Details about Serge Darolles

Access statistics for papers by Serge Darolles.

Last updated 2021-12-07. Update your information in the RePEc Author Service.

Short-id: pda653

Working Papers

2021

1. A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk
   Working Papers, HAL
2. Forecasting Intra-daily Liquidity in Large Panels
   Working Papers, HAL

2019

3. Bivariate integer-autoregressive process with an application to mutual fund flows
   Post-Print, HAL View citations (6)
   See also Journal Article Bivariate integer-autoregressive process with an application to mutual fund flows, Journal of Multivariate Analysis, Elsevier (2019) View citations (6) (2019)
4. Trends everywhere? The case of hedge fund styles
   Post-Print, HAL View citations (2)
   See also Journal Article Trends everywhere? The case of hedge fund styles, Journal of Asset Management, Palgrave Macmillan (2019) View citations (2) (2019)

2018

5. Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
   AMSE Working Papers, Aix-Marseille School of Economics, France View citations (14)
   Also in MPRA Paper, University Library of Munich, Germany (2018) View citations (14)
   Post-Print, HAL (2018) View citations (14)
   Working Papers, HAL (2018) View citations (14)
   See also Journal Article Asymptotics of Cholesky GARCH models and time-varying conditional betas, Journal of Econometrics, Elsevier (2018) View citations (15) (2018)

2017

6. Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows
   Post-Print, HAL View citations (23)
   See also Journal Article Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows, Journal of Econometrics, Elsevier (2017) View citations (21) (2017)

2016

7. Gauging Liquidity Risk in Emerging Market Bond Index Funds
   Post-Print, HAL
   See also Journal Article Gauging Liquidity Risk in Emerging Market Bond Index Funds, Annals of Economics and Statistics, GENES (2016) (2016)
8. Intrinsic Liquidity in Conditional Volatility Models
   Post-Print, HAL
   See also Journal Article Intrinsic Liquidity in Conditional Volatility Models, Annals of Economics and Statistics, GENES (2016) (2016)
9. Introduction to the special issue on recent developments in Financial Econometrics
   Post-Print, HAL

2015

10. Contagion phenomena with applications in finance
    Post-Print, HAL View citations (5)
11. Financial Market Liquidity: Who Is Acting Strategically?
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
12. Measuring the Liquidity Part of Volume
    Post-Print, HAL View citations (16)
    Also in Post-Print, HAL (2015) View citations (16)
    See also Journal Article Measuring the liquidity part of volume, Journal of Banking & Finance, Elsevier (2015) View citations (17) (2015)
13. Performance fees and hedge fund return dynamics
    Post-Print, HAL
14. The Dynamics of Hedge Fund Performance
    Post-Print, HAL

2014

15. Contagion Analysis In The Banking Sector
    Post-Print, HAL View citations (1)
16. Contagion in Emerging Markets
    Post-Print, HAL
    See also Chapter Contagion in Emerging Markets, Palgrave Macmillan Books, Palgrave Macmillan (2015) View citations (1) (2015)
17. Evaluating UCITS Compliant Hedge Fund Performance
    Post-Print, HAL View citations (1)
    See also Journal Article Evaluating UCITS Compliant Hedge Fund Performance, Bankers, Markets & Investors, ESKA Publishing (2014) View citations (1) (2014)
18. Liquidity risk and contagion for liquid funds
    Post-Print, HAL
19. Trading Volume and Arbitrage
    Post-Print, HAL View citations (3)
    Also in Post-Print, HAL (2014) View citations (3)
    Working Papers, Center for Research in Economics and Statistics (2003) View citations (7)
    Post-Print, HAL (2014) View citations (3)

2013

20. A Regularized Kalman Filter (rgKF) for Spiky Data
    Post-Print, HAL
21. Factor Models and General Definition
    Post-Print, HAL
22. Factor Selection
    Post-Print, HAL
23. Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective
    Post-Print, HAL
24. Liquidity Contagion. The Emerging Sovereign Debt Markets example
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2012)
25. MLiq a meta liquidity measure
    Post-Print, HAL
    Also in Post-Print, HAL (2012)
26. Multi-factor models and signal processing techniques: application to quantitative finance
    Post-Print, HAL View citations (3)
27. Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry?
    Post-Print, HAL
28. Survival of Hedge Funds: Frailty vs Contagion
    Post-Print, HAL View citations (2)
    Also in Working Papers, Center for Research in Economics and Statistics (2012) View citations (3)
29. The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme
    Working Papers, Center for Research in Economics and Statistics View citations (2)
30. The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme
    Working Papers, Center for Research in Economics and Statistics View citations (1)

