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Details about Serge Darolles

Workplace:Dauphine Recherches en Management (DRM), Université Paris-Dauphine (Paris IX) (University of Paris 9), (more information at EDIRC)

Access statistics for papers by Serge Darolles.

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

Short-id: pda653


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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

  1. Bivariate integer-autoregressive process with an application to mutual fund flows
    Post-Print, HAL Downloads View citations (4)
    See also Journal Article Bivariate integer-autoregressive process with an application to mutual fund flows, Journal of Multivariate Analysis, Elsevier (2019) Downloads View citations (4) (2019)
  2. 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) Downloads View citations (2) (2019)

2018

  1. Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
    AMSE Working Papers, Aix-Marseille School of Economics, France Downloads View citations (10)
    Also in MPRA Paper, University Library of Munich, Germany (2018) Downloads View citations (10)
    Working Papers, HAL (2018) Downloads View citations (11)
    Post-Print, HAL (2018) Downloads View citations (11)

    See also Journal Article Asymptotics of Cholesky GARCH models and time-varying conditional betas, Journal of Econometrics, Elsevier (2018) Downloads View citations (11) (2018)

2017

  1. Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows
    Post-Print, HAL View citations (19)
    See also Journal Article Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows, Journal of Econometrics, Elsevier (2017) Downloads View citations (15) (2017)

2016

  1. 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) Downloads (2016)
  2. 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) Downloads (2016)
  3. Introduction to the special issue on recent developments in Financial Econometrics
    Post-Print, HAL Downloads

2015

  1. Contagion phenomena with applications in finance
    Post-Print, HAL View citations (4)
  2. Financial Market Liquidity: Who Is Acting Strategically?
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads
  3. 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) Downloads View citations (16) (2015)
  4. Performance fees and hedge fund return dynamics
    Post-Print, HAL
  5. The Dynamics of Hedge Fund Performance
    Post-Print, HAL

2014

  1. Contagion Analysis In The Banking Sector
    Post-Print, HAL Downloads View citations (1)
  2. Contagion in Emerging Markets
    Post-Print, HAL
    See also Chapter Contagion in Emerging Markets, Palgrave Macmillan Books, Palgrave Macmillan (2015) View citations (1) (2015)
  3. 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) Downloads View citations (1) (2014)
  4. Liquidity risk and contagion for liquid funds
    Post-Print, HAL Downloads
  5. Trading Volume and Arbitrage
    Post-Print, HAL View citations (3)
    Also in Post-Print, HAL (2014) View citations (3)
    Post-Print, HAL (2014) Downloads View citations (3)
    Working Papers, Center for Research in Economics and Statistics (2003) Downloads View citations (7)

2013

  1. A Regularized Kalman Filter (rgKF) for Spiky Data
    Post-Print, HAL
  2. Factor Models and General Definition
    Post-Print, HAL
  3. Factor Selection
    Post-Print, HAL
  4. Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective
    Post-Print, HAL
  5. Liquidity Contagion. The Emerging Sovereign Debt Markets example
    Post-Print, HAL Downloads View citations (1)
    Also in Post-Print, HAL (2012) Downloads
  6. MLiq a meta liquidity measure
    Post-Print, HAL
    Also in Post-Print, HAL (2012)
  7. Multi-factor models and signal processing techniques: application to quantitative finance
    Post-Print, HAL View citations (3)
  8. Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry?
    Post-Print, HAL
  9. Survival of Hedge Funds: Frailty vs Contagion
    Post-Print, HAL Downloads View citations (2)
    Also in Working Papers, Center for Research in Economics and Statistics (2012) Downloads View citations (3)
  10. 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 Downloads View citations (2)
  11. 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 Downloads View citations (1)

2012

  1. Liquidity contagion: A look at emerging markets
    Post-Print, HAL View citations (1)
  2. Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume
    Post-Print, HAL Downloads
  3. Robust Portfolio Allocation with Systematic Risk Contribution Restrictions
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (7)

