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 0 1 33
A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk 0 0 0 0 1 1 5 29
Approximating Payoffs and Approximating Pricing Formulas 0 0 0 9 0 0 0 23
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 1 5 0 0 4 70
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 1 4 0 2 5 62
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 6 0 1 4 48
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 70 2 2 5 176
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 18 0 1 1 28
Compound Autoregressive Models 0 0 0 83 0 0 0 280
Contagion Analysis In The Banking Sector 0 0 0 5 0 0 2 27
Contagion in Emerging Markets 0 0 0 0 0 0 1 14
Contagion phenomena with applications in finance 0 0 0 0 0 0 1 11
Decomposing Volume for VWAP Strategies 0 0 0 68 0 1 2 178
Dynamiques tronquées et estimation de modèles de diffusion 0 0 0 2 0 0 1 25
Empirical Local Time for Processes Observed on a Grid 0 0 0 13 0 1 3 123
Evaluating UCITS Compliant Hedge Fund Performance 0 0 0 0 0 0 1 28
Factor ARMA Representation of a Markov Process 0 0 0 10 1 2 2 250
Factor Models and General Definition 0 0 0 0 0 0 0 26
Factor Selection 0 0 0 0 0 0 0 16
Financial Market Liquidity: Who Is Acting Strategically? 0 0 1 22 0 1 2 58
Forecasting Intra-daily Liquidity in Large Panels 0 0 0 0 0 0 6 54
Gauging Liquidity Risk in Emerging Market Bond Index Funds 0 0 0 1 0 1 2 24
Improving VWAP strategies: A dynamic volume approach 0 0 0 0 0 0 3 26
Improving VWAP strategies: A dynamical volume approach 0 1 3 90 3 7 13 368
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 0 0 1 28
Introduction to the special issue on recent developments in Financial Econometrics 0 0 0 0 0 0 0 91
Kernel Based Nonlinear Canonical Analysis 0 0 0 7 0 0 2 37
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 0 0 1 366
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 0 0 1 106
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 0 0 1 673
Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective 0 0 0 0 0 0 0 17
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 5 0 0 0 23
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 0 1 1 1 18
Liquidity contagion: A look at emerging markets 0 0 0 0 0 0 1 39
Liquidity risk and contagion for liquid funds 0 0 0 3 0 0 0 24
MLiq a meta liquidity measure 0 0 0 0 0 0 0 48
MLiq a meta liquidity measure 0 0 0 0 0 0 1 57
Measuring the Liquidity Part of Volume 0 0 0 0 0 0 0 9
Measuring the Liquidity Part of Volume 0 0 0 0 0 1 2 25
Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows 0 0 0 0 0 0 1 35
Multi-factor models and signal processing techniques: application to quantitative finance 0 0 0 0 1 1 4 75
Non Parametric Instrumental Regression 0 0 0 193 0 0 2 506
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 16 0 0 1 47
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 44 1 1 1 51
Nonparametric Estimation of a Diffusion Equation from Tick Observations 0 0 1 12 0 0 3 38
Nonparametric Instrumental Regression 0 0 0 33 0 0 2 306
Nonparametric Instrumental Regression 0 1 2 210 0 3 7 546
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 1 2 3 32
Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry? 0 0 0 0 0 1 1 16
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 0 1 2 87 0 1 4 225
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 0 0 0 129
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 0 0 0 1 20
The Dynamics of Hedge Fund Performance 0 0 0 0 0 0 0 33
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme 0 0 0 4 0 0 2 152
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 0 1 1 47
Trading Volume and Arbitrage 0 0 0 0 0 3 3 36
Trading Volume and Arbitrage 0 0 4 136 0 0 6 403
Trading volume and Arbitrage 0 0 0 0 0 0 2 72
Trading volume and Arbitrage 0 0 0 4 1 1 4 34
Trends everywhere? The case of hedge fund styles 0 0 0 1 0 1 2 37
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 0 2 2 40
Total Working Papers 0 3 17 1,275 12 39 127 6,444

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 2 2 103
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 2 16 1 1 11 111
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 4 0 1 4 38
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 0 1 41 0 2 4 171
Edito 0 0 0 1 0 0 0 17
Evaluating UCITS Compliant Hedge Fund Performance 1 1 1 20 1 1 1 99
Factor ARMA representation of a Markov process 0 0 0 50 0 0 2 143
Gauging Liquidity Risk in Emerging Market Bond Index Funds 0 0 0 8 0 1 1 53
Improving VWAP strategies: A dynamic volume approach 0 1 2 249 0 2 5 690
Intraday Transaction Price Dynamics 0 0 0 6 0 0 3 20
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 0 0 2 52
Introduction 0 0 0 4 0 0 2 40
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 0 2 4 185
L-performance with an application to hedge funds 0 0 0 30 0 0 3 173
Measuring the liquidity part of volume 0 0 0 29 0 3 3 117
Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows 1 1 3 26 1 3 8 153
Nonparametric Instrumental Regression 0 0 0 91 0 1 3 327
Nouvelles techniques de gestion et leur impact sur la volatilité 0 0 0 3 0 0 0 38
Structural Laplace Transform and Compound Autoregressive Models 0 0 0 141 0 1 6 347
The alpha and omega of fund of hedge fund added value 0 0 0 41 0 0 0 151
The rise of fintechs and their regulation 4 5 44 1,670 6 15 130 3,408
Trends everywhere? The case of hedge fund styles 0 0 0 17 0 0 1 100
Truncated dynamics and estimation of diffusion equations 0 0 0 27 0 1 2 113
Total Journal Articles 6 8 53 2,597 10 36 197 6,649

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 1 5
Total Chapters 0 0 0 0 0 0 1 5

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Statistics updated 2025-10-06