Vous trouverez ci-dessous les publications des membres du LabEx ReFi dans des Revues à comité de lecture

Contact:

Hamza El Khalloufi, PhD LabEx ReFi

<hamza.el-khalloufi@labex-refi.com>

Publications 2018

In progress

LabEx Member(s) Title and publication details                                 Journal CNRS HCERES 2018 Link
Kahalé Nabil Kahalé Nabil (2018) Efficient simulation of high dimensional Gaussian vectors. Mathematics of Operations Research. Mathematics of Operations Research 1 A Paper
Bruneau Catherine Bruneau C., Flageolet A., Peng G., Economic and Financial Risk Factors, Copula Dependence and Risk Sensitivity of Large sets of Multiclass Assets à paraître dans Annals of Operational Research, 2018. ANNALS OF OPERATIONS RESEARCH 2 A
Bruneau Catherine; Arnould Guillaume Bruneau C., Arnould G., Peng G., Liquidity and equity short-term fragility: stress tests for the European banking system, Journal of Banking and Finance, 2018. Journal of Banking and Finance 2 A
Troege Michael Roe, M. J., & Troge, M. (Labex Refi) (2018). Containing Systemic Risk by Taxing Banks Properly. Yale Journal on Regulation, 35, 181. Yale Journal on Regulation 3 B Paper
Guégan Dominique Guégan D., Bitcoin:from history to real life, Bankers, Markets and Investors, 151, 2018 BANKERS, MARKETS & INVESTORS (Formerly: Banque & Marchés) 4 B
Guégan Dominique Guégan D., Alternattives to the Bitcoin blockchain, Bankers, Markets and Investors, 152, 2018 BANKERS, MARKETS & INVESTORS (Formerly: Banque & Marchés) 4 B
Souchaud Antoine Berkowitz, H., Souchaud, A., (2018)  » Stratégies de conquête d’un nouvel espace de marché : la structuration du crowdlending », Gérer et Comprendre. GERER ET COMPRENDRE 4 B Paper
Bruneau Catherine Bruneau C., Cherfouh S., Modelling the Asymmetric Behavior of Property Yelds : evidence from the UK office market, Journal of Property research, 35 (21), January 2018. Journal of Property research na na
Fouquau Julien Bessec, M. and Fouquau J. (Labex Refi) Short-run electricity load forecasting with combinations of stationary wavelet transforms European, Journal of Operational Research, 264 (2018) 149–164, Journal of Operational Research na na
Guégan Dominique Addo, P. & Guégan, D. & Hassani, B., Credit Risk Analysis Using Machine and Deep Learning Models, Risks, 6(2), 38, 2018. Risks na na
Guégan Dominique; Hassani Bertrand Guégan, D. & Hassani, B., Regulatory learning: How to supervise machine learning models? An application to credit scoring, Journal of Finance and Data Science, 4(3), 2018 Journal of Finance and Data Science na na
Hassani Bertrand Mitic, P & Hassani, B, Shapley allocation, diversification and services in operational risk, Journal of Operational Risk, 13(1) 2018. Journal of Operational Risk na na
Hassani Bertrand Hassani, B. & Renaudin, A., The Cascade Bayesian Approach: Prior Transformation for a Controlled Integration of Internal Data, External Data and Scenarios, Risks, 6(2), 47, 2018 Risks na na
Havrylchyk Olena Havrylchyk O., Verdier M., The financial intermediation role of the P2P lending platforms, with M. Verdier, Comparative Economic Systems 60 (1), 115-130, 2018. Comparative Economic Systems na na Paper
Publications 2017
LabEx Member(s) Title and publication details Journal CNRS HCERES 2018
Capelle-Blancard Gunther Capelle-Blancard G. (Labex Refi) and O. Havrylchyk  (Labex Refi), Incidence of bank levy and market power, Review of Finance, 21(3), 1023-1046, 2017. Review of Finance 1 A
Fouquau Julien Bessec, M., and Fouquau, J. (Labex Refi). Short-run electricity load forecasting with combinations of stationary wavelet transforms, European Journal of Operational Research, 2017 European Journal of Operational Research 1 A
Fouquau Julien Fouquau, J. (Labex Refi), Portes, R. and A. L. Delatte (2017), Regime-Dependent Sovereign Risk Pricing during the Euro Crisis, Review of finance, 21(1), 363-385. Review of Finance 1 A
Gaspar Sérgio Oleg Chuprinin, Sérgio Gaspar, Massimo Massa, Adjusting to the Information Environment: News Tangibility and Mutual Fund Performance, Management Science Management Science 1 A
Kahalé Nabil Kahalé Nabil (2017) Superreplication of Financial Derivatives via Convex Programming. Management Science 63(7): 2323-2339. Management Science 1 A
Moretti Luigi Galavotti S. , L. Moretti (Labex Refi) & P. Valbonesi (2017), « Sophisticated Bidders in Beauty-Contest Auctions », American Economic Journal: Microeconomics, 2017 American Economic Journal: Microeconomics 1 A
Billio Monica Billio M. (Labex Refi), R. Casarin and A. Osuntuyi (2017), Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets, Energy Economics, 2017 Energy Economics 2 A
Billio Monica Billio M. (Labex Refi) , Donadelli M., Paradiso A. and Riedel M. (2017), Which Market Integration Measure? Journal of Banking and Finance, 76, 150–174. Journal of Banking and Finance 2 A