2010

  1. Non Parametric Instrumental Regression
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse Downloads View citations (8)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) Downloads View citations (88)
    Working Papers, Center for Research in Economics and Statistics (2000) Downloads View citations (8)

    See also Journal Article Nonparametric Instrumental Regression, Econometrica, Econometric Society (2011) Downloads View citations (160) (2011)
  2. Nonparametric Analysis of Hedge Funds Lifetimes
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse Downloads View citations (1)
    Also in TSE Working Papers, Toulouse School of Economics (TSE) (2010) Downloads View citations (1)

2008

  1. Improving VWAP strategies: A dynamic volume approach
    Post-Print, HAL View citations (34)
    Also in Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne (2006) Downloads View citations (1)

    See also Journal Article Improving VWAP strategies: A dynamic volume approach, Journal of Banking & Finance, Elsevier (2008) Downloads View citations (38) (2008)

2005

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

2001

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

2000

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

1997

  1. Approximating Payoffs and Approximating Pricing Formulas
    Working Papers, Center for Research in Economics and Statistics Downloads
  2. Dynamiques tronquées et estimation de modèles de diffusion
    Working Papers, Center for Research in Economics and Statistics Downloads
  3. Nonparametric Estimation of a Diffusion Equation from Tick Observations
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (3)
  4. Truncated Dynamics and Estimation of DiffusionEquations
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article Truncated dynamics and estimation of diffusion equations, Journal of Econometrics, Elsevier (2001) Downloads 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 Downloads View citations (4)
    See also Working Paper Bivariate integer-autoregressive process with an application to mutual fund flows, Post-Print (2019) Downloads View citations (4) (2019)
  2. Trends everywhere? The case of hedge fund styles
    Journal of Asset Management, 2019, 20, (6), 442-468 Downloads View citations (2)
    See also Working Paper Trends everywhere? The case of hedge fund styles, Post-Print (2019) View citations (2) (2019)

2018

  1. Asymptotics of Cholesky GARCH models and time-varying conditional betas
    Journal of Econometrics, 2018, 204, (2), 223-247 Downloads View citations (11)
    See also Working Paper Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas, AMSE Working Papers (2018) Downloads View citations (10) (2018)

2017

  1. Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows
    Journal of Econometrics, 2017, 201, (2), 367-383 Downloads View citations (15)
    See also Working Paper Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows, Post-Print (2017) View citations (19) (2017)

2016

  1. Gauging Liquidity Risk in Emerging Market Bond Index Funds
    Annals of Economics and Statistics, 2016, (123-124), 247-269 Downloads
    See also Working Paper Gauging Liquidity Risk in Emerging Market Bond Index Funds, Post-Print (2016) (2016)
  2. Intrinsic Liquidity in Conditional Volatility Models
    Annals of Economics and Statistics, 2016, (123-124), 225-245 Downloads
    See also Working Paper Intrinsic Liquidity in Conditional Volatility Models, Post-Print (2016) (2016)
  3. Introduction
    Annals of Economics and Statistics, 2016, (123-124), 7-8 Downloads
  4. The rise of fintechs and their regulation
    Financial Stability Review, 2016, (20), 85-92 Downloads View citations (13)

2015

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

2014

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

2012

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

2011

  1. Nonparametric Instrumental Regression
    Econometrica, 2011, 79, (5), 1541-1565 Downloads View citations (160)
    See also Working Paper Non Parametric Instrumental Regression, IDEI Working Papers (2010) Downloads View citations (8) (2010)

2010

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

2009

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

2008

  1. Improving VWAP strategies: A dynamic volume approach
    Journal of Banking & Finance, 2008, 32, (9), 1709-1722 Downloads View citations (38)
    See also Working Paper Improving VWAP strategies: A dynamic volume approach, Post-Print (2008) View citations (34) (2008)

2006

  1. Structural Laplace Transform and Compound Autoregressive Models
    Journal of Time Series Analysis, 2006, 27, (4), 477-503 Downloads View citations (41)

2004

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

2001

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

2000

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