2012

31. Liquidity contagion: A look at emerging markets
    Post-Print, HAL View citations (1)
32. Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume
    Post-Print, HAL View citations (1)
33. Robust Portfolio Allocation with Systematic Risk Contribution Restrictions
    Working Papers, Center for Research in Economics and Statistics View citations (8)

2010

34. Non Parametric Instrumental Regression
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations (8)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) View citations (88)
    Working Papers, Center for Research in Economics and Statistics (2000) View citations (8)
    See also Journal Article Nonparametric Instrumental Regression, Econometrica, Econometric Society (2011) View citations (164) (2011)
35. Nonparametric Analysis of Hedge Funds Lifetimes
    TSE Working Papers, Toulouse School of Economics (TSE) View citations (1)
    Also in IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2010) View citations (1)

2008

36. Improving VWAP strategies: A dynamic volume approach
    Post-Print, HAL View citations (35)
    Also in Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne (2006) View citations (1)
    See also Journal Article Improving VWAP strategies: A dynamic volume approach, Journal of Banking & Finance, Elsevier (2008) View citations (41) (2008)

2005

37. Decomposing Volume for VWAP Strategies
    Working Papers, Center for Research in Economics and Statistics

2001

38. Compound Autoregressive Models
    Working Papers, Center for Research in Economics and Statistics View citations (8)
39. Kernel Based Nonlinear Canonical Analysis
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations (1)
    Also in Working Papers, Toulouse - GREMAQ (1999)
    Working Papers, Center for Research in Economics and Statistics (1998) View citations (3)

2000

40. Empirical Local Time for Processes Observed on a Grid
    Working Papers, Center for Research in Economics and Statistics View citations (1)
41. Factor ARMA Representation of a Markov Process
    Working Papers, Center for Research in Economics and Statistics
    See also Journal Article Factor ARMA representation of a Markov process, Economics Letters, Elsevier (2001) (2001)
42. Kernel Based Nonlinear Canonical Analysis and Time Reversibility
    Working Papers, Center for Research in Economics and Statistics View citations (2)
    See also Journal Article Kernel-based nonlinear canonical analysis and time reversibility, Journal of Econometrics, Elsevier (2004) View citations (13) (2004)

1997

43. Approximating Payoffs and Approximating Pricing Formulas
    Working Papers, Center for Research in Economics and Statistics
44. Dynamiques tronquées et estimation de modèles de diffusion
    Working Papers, Center for Research in Economics and Statistics
45. Nonparametric Estimation of a Diffusion Equation from Tick Observations
    Working Papers, Center for Research in Economics and Statistics View citations (3)
46. Truncated Dynamics and Estimation of DiffusionEquations
    Working Papers, Center for Research in Economics and Statistics
    See also Journal Article Truncated dynamics and estimation of diffusion equations, Journal of Econometrics, Elsevier (2001) View citations (14) (2001)

Journal Articles

2019

1. Bivariate integer-autoregressive process with an application to mutual fund flows
   Journal of Multivariate Analysis, 2019, 173, (C), 181-203 View citations (6)
   See also Working Paper Bivariate integer-autoregressive process with an application to mutual fund flows, Post-Print (2019) View citations (6) (2019)
2. Trends everywhere? The case of hedge fund styles
   Journal of Asset Management, 2019, 20, (6), 442-468 View citations (2)
   See also Working Paper Trends everywhere? The case of hedge fund styles, Post-Print (2019) View citations (2) (2019)

2018

3. Asymptotics of Cholesky GARCH models and time-varying conditional betas
   Journal of Econometrics, 2018, 204, (2), 223-247 View citations (15)
   See also Working Paper Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas, AMSE Working Papers (2018) View citations (14) (2018)