Capelle-Blancard Gunther Capelle-Blancard G. (Labex Refi) & A. Petit, 2017, Every Little Helps? ESG news disclosure and stock market reaction, Journal of Business Ethics. Journal of Business Ethics 2 A
De Peretti Philippe Mattson, R. S., and de Peretti, P. (Labex Refi) (2017), Testing for weak separability using stochastic semi-nonparametric tests : An empirical study on US data. Macroeconomic Dynamics, 1-25, 2017 Macroeconomic Dynamics 2 A
Garel Alexandre Garel, Alexandre (2017), « Myopic market pricing and managerial myopia. » Journal of Business Finance & Accounting (2017). Journal of Business Finance and Accounting 2 A
Garel Alexandre Garel, A. (2017), When Ownership Structure Matters: A Review Of The Effects Of Investor Horizon On Corporate Policies. Journal of Economic Surveys, 31(4), 1062-1094, 2017 Journal of Economic Surveys 2 A
Garel Alexandre and  Petit-Romec Arthur Garel Alexandre (Labex ReFi) and Petit-Romec Arthur (Labex ReFi) (2017), « Bank capital in the crisis: It’s not just how much you have but who provides it », Journal of Banking and Finance, volume 75, Pages 152–166 Journal of Banking and Finance 2 A
Gatfaoui Hayette Gatfaoui H. (2017), Equity Market Information and Credit Risk Signaling: A Quantile Cointegrating Regression Approach., Economic Modelling, 2017, vol. 64, 48-59. Economic Modelling 2 A
Moretti Luigi Coviello D., L. Moretti (Labex Refi), G. Spagnolo & P. Valbonesi (2017), « Court Efficiency and Procurement Performance », Scandinavian Journal of Economics, 2017 Scandinavian Journal of Economics 2 A
Renault Thomas Renault, T. (2017). Intraday online investor sentiment and return patterns in the US stock market. Journal of Banking & Finance, 84, 25-40. Journal of Banking and Finance 2 A
Renault Thomas Picault, M., & Renault, T. (Labex Refi) (2017). Words are not all created equal: A new measure of ECB communication. Journal of International Money and Finance, 79, 136-156. Journal of International Money and Finance 2 A
Troege Michael Amir, R., Jin, J. Y., and Tröge, M. (Labex Refi) (2017), Free Trade versus Autarky under Asymmetric Cournot Oligopoly. Review of International Economics, 25(1), 98-107, 2017 Review of International Economics 2 A
Veryzhenko Iryna Veryzhenko, I., Harb, E., Louhichi, W., & Oriol, N. (2017). The impact of the French financial transaction tax on HFT activities and market quality. Economic Modelling, 67, 307-315. Economic Modelling 2 A
Veryzhenko Iryna L. Arena, N. Oriol (Labex Refi), I. Veryzhenko (Labex Refi) (2017), « Too Fast, Too Furious ? Trading algorithmique et instabilite des marches financiers », Systemes d’Information et Management, 2017 SYSTEMES D’INFORMATION ET MANAGEMENT 2 A
Biondi Yuri Biondi, Y. (Labex Refi), & Sierra, M. (2017). Pension management between financialization and intergenerational solidarity: a socio-economic analysis and a comprehensive model. Socio-Economic Review, mwx015. Socio-Economic Review 3 B
Capelle-Blancard Gunther Capelle-Blancard G. (Labex Refi) and A. Petit, The weighting of CSR dimensions: one size does not fit all, Business & Society, 56, 919-943, 2017. Business and Society 3 B
Capelle-Blancard Gunther Capelle-Blancard G. , Curbing the growth of stock trading? Order-to-trade ratios and financial transaction tax, Journal of International Financial Markets, Institutions & Money, 49, 48-73, 2017. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY 3 B
Hentati Kaffel Rania Affes, Z. and Hentati-Kaffel, R. (Labex Refi). Predicting US Banks Bankruptcy: Logit Versus Canonical Discriminant Analysis, Computational Economics , pp 1–46, 2017 Computational Economics 3 B
Martin-Flores Jose, Moussu Christophe Jose, M. F. (Labex Refi), & Christophe, M. (Labex Refi) (2017), Is Bank Capital Sensitive to a Tax Allowance on Marginal Equity?. European Financial Management. 2017 European Financial Management 3 B
Peters G. Peters G., R. Targino, M.V. Wuthrich, Full Bayesian analysis of claims reserving uncertainty, Insurance Mathematics and economics, 2017 INSURANCE: MATHEMATICS AND ECONOMICS 3 A
Zhao Lei Zhao, L (2017), Market‐based estimates of implicit government guarantees in European financial institutions. European Financial Management, 2017 European Financial Management 3 B
Bancel Frank Bancel F. (Labex Refi) and Salé L. (Labex Refi), Why do banks hold cash?, Bankers Markets & Investors 146, 4-20, 2017. BANKERS, MARKETS & INVESTORS (Formerly: Banque & Marchés) 4 B
Biondi Yuri Biondi, Y. (Labex Refi), & Righi, S. (2017). Much ado about making money: the impact of disclosure, news and rumors on the formation of security market prices over time. Journal of Economic Interaction and Coordination, 1-30. Journal of Economic Interaction and Coordination 4 C
