufacturing & Service Operations Management 2018
Stefano LOVO Belief-free price formation Journal of Financial Economics 2018
Stefano LOVO A Model of Trading in the Art Market American Economic Review 2018
Christophe PERIGNON Wholesale Funding Dry-Ups Journal of Finance 2018
Vedran CAPKUN The Effects of IFRS Adoption on Observed Earnings Smoothing Properties: The Confounding Effects of Changes in TimelyGain and Loss Recognition European Accounting Review 2018
Jean-Edouard COLLIARD Strategic Selection of Risk Models and Bank Capital Regulation Management Science 2019
François DERRIEN The effects of investment bank rankings: Evidence from M&A league tables Review of Finance 2018
Thierry FOUCAULT Corporate Strategy, Conformism, and the Stock Market Review of Financial Studies 2019
Thierry FOUCAULT Data abundance and asset price informativeness Journal of Financial Economics 2018
Denis GROMB The Dynamics of Financially Constrained Arbitrage Journal of Finance 2018
Johan HOMBERT Can Innovation Help U.S. Manufacturing Firms Escape Import Competition from China? Journal of Finance 2018
Augustin LANDIER Banking Deregulation and The Rise in House Price Comovement Journal of Financial Economics 2017
Augustin LANDIER Sticky Expectations and the Profitability Anomaly Journal of Finance 2019
Stefano LOVO Zero-sum revision games Games and Economic Behavior 2018
Clemens OTTO Marking to Market and Inefficient Investment Decisions Management Science 2018
Kim PEIJNENBURG Life-Cycle Asset Allocation with Ambiguity Aversion and Learning Journal of Financial and Quantitative Analysis 2018
Christophe PERIGNON Pitfalls in Systemic-Risk Scoring Journal of Financial Intermediation 2019
Daniel SCHMIDT Distracted Institutional Investors Journal of Financial and Quantitative Analysis 2019
Guillaume VUILLEMEY Bank Interest Rate Risk Management Management Science 2019
Bruno BOUCHARD Arbitrage and duality in nondominated discrete-time models Annals of Applied Probability 2015
Jean-Noël BARROT Input Specificity and the Propagation of Idiosyncratic Shocks in Production Networks Quarterly Journal of Economics 2016
Bruno BOUCHARD A Backward Dual Representation for the Quantile Hedging of Bermudan Options SIAM Journal of  Financial Mathematics 2016
Bruno BOUCHARD Stochastic target games with controlled loss Annals of Applied Probability 2014
Bruno BOUCHARD BSDEs with weak terminal condition Annals of Probability 2015
Bruno BOUCHARD Consistent price systems under model uncertainty Finance and Stochastics 2016
Bruno BOUCHARD Hedging Under an Expected Loss Constraint with Small Transaction Costs SIAM Journal of  Financial Mathematics 2017
Bruno BOUCHARD Almost-sure hedging with permanent price impact Finance and Stochastics 2016
Christian FRANCQ An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation Journal of Financial Econometrics 2018
Christian FRANCQ Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels Annals of Economics and Statistics 2016
Christian FRANCQ Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models Journal of Econometrics 2018
Christian FRANCQ Variance Targeting Estimation of Multivariate GARCH Models Journal of Financial Econometrics 2016
Christian FRANCQ Goodness-of-fit tests for Log-GARCH and EGARCH models Test 2018
Arnaud DUFAYS Infinite-State Markov-Switching for Dynamic Volatility Journal of Financial Econometrics 2016
Arnaud DUFAYS Autoregressive Moving Average Infinite Hidden Markov-Switching Models Journal of Business, Economics and Statistics 2017