Publications in refereed journals:

Financial econometrics & Statistical methodology

• • Non-standard errors, Menkveld, A. et al., Journal of Finance (2024)  https://onlinelibrary.wiley.com/doi/full/10.1111/jofi.13337. 79(3), 2339-2390. Collaborative FINCAP project with 340+ participants (and co-authors), on additional uncertainty stemming from deviations, across researchers, of the results they report when independently testing the same hypotheses on the same sample. See the presentation slides here, find more information here. My contribution was to be a member of one of the 164 teams testing the various hypotheses. The  first nine authors are the main contributors to the study. 

  • Using the Softplus function to construct alternative link functions in Generalized Linear Models and beyond. Wiemann, P, Kneib, T. and Hambuckers, J. Statistical Papers (2023). Available at https://link.springer.com/article/10.1007/s00362-023-01509-x .

  • On the role of interest rate differentials in the dynamic asymmetry of exchange rates. Hambuckers, J. and Ulm, M. Economic Modelling (2023). Vol. 129 (December). Available at https://doi.org/10.1016/j.econmod.2023.106554 .

  • Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model. Ulm, M. and Hambuckers, J., Journal of Empirical Finance (2022), 65, 125-148. Available at http://ssrn.com/abstract=3984900 and 10.1016/j.jempfin.2021.12.004 

  • Extremal connectedness of hedge funds. Mhalla, L., Hambuckers, J. and Lambert, M., Journal of Applied Econometrics (2022), 37(5), 988-1009. https://onlinelibrary.wiley.com/doi/10.1002/jae.2900 or https://ssrn.com/abstract=3519295 in open access. Data and codes are available here.

  • Modeling multivariate operational losses via copula-based distributions with g-and-h marginals. Bee, M. and Hambuckers, J., Journal of Operational Risk (2022), 17(1),  81-111. Open access at https://www.economia.unitn.it/71/dem-working-papers, also at https://doi.org/10.21314/JOP.2021.016 

  • Smooth-transition regression models for non-stationary extremes. Hambuckers, J. and Kneib, T., Journal of Financial Econometrics (2023), 21(2), 445-484. https://doi.org/10.1093/jjfinec/nbab005 and open access here: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3541718   

  • Testing a parameter restriction on the boundary for the g-and-h distribution: a simulated approach. Bee, M., Hambuckers, J., Santini, F. and Trapin, L., Computational Statistics (2021), 36, 2177-2200.  https://doi.org/10.1007/s00180-021-01078-3

  • Estimating large losses in insurance analytics and operational risk using the g-and-h distribution. Bee, M., Hambuckers, J. and Trapin, L., Quantitative Finance (2021), 21(7), 1207-1221. https://doi.org/10.1080/14697688.2020.1849778

  • LASSO-Type Penalization in the Framework of Generalized Additive Models for Location, Scale and Shape. Groll, A., Hambuckers, J., Kneib, T. and Umlauf, N., Computational Statistics & Data Analysis (2019), 140, 59 - 73.  https://www.sciencedirect.com/science/article/pii/S0167947319301392. Code and data for replication are available at the same page (open access). 

  • Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach. Bee, M., Hambuckers, J. and Trapin, L., Quantitative Finance (2019) , 19(8), 1255-1266. https://doi.org/10.1080/14697688.2019.1580762  

  • Understanding the Economic Determinants of the Severity of Operational Losses: A regularized Generalized Pareto Regression Approach. Hambuckers, J., Groll, A. and Kneib, T. , Journal of Applied Econometrics (2018), 33(6),  898-935 . https://doi.org/10.1002/jae.2638 and in open access https://ssrn.com/abstract=3107265. Find here a package allowing to replicate parts of the simulation study. Please read the comments in the .m file. Replication files for the data analysis can be found on JAE data archive.