Biondi Yuri, Graeff Imke Biondi, Y. (Labex Refi) & Graeff, I. (Labex Refi) (2017). Rethinking bank shareholder equity: The case of Deutsche Bank. In Accounting Forum (Vol. 41, No. 4, pp. 318-335). Elsevier. Accounting Forum 4 C
Capelle-Blancard Gunther Capelle-Blancard G., (Labex Refi) 2017, A quoi servent les (centaines de milliers de milliards de) transactions boursières ?, Revue d’Economie Financière, 127, 37-58. REVUE D’ÉCONOMIE FINANCIERE 4 C
Couppey-Soubeyran Jézabel Couppey-Soubeyran J., Coordination et Introduction du n°127 de la Revue d’économie financière (Nov. 2017) « Finance et croissance », à paraître. REVUE D’ÉCONOMIE FINANCIERE 4 C
de Batz Laure Laure de Batz, 2017, Focus on Financial Sanctions in France – 2004 – 2016, Bankers, Markets, and Investors n°149, July-August BANKERS, MARKETS & INVESTORS (Formerly: Banque & Marchés) 4 B
Demerens Frédéric, Le Manh Anne Demerens, F. (Labex Refi) , P. Delvaille, A. Le Manh, J.L. Paré, (2017), “The use of segment information by financial analysts and forecast accuracy: a study on European intermediate-size companies”, Thunderbird International Business Review, Vol. 59, N°5, September/October 2017, pp 595-612. Thunderbird International Business Review 4 C
Gillet Roland Sodjahin A., Champagne C., Coggins F. and Gillet R. (Labex Refi), Leading or lagging indicators of risk ? The informational content of extra-financial performance scores, Journal of Asset Management, Vol. 18, 5, pp. 347-370. Journal of Asset Management 4 C
Havrylchyk Olena O. Havrylchyk (Labex Refi) and M. Verdier, Le financement des PMEs à l’ère de la FinTech, Revue d’économie financière, 2017 REVUE D’ÉCONOMIE FINANCIERE 4 C
Hooper Emma Hooper E. (Labex Refi). Financement des pays riches en ressources naturelles : le rôle des marchés financiers et des institutions. Mondes en développement, 2017/3 (n° 179), p. 15-30. MONDES EN DEVELOPPEMENT 4 C
Souchaud Antoine Souchaud A. , Deus ex Machina dans l’Espace Régulatoire du Crédit en France : la reconnaissance du crowdlending face au monopole bancaire, Gérer et Comprendre, 2017 GERER ET COMPRENDRE 4 B
Souchaud Antoine Berkowitz, H., Souchaud, A., (Labex Refi), Combler un vide organisationnel dans la fabrique d’une politique publique : l’émergence d’une méta-organisation , Politiques et Management Public, 2017 Politiques et Management Public 4 C
Aste Tomaso Aste, T. (Labex Refi), Tasca, P., and Matteo, T. D., Future impact of blockchain technologies on services, businesses and regulation. IEEE Computer, 2017 IEEE Computer na na
Biondi Yuri Yuri, B., & Marion, B. S. (2017). Pension Obligations in the European Union: A Case Study for Accounting Policy. Accounting, Economics, and Law: A Convivium, 7(3). ACCOUNTING, ECONOMICS AND LAW – A CONVIVIUM na na
Biondi Yuri Biondi, Y. (2017). Accounting for Europe’s Economy and Society: Considerations for Financial Stability, Economic Development and the Public Good. Accounting, Economics, and Law: A Convivium, 7(2) ACCOUNTING, ECONOMICS AND LAW – A CONVIVIUM na na
Biondi Yuri Biondi, Y. (2017). The Firm as an Enterprise Entity and the Tax Avoidance Conundrum: Perspectives from Accounting Theory and Policy. Accounting, Economics, and Law: A Convivium, 7(1) ACCOUNTING, ECONOMICS AND LAW – A CONVIVIUM na na
Biondi Yuri Biondi, Y. (2017). Harmonising European Public Sector Accounting Standards (EPSAS): Issues and Perspectives. Accounting, Economics, and Law: A Convivium, 7(2), pp. 117-123 ACCOUNTING, ECONOMICS AND LAW – A CONVIVIUM na na
Catillon Vincent Catillon V. (2017). L’Instrument de recapitalisation directe du MES , Revue internationale des services financiers, n°1/2017, p.44 et s. Revue internationale des services financiers na na
Chorro Christophe Bouleau, N., and Chorro, C. (Labex Refi) (2017), The impact of randomness on the distribution of wealth: Some economic aspects of the Wright–Fisher diffusion process. Physica A: Statistical Mechanics and its Applications, 479, 379-395, 2017 Physica A: Statistical Mechanics and its Applications na na
Demerens Frédéric, Le Manh Anne Demerens, F. (Labex Refi), Delvaille, P., Le Manh, A. and J. L. Paré (2017), “Segment Information: What Do European Small and Mid-caps Disclose?”, International Business Research, Vol.10, N° 11, 42-56. International Business Research na na
Garcin Matthieu Garcin, M. (2017), Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates. Physica A: Statistical Mechanics and its Applications, 483, 462-479, 2017 Physica A: Statistical Mechanics and its Applications na na
Guéant Olivier Guéant, O. (Labex Refi). Optimal market making. Applied Mathematical Finance, 24(2), 112-154, 2017 APPLIED MATHEMATICAL FINANCE na na
Guégan Dominique D. Guégan (Labex Refi), A. Soritopoulou (2017) Bitcoin and the Challenge for Financial Regulation, Capital Markets Law Journal, 2017, issue 4, September 2017 Capital Markets Law Journal na na