2017

4. Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows
   Journal of Econometrics, 2017, 201, (2), 367-383 View citations (21)
   See also Working Paper Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows, Post-Print (2017) View citations (23) (2017)

2016

5. Gauging Liquidity Risk in Emerging Market Bond Index Funds
   Annals of Economics and Statistics, 2016, (123-124), 247-269
   See also Working Paper Gauging Liquidity Risk in Emerging Market Bond Index Funds, Post-Print (2016) (2016)
6. Intrinsic Liquidity in Conditional Volatility Models
   Annals of Economics and Statistics, 2016, (123-124), 225-245
   See also Working Paper Intrinsic Liquidity in Conditional Volatility Models, Post-Print (2016) (2016)
7. Introduction
   Annals of Economics and Statistics, 2016, (123-124), 7-8
8. The rise of fintechs and their regulation
   Financial Stability Review, 2016, (20), 85-92 View citations (15)

2015

9. Measuring the liquidity part of volume
   Journal of Banking & Finance, 2015, 50, (C), 92-105 View citations (17)
   See also Working Paper Measuring the Liquidity Part of Volume, Post-Print (2015) View citations (16) (2015)

2014

10. Edito
    Bankers, Markets & Investors, 2014, (129), 3
11. Evaluating UCITS Compliant Hedge Fund Performance
    Bankers, Markets & Investors, 2014, (133), 11-22 View citations (1)
    See also Working Paper Evaluating UCITS Compliant Hedge Fund Performance, Post-Print (2014) View citations (1) (2014)

2012

12. The alpha and omega of fund of hedge fund added value
    Journal of Banking & Finance, 2012, 36, (4), 1067-1078 View citations (5)

2011

13. Nonparametric Instrumental Regression
    Econometrica, 2011, 79, (5), 1541-1565 View citations (164)
    See also Working Paper Non Parametric Instrumental Regression, IDEI Working Papers (2010) View citations (8) (2010)

2010

14. Conditionally fitted Sharpe performance with an application to hedge fund rating
    Journal of Banking & Finance, 2010, 34, (3), 578-593 View citations (19)

2009

15. L-performance with an application to hedge funds
    Journal of Empirical Finance, 2009, 16, (4), 671-685 View citations (17)

2008

16. Improving VWAP strategies: A dynamic volume approach
    Journal of Banking & Finance, 2008, 32, (9), 1709-1722 View citations (41)
    See also Working Paper Improving VWAP strategies: A dynamic volume approach, Post-Print (2008) View citations (35) (2008)

2006

17. Structural Laplace Transform and Compound Autoregressive Models
    Journal of Time Series Analysis, 2006, 27, (4), 477-503 View citations (43)

2004

18. Kernel-based nonlinear canonical analysis and time reversibility
    Journal of Econometrics, 2004, 119, (2), 323-353 View citations (13)
    See also Working Paper Kernel Based Nonlinear Canonical Analysis and Time Reversibility, Working Papers (2000) View citations (2) (2000)
19. Nouvelles techniques de gestion et leur impact sur la volatilité
    Revue d'Économie Financière, 2004, 74, (1), 231-243 View citations (1)

2001

20. Factor ARMA representation of a Markov process
    Economics Letters, 2001, 71, (2), 165-171
    See also Working Paper Factor ARMA Representation of a Markov Process, Working Papers (2000) (2000)
21. Truncated dynamics and estimation of diffusion equations
    Journal of Econometrics, 2001, 102, (1), 1-22 View citations (14)
    See also Working Paper Truncated Dynamics and Estimation of DiffusionEquations, Working Papers (1997) (1997)

2000

22. Approximating payoffs and pricing formulas
    Journal of Economic Dynamics and Control, 2000, 24, (11-12), 1721-1746 View citations (6)
23. Intraday Transaction Price Dynamics
    Annals of Economics and Statistics, 2000, (60), 207-238 View citations (10)

Chapters

2015

1. Contagion in Emerging Markets
   Palgrave Macmillan View citations (1)
   See also Working Paper Contagion in Emerging Markets, HAL (2014) (2014)