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
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Working Papers
2021
- A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk
Working Papers, HAL
- Forecasting Intra-daily Liquidity in Large Panels
Working Papers, HAL
2019
- 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)
- 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
- Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
AMSE Working Papers, Aix-Marseille School of Economics, France View citations (13)
Also in Post-Print, HAL (2018) View citations (13) MPRA Paper, University Library of Munich, Germany (2018) View citations (13) Working Papers, HAL (2018) View citations (13)
See also Journal Article Asymptotics of Cholesky GARCH models and time-varying conditional betas, Journal of Econometrics, Elsevier (2018) View citations (14) (2018)
2017
- Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows
Post-Print, HAL View citations (22)
See also Journal Article Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows, Journal of Econometrics, Elsevier (2017) View citations (20) (2017)
2016
- 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)
- 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)
- Introduction to the special issue on recent developments in Financial Econometrics
Post-Print, HAL
2015
- Contagion phenomena with applications in finance
Post-Print, HAL View citations (5)
- Financial Market Liquidity: Who Is Acting Strategically?
THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
- 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 (16) (2015)
- Performance fees and hedge fund return dynamics
Post-Print, HAL
- The Dynamics of Hedge Fund Performance
Post-Print, HAL
2014
- Contagion Analysis In The Banking Sector
Post-Print, HAL View citations (1)
- Contagion in Emerging Markets
Post-Print, HAL
See also Chapter Contagion in Emerging Markets, Palgrave Macmillan Books, Palgrave Macmillan (2015) View citations (1) (2015)
- 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)
- Liquidity risk and contagion for liquid funds
Post-Print, HAL
- Trading Volume and Arbitrage
Post-Print, HAL View citations (3)
Also in Post-Print, HAL (2014) View citations (3) Post-Print, HAL (2014) View citations (3) Working Papers, Center for Research in Economics and Statistics (2003) View citations (7)
2013
- A Regularized Kalman Filter (rgKF) for Spiky Data
Post-Print, HAL
- Factor Models and General Definition
Post-Print, HAL
- Factor Selection
Post-Print, HAL
- Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective
Post-Print, HAL
- Liquidity Contagion. The Emerging Sovereign Debt Markets example
Post-Print, HAL View citations (1)
Also in Post-Print, HAL (2012)
- MLiq a meta liquidity measure
Post-Print, HAL
Also in Post-Print, HAL (2012)
- Multi-factor models and signal processing techniques: application to quantitative finance
Post-Print, HAL View citations (3)
- Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry?
Post-Print, HAL
- 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)
- 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)
- 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
- Liquidity contagion: A look at emerging markets
Post-Print, HAL View citations (1)
- Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume
Post-Print, HAL
- Robust Portfolio Allocation with Systematic Risk Contribution Restrictions
Working Papers, Center for Research in Economics and Statistics View citations (8)
2010
- Non Parametric Instrumental Regression
IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations (8)
Also in Working Papers, Center for Research in Economics and Statistics (2000) View citations (8) Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) View citations (88)
See also Journal Article Nonparametric Instrumental Regression, Econometrica, Econometric Society (2011) View citations (164) (2011)
- Nonparametric Analysis of Hedge Funds Lifetimes
IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations (1)
Also in TSE Working Papers, Toulouse School of Economics (TSE) (2010) View citations (1)
2008
- 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 (39) (2008)
2005
- Decomposing Volume for VWAP Strategies
Working Papers, Center for Research in Economics and Statistics
2001
- Compound Autoregressive Models
Working Papers, Center for Research in Economics and Statistics View citations (8)
- Kernel Based Nonlinear Canonical Analysis
IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations (1)
Also in Working Papers, Center for Research in Economics and Statistics (1998) View citations (3) Working Papers, Toulouse - GREMAQ (1999)
2000
- Empirical Local Time for Processes Observed on a Grid
Working Papers, Center for Research in Economics and Statistics View citations (1)
- 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)
- 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
- Approximating Payoffs and Approximating Pricing Formulas
Working Papers, Center for Research in Economics and Statistics
- Dynamiques tronquées et estimation de modèles de diffusion
Working Papers, Center for Research in Economics and Statistics
- Nonparametric Estimation of a Diffusion Equation from Tick Observations
Working Papers, Center for Research in Economics and Statistics View citations (3)
- 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
- 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)
- 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
- Asymptotics of Cholesky GARCH models and time-varying conditional betas
Journal of Econometrics, 2018, 204, (2), 223-247 View citations (14)
See also Working Paper Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas, AMSE Working Papers (2018) View citations (13) (2018)
2017
- Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows
Journal of Econometrics, 2017, 201, (2), 367-383 View citations (20)
See also Working Paper Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows, Post-Print (2017) View citations (22) (2017)
2016
- 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)
- 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)
- Introduction
Annals of Economics and Statistics, 2016, (123-124), 7-8
- The rise of fintechs and their regulation
Financial Stability Review, 2016, (20), 85-92 View citations (14)
2015
- Measuring the liquidity part of volume
Journal of Banking & Finance, 2015, 50, (C), 92-105 View citations (16)
See also Working Paper Measuring the Liquidity Part of Volume, Post-Print (2015) View citations (16) (2015)
2014
- Edito
Bankers, Markets & Investors, 2014, (129), 3
- 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
- The alpha and omega of fund of hedge fund added value
Journal of Banking & Finance, 2012, 36, (4), 1067-1078 View citations (5)
2011
- 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
- Conditionally fitted Sharpe performance with an application to hedge fund rating
Journal of Banking & Finance, 2010, 34, (3), 578-593 View citations (19)
2009
- L-performance with an application to hedge funds
Journal of Empirical Finance, 2009, 16, (4), 671-685 View citations (17)
2008
- Improving VWAP strategies: A dynamic volume approach
Journal of Banking & Finance, 2008, 32, (9), 1709-1722 View citations (39)
See also Working Paper Improving VWAP strategies: A dynamic volume approach, Post-Print (2008) View citations (35) (2008)
2006
- Structural Laplace Transform and Compound Autoregressive Models
Journal of Time Series Analysis, 2006, 27, (4), 477-503 View citations (43)
2004
- 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)
- Nouvelles techniques de gestion et leur impact sur la volatilité
Revue d'Économie Financière, 2004, 74, (1), 231-243 View citations (1)
2001
- 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)
- 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
- Approximating payoffs and pricing formulas
Journal of Economic Dynamics and Control, 2000, 24, (11-12), 1721-1746 View citations (6)
- Intraday Transaction Price Dynamics
Annals of Economics and Statistics, 2000, (60), 207-238 View citations (10)
Chapters
2015
- Contagion in Emerging Markets
Palgrave Macmillan View citations (1)
See also Working Paper Contagion in Emerging Markets, HAL (2014) (2014)
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