Guégan Dominique D. Guégan (Labex Refi), Hassani B.(Labex Refi), Kehan Li (Labex Refi) (2017) Measuring risks in the tail: The extreme VaR and its confidence interval, Journal of Risk and Decision Analysis, 6, 213-224 Journal of Risk and Decision Analysis na na
Hossfeld Christopher Buchheim, Hossfeld (Labex Refi) ,Schmidt (2017), Die Quartalsberichterstattung in Deutschland, Frankreich und Grossbritannien, WPg (Wirtschaftsprüfung), Vol. 70, no 13, pp. 756-764. WPg (Wirtschaftsprüfung) na na
Le Manh Anne LE MANH, A. (Labex Refi) (2017), The Role and Current Status of IFRS in the Completion of National Accounting Rules – Evidence from France, in: Paul André, ACCOUNTING IN EUROPE, 14, Issue 1-2, 94-101. ACCOUNTING IN EUROPE na na
LE SAOUT Erwan Le Saout E. (Labex Refi), Performance of the Microfinance Investment Vehicles , Applied Economics and Finance, vol. 4, n°. 6; p. 42-52, 2017. Applied Economics and Finance na na
Mitic Peter Mitic,P., (2017) Standardised Reputation Measurement, Proc. IDEAL2017 (H. Yin et al. Eds.): Guilin China, Lecture Notes in Computer Science (LNCS) 10585, pp. 534-542. Lecture Notes in Computer Science na na
Mitic Peter Mitic,P., (2017) Is a Reputation Index White Noise?, Proc. IDEAL2017 (H. Yin et al. Eds.): Guilin China, Lecture Notes in Computer Science (LNCS) 10585, pp. 543-6550. Lecture Notes in Computer Science na na
Mitic Peter Mitic, P. (Labex Refi), Reputation Risk Contagion, The Journal of Network Theory in Finance, 3(1), pp. 1-34, 2017 The Journal of Network Theory in Finance na na
Moretti Luigi Costalli S., L. Moretti (Labex Refi), C. Pischedda (2017), « The Economic Costs of Civil War: Synthetic Counterfactual Evidence and the Effects of Ethnic Fractionalization », Journal of Peace Research, 54(1), 80–98. Journal of Peace Research na na
Phung Giang, Tröge Michael Phung, G., (Labex Refi) & Tröge, M. (Labex Refi) (2017). Can Foreigners Improve the Profitability of Emerging Market Banks? Evidence from the Vietnamese Strategic Partner Program. Emerging Markets Finance and Trade, 2017. Emerging Markets Finance and Trade na na
Pietrancosta Alain Say on pay: The new French legal regime in light of the Shareholders’ Rights Directive II, RTDF 2017/3, p.105 Revue Trimestrielle de Droit Financier na na
Veryzhenko Iryna Veryzhenko, I., Arena, L., Harb, E., & Oriol, N. (Labex Refi) (2017). Time to Slow Down for High‐Frequency Trading? Lessons from Artificial Markets. Intelligent Systems in Accounting, Finance and Management, 24(2-3), 73-79. Intelligent Systems in Accounting, Finance and Management na na
Publications 2016
Labex Author(s) Title and publication details                                 Journal Journal Rank (Labex ranking)  Link to paper
Capelle-Blancard G., Havrylchyk, O. Capelle-Blancard G. (Labex ReFi) and Havrylchyk, O. (Labex ReFi) (2016). » Incidence of bank levy and bank market power », Review of Finance Review of Finance 1 Paper
Fouquau Julien Delatte, A.L., Fouquau J. (Labex ReFi), and R. Portes (2016), « Regime-Dependent Sovereign Risk Pricing During the Euro Crisis », Review of Finance Review of Finance 1 Paper
Kahalé Nabil Kahalé Nabil (Labex ReFi) (2016) , « Model-independent lower bound on variance swaps », Mathematical Finance 26(4): 939-961 Mathematical Finance 1 Paper
Kahalé Nabil Kahalé Nabil (Labex ReFi),(forthcoming) , » Super-Replication of Financial Derivatives Via Convex Programming », Management Science Management Science 1 Paper
Jean-Paul Laurent, Michael Sestier, Stéphane Thomas Laurent Jean-Paul (Labex ReFi), Michael Sestier (Labex ReFi), and Stéphane Thomas (Labex ReFi). Trading book and credit risk: How fundamental is the Basel review? Journal of Banking and Finance, Vol 73, pp,211-223 Journal of Banking and Finance 1 Paper
Mellios Constantin Mellios C., Six P. and Lai A. (2016), « Dynamic speculation and hedging in commodity futures Markets », European Journal of Operational Research, (AERES A, CNRS 1), 250, 493-504. European Journal of Operational Research 1 Paper
Moussu Christophe, Ohana Steve Moussu Christophe (Labex ReFi), Ohana Steve (Labex ReFi) (2016), «Do Leveraged Companies Underinvest in CSR? Evidence from Health and Safety Programs in U.S. Firms», Journal of Business Ethics, Volume 135, (4), pp 715–729. Journal of Business Ethics 1 Paper
Capelle-Blancard G. Capelle-Blancard G. (Labex ReFi), (2016), The abolition of the “Impôt sur les opérations de bourse” did not foster the French stock market », Finance Research Letters, 17, 257-266. Finance Research Letters 2 Paper
DAMBRIN, Claire Dambrin C. (Labex ReFi), C. Spence, C. Carter, A. Belal, J. Husillos, and P. Archel (2016), « Tracking habitus across a transnational professional field », Work, Employment and Society, 30/1: 3-20 (cat. 1 at ESCP Europe) Work, Employment and Society 2 Paper
