Publications
International (peer-reviewed) Journals
Flights-to-Safety, with Geert Bekaert, Koen Inghelbrecht, and Min Wei, Review of Financial Studies, Volume 33, Issue 2, February 2020, pages 689-746. [FTS Dummies, updated until March 16, 2020]
Cumulative Prospect Theory, Option Returns, and the Variance Risk Premium, with Joost Driessen, Juan-Miguel Londoño, and Oliver Spalt, Review of Financial Studies, Volume 32, Issue 9, September 2019, Pages 3667–3723.
Model Uncertainty and Systematic Risk in US Banking, with Valerie De Bruyckere, Olivier De Jonghe, and Rudi Vander Vennet, Journal of Banking and Finance, Vol. 53, April 2015, Pages 49-66.
Macroeconomic Regimes, with G. Bekaert, S. Cho, K. Inghelbrecht, and A. Moreno. Journal of Monetary Economics, Volume 70, March 2015, Pages 51-71.
Enhancing Bank Transparency: Risk Inefficiency as a Market Disciplining Mechanism, with Valerie De Bruyckere, Olivier De Jonghe, and Rudi Vander Vennet, North-American Journal of Economics and Finance, forthcoming.
Of Religion and Redemption: Evidence from Default on Islamic Loans, with M. Farooq and S. Ongena, Journal of Banking and Finance, Volume 44, July 2014, Pages 141–159.
Understanding Industry Betas, with Juan-Miguel Londono, Journal of Empirical Finance, Vol. 22, June 2013, pag. 30-51.
The Determinants of Stock and Bond Return Comovements, with Geert Bekaert and Koen Inghelbrecht. Review of Financial Studies, Vol. 23, Nr. 6. June 2010. Also available as NBER Working Paper 15260
The Determinants of Increasing Equity Market Comovement: Economic or Financial Integration?, with Pilar Soriano. Review of World Economics, Vol. 146, 2010.
Time-Varying Integration, Interdependence, and Contagion, with Koen Inghelbrecht. Journal of International Money and Finance, Vol. 29, Nr. 5, 791-818. September 2010.
Time-Varying Integration and International Diversification Strategies, with Koen Inghelbrecht. Journal of Empirical Finance, Vol. 16, No. 3, 368-387. June 2009.
Model Uncertainty, Financial Markets Integration and the Home Bias Puzzle, with Crina Pungulescu and Jenke ter Horst. Journal of International Money and Finance. 2007
Does the Stock Market Value Bank Diversification?, with Olivier de Jonghe and Rudi Vander Vennet, Journal of Banking and Finance, 2007.
Volatility Spillover Effects in European Equity Markets, Journal of Financial and Quantitative Analysis, Vol. 40, No. 2, June 2005.
Measuring European Financial Integration, with A. Ferrando, P. Hördahl, E. Krylova, and C. Monnet, Oxford Review of Economic Policy, Vol. 20, No. 4, Winter 2004. Reprinted in Handbook of European Financial Markets and Institutions, edited by Xavier Freixas, Philipp Hartmann, and Colin Mayer, Oxford University Press.
Other Publications (book chapters,...)
Measuring Financial Integration in the Euro Area, with A. Ferrando, P. Hördahl, E. Krylova, and C. Monnet, European Central Bank Occasional Paper, , Nr. 14, May 2004.
Did EMU increase Equity Market Correlations?, Financieel Forum, Bank en Financiewezen, september 2003, Volume 6.
Bond and Equity Market Integration, with A. Ferrando. Forthcoming in: M. Grande, J. Berg, and F. Mongelli (Eds.), Elements of the Euro Area: Integrating Financial Markets, Ashgate, London.
Bank Risk and the Business Cycle, with Olivier de Jonghe and Rudi Vander Vennet, In Morten Balling, Frank Lierman and Andrew M. Mullineaux, Competition and profitability in European financial services, Routledge, 257-284.