Access Statistics for Serge Darolles

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Regularized Kalman Filter (rgKF) for Spiky Data 0 0 0 0 0 2 8 41
A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk 0 0 0 0 0 0 4 32
Approximating Payoffs and Approximating Pricing Formulas 0 0 0 9 0 0 7 30
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 5 0 0 5 75
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 0 1 10 70
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 6 0 0 9 56
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 70 0 0 13 187
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 18 0 1 13 40
Compound Autoregressive Models 0 0 0 83 0 0 13 293
Contagion Analysis In The Banking Sector 0 0 0 5 1 1 1 28
Contagion in Emerging Markets 0 0 0 0 0 0 9 23
Contagion phenomena with applications in finance 0 0 0 0 0 1 5 16
Decomposing Volume for VWAP Strategies 0 0 0 68 1 2 10 187
Dynamiques tronquées et estimation de modèles de diffusion 0 0 0 2 0 0 1 26
Empirical Local Time for Processes Observed on a Grid 0 0 2 15 0 0 9 132
Evaluating UCITS Compliant Hedge Fund Performance 0 0 0 0 0 2 5 33
Factor ARMA Representation of a Markov Process 0 0 0 10 0 0 7 255
Factor Models and General Definition 0 0 0 0 0 0 2 28
Factor Selection 0 0 0 0 0 1 5 21
Financial Market Liquidity: Who Is Acting Strategically? 0 0 0 22 0 2 10 68
Forecasting Intra-daily Liquidity in Large Panels 0 0 0 0 0 0 4 58
Gauging Liquidity Risk in Emerging Market Bond Index Funds 0 0 0 1 0 2 9 33
Improving VWAP strategies: A dynamic volume approach 0 0 0 0 1 2 12 38
Improving VWAP strategies: A dynamical volume approach 1 3 6 95 5 13 50 412
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 0 0 7 35
Introduction to the special issue on recent developments in Financial Econometrics 0 0 0 0 0 0 2 93
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 1 1 9 375
Kernel Based Nonlinear Canonical Analysis 0 0 1 8 0 0 7 44
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 1 2 9 115
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 0 0 10 683
Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective 0 0 0 0 0 0 3 20
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 5 0 1 5 28
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 0 0 0 8 25
Liquidity contagion: A look at emerging markets 0 0 0 0 0 2 9 48
Liquidity risk and contagion for liquid funds 0 0 0 3 0 0 10 34
MLiq a meta liquidity measure 0 0 0 0 1 1 7 55
MLiq a meta liquidity measure 0 0 0 0 0 0 5 62
Measuring the Liquidity Part of Volume 0 0 0 0 0 2 12 37
Measuring the Liquidity Part of Volume 0 0 0 0 0 1 9 18
Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows 0 0 0 0 0 1 11 46
Multi-factor models and signal processing techniques: application to quantitative finance 0 0 0 0 0 0 9 83
Non Parametric Instrumental Regression 0 0 0 193 1 1 13 519
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 44 0 1 5 55
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 16 0 2 9 56
Nonparametric Estimation of a Diffusion Equation from Tick Observations 0 0 0 12 0 0 8 46
Nonparametric Instrumental Regression 0 0 0 33 1 2 14 320
Nonparametric Instrumental Regression 0 0 1 210 1 2 20 564
Performance fees and hedge fund return dynamics 0 0 0 2 0 0 0 26
Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume 0 0 0 5 0 0 9 40
Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry? 0 0 0 0 0 0 1 17
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 0 0 0 87 2 3 9 234
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 0 0 1 5 25
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 0 1 10 139
The Dynamics of Hedge Fund Performance 0 0 0 0 0 0 1 34
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme 0 0 0 4 0 1 10 162
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 0 0 9 56
Trading Volume and Arbitrage 0 0 0 0 1 2 12 45
Trading Volume and Arbitrage 0 0 1 137 0 1 16 419
Trading volume and Arbitrage 0 0 1 5 0 0 9 42
Trading volume and Arbitrage 0 0 0 0 0 0 9 81
Trends everywhere? The case of hedge fund styles 0 0 0 1 0 0 7 43
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 0 1 12 50
Total Working Papers 1 3 12 1,285 17 59 541 6,956

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Approximating payoffs and pricing formulas 0 0 0 37 1 1 16 118
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 17 0 1 15 125
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 4 0 1 10 47
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 0 1 42 0 1 6 176
Edito 0 0 0 1 0 0 9 26
Evaluating UCITS Compliant Hedge Fund Performance 0 0 1 20 0 1 8 106
Factor ARMA representation of a Markov process 0 0 0 50 1 1 6 149
Gauging Liquidity Risk in Emerging Market Bond Index Funds 0 0 0 8 0 1 16 69
Improving VWAP strategies: A dynamic volume approach 0 0 3 252 3 10 29 718
Intraday Transaction Price Dynamics 0 0 0 6 0 0 7 27
Intrinsic Liquidity in Conditional Volatility Models 0 1 1 14 0 1 5 57
Introduction 0 0 0 4 1 1 7 47
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 1 1 11 196
L-performance with an application to hedge funds 0 1 2 32 0 1 9 182
Measuring the liquidity part of volume 0 0 0 29 0 2 12 127
Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows 1 3 6 31 4 7 33 184
Nonparametric Instrumental Regression 0 0 0 91 1 2 21 347
Nouvelles techniques de gestion et leur impact sur la volatilité 0 0 0 3 1 1 7 45
Structural Laplace Transform and Compound Autoregressive Models 0 0 1 142 0 0 7 353
The alpha and omega of fund of hedge fund added value 0 0 0 41 0 1 9 160
The rise of fintechs and their regulation 1 3 19 1,685 2 8 60 3,459
Trends everywhere? The case of hedge fund styles 0 0 0 17 1 3 9 109
Truncated dynamics and estimation of diffusion equations 0 0 0 27 1 1 6 119
Total Journal Articles 2 8 35 2,626 17 46 318 6,946

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Contagion in Emerging Markets 0 0 0 0 0 0 11 16
Total Chapters 0 0 0 0 0 0 11 16

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Statistics updated 2026-08-07