DAMBRIN, Claire Dambrin C. (Labex ReFi) and C. Lambert (2016), Beauty or not beauty: Making up the producer of popular culture, Management Accounting Research Management Accounting Research 2 Paper
Guégan Dominique Garcin M. , Guégan D.(Labex ReFi), (2016), « Wavelet shrinkage of a noisy dynamical system with non-linear noise impact », Physica D: Nonlinear Phenomena, 325, 126 – 145 Physica D: Nonlinear Phenomena 2 Paper
Loutia Amine, Mellios Constantin and Andriosopoulos Kostas Loutia A., Mellios C. and Andriosopoulos K. (2016), “Do OPEC Announcements Influence  Oil Prices?”, Energy Policy, (AERES A, CNRS 2), 90, 262-272. Energy Policy 2 Paper
Mellios Constantin Mellios C. and Lai A. (2016), « Valuation of Commodity Derivatives with an Unobservable Convenience Yield», Computers and Operations Research, (AERES A, CNRS 2), 250, 493-504. Computers and Operations Research 2 Paper
Pinter Julien Pinter Julien (Labex ReFi), Charles Boissel, (2016), « The Eurozone deposit rates’ puzzle: Choosing the right benchmark », Economics Letters, Volume 148, November 2016, Pages 33-36. Economics Letters 2 Paper
Bancel Franck; Laurent Salé Bancel F. (Labex ReFi) and Salé L. (Labex ReFi), (2016), »Basel III and Bank Liquidity Creation », Bankers, Markets & Investors 143, 2-10. Bankers, Markets & Investors 3 na
Couppey-Soubeyran Jézabel Couppey-Soubeyran Jézabel (Labex ReFi), »Taux négatif : arme de poing ou signal de détresse ? « , Revue d’économie financière n°121 Revue d’économie financière 3 Paper
Couppey-Soubeyran Jézabel; Salim Dehmej Couppey-Soubeyran Jézabel (Labex ReFi), Salim Dehmej (Labex ReFi), (2016) , »Pour une combinaison politique monétaire / politique macroprudentielle au service de la stabilité économique et financière de la zone euro », Revue d’économie politique, 2016/1 (Vol. 126) Revue d’économie politique 3 Paper
Arnould Guillaume ;  Salim Dehmej Arnould G.(Labex ReFi), Dehmej S.(Labex ReFi), 2016, “Is the European banking system more robust. An evaluation through the lens of the ECB’s Comprehensive Assessment”, International Economics, Volume 147, October 2016, Pages 126–144 International Economics 4 Paper
Billio Monica Ahelegbey, D.F., M. Billio (Labex ReFi) and R. Casarin (forthcoming), « Sparse Graphical Vector Autoregression: A Bayesian Approach », forthcoming Annals of Economics and Statistics, pp. 333-361 Annals of Economics and Statistics 4 Paper
Billio Monica Billio M. (Labex ReFi), R. Casarin, F. Ravazzolo and H.K. van Dijk (2016), « Interconnections between Eurozone and US booms and busts using a Bayesian Panel Markov-Switching VAR model », forthcoming Journal of Applied Econometrics, volume 31 , Pages 1352–1370 Journal of Applied Econometrics 4 Paper
Billio Monica Billio M.  (Labex ReFi) , R. Casarin and A. Osuntuyi (2016), « Efficient Gibbs Sampling for Markov Switching GARCH Models », Computational Statistics and Data Analysis, 100, 37-57 Computational Statistics and Data Analysis 4 Paper
Billio Monica  Billio M. (Labex ReFi), L. Frattarolo and L. Pelizzon (2016), « Hedge Fund Tail Risk: An investigation in stressed markets », Journal of Alternative Investments, 18/4, 109-124  Journal of Alternative Investments 4 Paper
Billio Monica Ahelegbey, D.F., M. Billio (Labex ReFi) and R. Casarin (2016), « Bayesian Graphical Models for Structural Vector Autoregressive Processes », Journal of Applied Econometrics, 31, 357-386.  Journal of Applied Econometrics 4 Paper
Biondi Yuri Biondi Y. (Labex ReFi), (2016), »The HM ‘Treasure’s Island’: The Application of Accruals-based Accounting Standards in the UK Government ». Accounting in Europe, Volume 13, Issue 1, 2016. Accounting in Europe 4 Paper
Biondi Yuri Biondi Y. (Labex ReFi), (2016), « Public debt accounting and management in UK: Refunding or Refinancing? Or, the Strange Case of Doctor Jekyll and Mr Hyde in the aftermath of the Global Financial Crisi »s, Accounting Forum, Volume 40, Issue 2, June 2016, Pages 89–105 Accounting Forum 4 Paper
Biondi Yuri Biondi Y. (Labex ReFi),(forthcoming), »Accounting representations of public debt and deficits in European central government accounts: An exploration of anomalies and contradictions », Accounting Forum, volume 40, Pages 205–219 Accounting Forum 4 Paper
Biondi Yuri Biondi Y. (Labex ReFi), (2016), « Empowering Market-Based Finance: A Note on Bank Bailouts in the Aftermath of the North Atlantic Financial Crisis of 2007 », Accounting, Economics and Law: A Convivium. Volume 6, Issue 1, February, Pages 79–84 Accounting, Economics and Law: A Convivium 4 Paper
Capelle-Blancard G. Capelle-Blancard G. (Labex ReFi) & A. Petit , « The weighting of CSR dimensions: one size does not fit all », Business & Society. Business and Society 4 Paper