  • A Markov-switching Generalized Additive Model for Compound Poisson Processes, with Applications to Operational Losses Models. Hambuckers, J., Kneib, T., Langrock, R. and Sohn, A., Quantitative Finance  (2018), 18(10),  1679-1698. https://doi.org/10.1080/14697688.2017.1417625 

  • A robust statistical approach to select adequate error distributions for financial returns. Hambuckers, J. and Heuchenne, C., Journal of Applied Statistics (2017), 44(1), 137-161.  https://doi.org/10.1080/02664763.2016.1165803 

  • Estimating the out-of-sample predictive ability of trading rules: a robust bootstrap approach. Hambuckers, J. and Heuchenne, C., Journal of Forecasting (2016), 35(4), 347–372.  https://doi.org/10.1002/for.2380  and open access here: https://hdl.handle.net/2268/186808 

      Applications

• • Coordination during group departures and group progressions in the tolerant multilevel society of wild Guinea baboons (Papio papio). Montanari, D., O'Hearn, W.J., Hambuckers, J., Fischer, J. and Zinner, D., Scientific Reports (2021), 11, 21938, https://www.nature.com/articles/s41598-021-01356-6 

  • Urban Low Emissions Zones: A Behavioral Operations Management Perspective. Lurkin, V., Hambuckers, J. and Van Woensel, T., Transportation Research (Part A): Policy and Practice (2021), 144,  222-240. https://doi.org/10.1016/j.tra.2020.11.015

  • Small Neotropical primates promote the natural regeneration of anthropogenically disturbed areas. Heymann, E. et al., Scientific Reports (2019),  vol. 9, available open access here. The paper was also featured  in Science (here).

  • Food properties influence grasping strategies in strepsirrhines. Peckre, L., Fabre, A-C., Hambuckers, J. Wall, C., Socias-Martinez, L. and Pouydebat, E., Biological Journal of the Linnean Society (2019), 127(3), 583–597, https://doi.org/10.1093/biolinnean/bly215 

  • How to assess, fast and accurately, seed removal rate of zoochoric tree species? Hambuckers, J., Dauvrin, A., Trolliet, F., Evrard, Q., Forget, P.-M. and Hambuckers, A., Forest Ecology and Management (2017), 403(1), 152-160.  https://doi.org/10.1016/j.foreco.2017.07.042 

Submitted papers & preprints

• • Measuring the Time-varying Systemic Risks of Hedge Funds. Hambuckers, J. and Hübner, P. (2024). April 2024 working paper version available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4807133 

  • Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks. Hambuckers, J., Kratz, M. and Usseglio-Carleve, A. (2023). May 2024 working paper version available at https://dx.doi.org/10.2139/ssrn.4440102.

  • Disentangling the effect of conventional and unconventional monetary policies on financial uncertainty: a non-Gaussian proxy SVAR approach to improve shock labeling. Crucil, R., Hambuckers, J. and Maxand, S. (2024) August 2023 working paper version available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4469420.

  • Exotic-tree plantations alter local bird diversity in neighboring semi-natural heritage open landscapes. Hambuckers, A., Hambuckers, J., Dupont, M., Valentini, S. and Delcourt, J. (2024).

Other works

• • Hambuckers, J., Heuchenne, C. and Lopez, O. (2017) A semiparametric model for Generalized Pareto regression based on a dimension reduction assumption. Working paper available at  https://hal.archives-ouvertes.fr/hal-01362314 

  • Measuring tail risk at high-frequency: An L1-regularized extreme value regression approach with unit-root predictors. Hambuckers, J., Sun, L. and Trapin, L. (2023)  Working paper available at https://arxiv.org/abs/2301.01362 Contact L. Sun for replication codes.

Thesis supervision (#) and thesis committee/jury (*)

• 1. *Boris Fays (2019, ULiège - HEC Liège)  "Efficient construction of linear and nonlinear equity risk strategy".

  2. *Alessandro Beretta (2020, ULiège - HEC Liège) "Advancements in survival analysis methods for economics and finance ".

  3. *Paul Wiemann (2020, Georg-August Universität Göttingen) "Extending the Bayesian STAR: Studies on smooth functional subspace shrinkage, link-functions, and non-random sample selection in Bayesian structured additive regression".

  4. *Li Sun (2021, Maastricht University) "Essays in quantile regression models and their applications to financial time series". 

  5.  *Luc Matabaro Borauzima (2021, ULiège - HEC Liège) "Efficiency, Risk and Competition in Banking: Essays from Africa"

  6. #Romain Crucil (ongoing: ULiège - HEC Liège) "Monetary policy and high-order dynamics in financial uncertainty".

  7. #Philippe Hübner (ongoing: ULiège - HEC Liège) "Systemic risk of the shadow banking system"

  8. #Pierre-Francois Weyders (ongoing: ULiège - HEC Liège) "Machine learning methods for non-financial risk management and fraud detection"