Capelle-Blancard G. ; Havrylchyk O. Capelle-Blancard G. (Labex ReFi) & O. Havrylchyk (Labex ReFi), (2016), « The impact of the French securities transaction tax on market liquidity and volatility, International Review of Financial Analysis », 47, 166-178. International Review of Financial Analysis 4 Paper
Capelle-Blancard G. Capelle-Blancard G. (Labex ReFi) & C. Labonne, (2016), « More bankers, more growth? Evidence from OECD countries », Economic Notes, 45(1), 37-51. Economic Notes 4 Paper
Chorro Christophe Chorro C. (Labex ReFi), (2016), « A Simple Probabilistic Approach of the Yard-Sale Model », Statistics and Probability letters, 112, 35-40 Statistics and Probability letters 4 Paper
Garel Alexandre Garel A. (Labex ReFi) (forthcoming), « When ownership structure matters: A review of the effects of investor horizon on corporate policies », Journal of Economic Surveys Journal of Economic Surveys 4 Paper
Guégan Dominique P. O. Cisse, A. K. Diongue, D. Guégan (Labex ReFi), (2016), « Statistical properties of the Seasonal Fractionally Integrated Separable Spatial Autoregressive Model », Afrika Statistika, 11 (1), 901-922 Afrika Statistika 4 Paper
Hassani Bertrand Hassani B. (Labex ReFi) & Mitic P.,(2016), »Shapley Allocation the effect of Services on Diversification » , Journal of Business and Economics, Vol. 7, No.3, 482-495  Journal of Business and Economics 4 na
Moretti Luigi Coviello D., L. MORETTI (Labex ReFi) , G. Spagnolo, and P. Valbonesi,(forthcoming), « Court Efficiency and Procurement Performance », Scandinavian Journal of Economics, forthcoming (accepted for publication)  Scandinavian Journal of Economics 4 Paper
Moretti Luigi Costalli S., L. MORETTI (Labex ReFi), and C. Pischedda, (forthcoming) « The Economic Costs of Civil War: Synthetic Counterfactual Evidence and the Effects of Ethnic Fractionalization », Journal of Peace Research, forthcoming (accepted for publication) Journal of Peace Research 4 Paper
Troege Michael Tröge M. (Labex ReFi), Amir R, Jin JY. (2016), »Free trade versus autarky under asymmetric Cournot oligopoly. International Economics, vol 25, no. 1, pp. 98-107 International Economics 4 Paper
Troege Michael Tröge M. (Labex ReFi), R. Amir, J. Jin and G. Pech,(2016), “Prices and Deadweight Loss in Multi-Product Monopoly”, Journal of Public Economic Theory, 18, (3): 21–16. Journal of Public Economic Theory 4 Paper
Vitting Andersen Jorgen Bellenzier Lucia, Jørgen Vitting Andersen (Labex ReFi), Giulia Rotundo, (2016), »Contagion in the world’s stock exchanges seen as a set of coupled oscillators »,
Economic Modelling, Volume 59, December 2016, Pages 224-236
Economic Modelling 4 Paper
Publications 2015
LabEx member(s) Title and publication details Journal Link to paper
Bancel F. ; Garel A. Bancel F., Garel A. (2015), “Focus on Managerial myopia: do managers privilege the short term”, Bankers, Markets & Investors, 135, 50-58. Bankers, Markets & Investors
Bancel Bancel F. (Labex Refi), Husson B. et Philippe H. (2015), “Les concepts de dette financière nette”, Analyse financière, 56, 74-77. Analyse financière Link
Billio Billio M., R. Casarin, F. Ravazzolo and H.K. van Dijk (2015), »Interconnections between Eurozone and US booms and busts using a Bayesian Panel Markov-Switching VAR model », Journal of Applied Econometrics Journal of Applied Econometrics Link
Billio Billio M. (Labex Refi), R. Casarin(Labex Refi) and A. Osuntuyi (2015), « Efficient Gibbs Sampling for Markov Switching GARCH Models », Computational Statistics and Data Analysis Computational Statistics and Data Analysis Link
Billio Billio M. (Labex Refi), M. Caporin and M. Costola (2015), « Backward/forward optimal combination of performance measures for equity screening », North American Journal of Economics and Finance, 34, 63-83. North American Journal of Economics and Finance Link
Billio Billio M. (Labex Refi) and S. Di Sanzo (2015), « Granger-causality in Markov switching models », Journal of Applied Statistics, 42/5, 956-996. Journal of Applied Statistics Link
Biondi Biondi Y. (2015), « The HM ‘Treasure’s Island’: the application of accruals-based accounting standards in the UK government », Accounting in Europe Accounting in Europe Link
Biondi Biondi Y. (2015), »Accounting and the formation of share market prices over time: A mathematical institutional economic analysis through simulation and experiment », Applied Economics, Vol. 47, pp. 3651-3672 Applied Economics Link
Biondi Biondi Y. (Labex Refi), Righi S. (2015), « What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary », Journal of Economic Interaction and Coordination, Vol. 11, Issue 2, pp 175–203 Journal of Economic Interaction and Coordination Link
Biondi Biondi Y. (2015), « An Economic Analysis of ‘Comply or Explain Principle’ under a Review Panel Regime », Accounting, Economics and Law: A Convivium., Vol. 5 Accounting, Economics and Law: A Convivium Link
Bismuth Bismuth R. (Labex Réfi) & Dupont P. E., (2015), « The Doubtful Legality of US Extraterritorial Sanctions Applied to European Financial Institutions », Revue Internationale des Services Financiers / International Review of Financial Services, n° 1, pp. 104-108 International Review of Financial Services
Bismuth Bismuth R. (2015), « Les transferts internationaux de fonds : Libération, restrictions et contrôle » Répertoire de Droit International Dalloz, Paris, Dalloz, 11 p. Répertoire de Droit International
Bismuth Bismuth R. (Labex Réfi),Audit M. & Mignon-Colombet A. (2015), « Sanctions et extraterritorialité du droit américain : Quelles réponses pour les entreprises françaises ? », JCP(G) – La Semaine Juridique,n° 1-2, p. 64-65 La Semaine Juridique
Bruneau Bruneau C. (Labex Réfi) & Cherfouh S. (2015) « Long-run Equilibrium for the Greater Paris Office Market and Short-run Adjustmentsé » , Journal of Property Research, Vol. 32, Issue 4 Journal of Property Research Link
Bunkanwanicha Bunkanwanicha, P.(Labex Réfi), Gupta J., Wiwattanakantang, Y. (2015), « Pyramidal Group Structure and Bank Risk in Thailand », Journal of Comparative Economics, Vol.44, 2; 272-288 Journal of Comparative Economics Link
CAPELLE-BLANCARD Capelle-Blancard G. (Labex Réfi) & C. Labonne (2015), « More bankers, more growth? Evidence from OECD countries » Economic Notes. Economic Notes Link
CAPELLE-BLANCARD Capelle-Blancard G. (Labex Réfi) & A. Petit (Labex Réfi) (2015), « The weighting of CSR dimensions: one size does not fit all », Business & Society Business & Society Link
Cho Cho H. (2015), »Economic Size and Debt Sustainability against Piketty’s Capital Inequality , ACRN », Journal of Finance and Risk Perspectives, Vol. 4, Issue 2, p.32-53 Journal of Finance and Risk Perspectives
Couppey-Soubeyran J. Couppey-Soubeyran (Labex Réfi), S. Dehmej (Labex Réfi) (2015) , »Pour une combinaison politique monétaire / politique macroprudentielle au service de la stabilité économique et financière de la zone euro », Revue d’économie politique, Vol. 126 Revue d’économie politique Link
Couppey-Soubeyran E. Carré, J. Couppey-Soubeyran (Labex Réfi), S. Dehmej (Labex Réfi) (2015)  » La coordination entre politique monétaire et politique macroprudentielle. Que disent les modèles DSGE ? « , Revue économique, vol. 66, N° 3 Revue économique Link
Dambrin C. Spence, C. Dambrin (Labex Réfi), C. Carter, J. Husillos and P. Archel. (2015), “Global Ends, Local Means: Making it to Partner in Professional Service Firms”, Human Relations, 68/5: 765-788 Human Relations Link
Dondero Dondero B. (2015), « Le crédit inter-entreprises libéré (ou presque) par la loi Macron », Actes pratiques et ingénierie sociétaire, sept.-oct. 2015, p. 1. Actes pratiques et ingénierie sociétaire
Dondero Dondero B. (2015), « La société de libre partenariat (SLP) », Actes pratiques et ingénierie sociétaire sept.-oct. 2015, p. 31. Actes pratiques et ingénierie sociétaire
Douady N.N. Taleb, R. Douady (Labex Réfi) (2015) , « On the Super-Additivity and Estimation Biases of Quantile Contributions », Physica A: Statistical Mechanics and its Applications Physica A: Statistical Mechanics and its Applications Link
Fouquau FOUQUAU, J. (Labex Réfi) and P. SIX (2015), « A comparison of the convenience yield and interest-adjusted basis », Finance Research Letters, 14, 142-149. Finance Research Letters Link
Fouquau FOUQUAU, J. (Labex Réfi) and S. BELAOUNIA (2015), « Internationalisation et structure du capital : une application aux entreprises chinoises cotées » REVUE FINANCE CONTROLE STRATEGIE, 3, 18. REVUE FINANCE CONTROLE STRATEGIE Link
Fouquau FOUQUAU, J. (Labex Réfi) and P. SPIESER (2015), « Statistical evidence about LIBOR manipulation: A ‘Sherlock Holmes’ investigation », JOURNAL OF BANKING AND FINANCE, 50, 632-643. Journal of Banking and Finance Link
GATFAOUI  Gatfaoui H. (2015) « Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas » Energy Policy, 2015, vol. 87, 270-283. Energy Policy Link
GILLET Gillet R. (Labex Réfi), Hübner G. and S. Plunus (2015) « Equivalent Risky Allocation : The new ERA of risk measurement for heterogeneous investors », American Journal of Industrial and Business Management, 5, pp 351-365 American Journal of Industrial and Business Management Link
Guégan Guégan D. (Labex Réfi), Ielpo F. Lalaharison H. (2015), « Option Pricing with Discrete Time Jump Processes », Studies in Nonlinear Dynamics & Econometrics Studies in Nonlinear Dynamics & Econometrics Link
Guégan Billio M. (Labex Réfi), Cales L., Guégan D. (Labex Réfi) (2014) « Cross-Sectional Analysis through Rank-based Dynamic Portfolios », European Journal of Operational Ressources. European Journal of Operational Ressources
Guégan Guégan D. (Labex Réfi), X. Zhao, (2014) « Alternatives modellings for long term risk », Quantitative Finance, Vol. 14 Quantitative Finance Link
Hassani Hassani B. (2015) « Risk Appetite in Practice: Vulgaris Mathematica, IUP », Journal of finance risk management journal of finance risk management
Hassani Hassani B. and Zhao X., « Reconsidering Corporate Ratings », Economic Note Economic Note Link
Hassani Hassani B. and Mitic P. (2015), « Shapley Allocation the effect of Services on Diversification », Journal of Business and Economics Journal of Business and Economics
HENTATI KAFFEL Hentati-Kaffel. R.,(Labex Réfi), de-Peretti P. (2015), « Generalized Runs Tests to Detect Randomness in Hedge Funds Returns », Journal of Banking and Finance, Vol. 50, Pages 608-615 Journal of Banking and Finance Link
HENTATI KAFFEL Hentati-Kaffel. R.,(Labex Réfi), de-Peretti P. (2015), « Detecting Performance Persistence of Hedge funds », Economic Modeling, Vol. 47, pp. 185-192 Economic Modelling Link
ielpo Ielpo F. (2015), »Forward Rates, Monetary Policy and the Economic Cycle », Journal of Forecasting, Volume 34, Issue 4, pages 241–260 Journal of Forecasting Link
Jean-Marc  Bonnisseau J.M (Labex Réfi), Biheng N. (2015), « Regular economies with ambiguity aversion », Journal of Mathematical Economics, 59, 24 – 36 Journal of Mathematical Economics Link
Jean-Marc  Bonnisseau J.M (Labex Réfi), Rakononindrainy L. (2015), « A note on the characterization of optimal allocations in OLG models with multiple goods », Set-Valued and Variational Analysis, 24, 101-114 Set Valued and Variational Analysis Link
Le Saout Le Saout E. (2015), » Carbon Pooling ou comment gérer les crédits carbone à partir d’une trésorerie centralisée », Recherches en Sciences de Gestion- Management Sciences – Ciencias de Gestion, n°108, p. 91-112 Recherches en Sciences de Gestion- Management Sciences Link
Le Saout Le Saout E. (Labex Réfi), Daher L. (2015), »The determinants of the financial performance of microfinance institutions : Impact of the global financial crisis », Strategic Change, vol. 24, n°2, p.131-148 Strategic Change Link
Loutia Loutia A. (Labex Réfi), Mellios C. (Labex Réfi) et Andriosopoulos K. (Labex Réfi) (2013), « Do OPEC announcements influence oil prices ? », Energy Policy Energy Policy Link
Moussu Moussu C. (Labex Réfi), Ohana S. (Labex Réfi) (2015) « La science économique peut-elle être objective? », Revue Implications Philosophiques Revue Implications Philosophiques Link
Pietrancosta Pietrancosta A. (Labex Réfi), Rontchevsky N. (2015), « The Repression of Market Abuse under French Law: Recent Developments”, Revue trimestrielle de droit financier, p. 75. Revue trimestrielle de droit financier
Pietrancosta Pietrancosta A. (2015), “Pour mieux légiférer en matière financière”, Revue Banque, n° 785, p. 16. Revue Banque Link
Pietrancosta Pietrancosta A. (Labex Réfi), E. Boursican (2015) “Vigilance: un devoir à surveiller !”, La Semaine Juridique Edition Générale, p. 553. La Semaine Juridique Edition Générale
Pietrancosta Pietrancosta A. (2015) « Shareholder Engagement and Identification » Revue trimestrielle de droit financier ,Feb. 2015, p. 52. Revue trimestrielle de droit financier
PLUCHART Pluchart J. (Labex Refi) , P. Piget (2015), « La performance ajustée au risque des fonds actions labellisés ISR 2012 : une convergence des résultats quels que soient les tests statistiques » Revue du financier. Revue du financier
PLUCHART Pluchart J. (2015) « La reconnaissance des parties prenantes par les marchés financiers « , Revue du financier Revue du financier
Pradier Pradier, PC. (Labex Réfi), Gardes, F., Greffe, X. et al. (2015),“Autographs and the Global Art Market: The Case of Hedonic Prices for French Autographs (1960-2005)” Journal of Cultural Economics, Vol. 40, pp: 453-485 Journal of Cultural Economics Link
Raimbourg Raimbourg P. (2015), « European Rating Actions, Investor Reaction and Bond Spread Volatility », Economic Notes, vol. 44, n°2, 2015, pages 333-360. Economic Notes Link
Scialom Scialom L. (Labex Réfi), Béranger A. (2015), « Banking Union :Mind the gaps », International Economics, 144 International Economics Link
Scialom Scialom L. (Labex Réfi), Harnay S. (2015) “The influence of the economic approaches to regulation on banking regulations: A short history of banking regulations » Cambridge Journal of Economics Cambridge Journal of Economics Link
Touron Bennouri M., Nekhili M., and Touron P. (Labex Réfi) (2015 ) »Does Auditor Reputation ‘Discourage’ Related-Party Transactions? The French Case. » Auditing: A Journal of Practice & Theory, 34.4: 1-32. Auditing: A Journal of Practice & Theory Link
Wagalath Wagalath L. (Labex Réfi), Cont R. (2015) « Institutional investors and the dependence structure of asset returns » International Journal of Theoretical and Applied Finance International Journal of Theoretical and Applied Finance Link

 

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