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 3 33
A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk 0 0 0 0 0 0 4 28
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 1 1 5 0 2 4 70
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 1 4 0 0 3 60
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 70 0 0 4 174
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 1 1 6 0 2 3 47
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 18 0 0 0 27
Compound Autoregressive Models 0 0 0 83 0 0 0 280
Contagion Analysis In The Banking Sector 0 0 0 5 0 1 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 1 68 0 0 2 177
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 1 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 0 0 0 248
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 1 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 1 1 2 24
Improving VWAP strategies: A dynamic volume approach 0 0 0 0 0 1 5 26
Improving VWAP strategies: A dynamical volume approach 0 1 2 89 1 2 12 362
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 1 0 0 1 366
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 0 0 1 106
Kernel Based Nonlinear Canonical Analysis 0 0 0 7 0 0 2 37
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 0 0 0 0 17
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 5 0 0 0 23
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 1 57
MLiq a meta liquidity measure 0 0 0 0 0 0 0 48
Measuring the Liquidity Part of Volume 0 0 0 0 1 1 2 25
Measuring the Liquidity Part of Volume 0 0 0 0 0 0 0 9
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 0 0 3 74
Non Parametric Instrumental Regression 0 0 0 193 0 0 2 506
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 44 0 0 0 50
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 16 0 0 1 47
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 2 2 306
Nonparametric Instrumental Regression 0 1 3 209 1 3 8 544
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 1 3 31
Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry? 0 0 0 0 1 1 1 16
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 1 1 2 87 1 2 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 3 152
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 1 1 1 47
Trading Volume and Arbitrage 0 1 4 136 0 1 8 403
Trading Volume and Arbitrage 0 0 0 0 0 0 0 33
Trading volume and Arbitrage 0 0 0 4 0 0 3 33
Trading volume and Arbitrage 0 0 0 0 0 0 2 72
Trends everywhere? The case of hedge fund styles 0 0 0 1 0 0 1 36
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 0 0 0 38
Total Working Papers 1 6 18 1,273 10 23 116 6,415

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 1 102
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 2 16 0 2 12 110
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 4 0 2 3 37
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 0 1 41 1 1 3 170
Edito 0 0 0 1 0 0 0 17
Evaluating UCITS Compliant Hedge Fund Performance 0 0 0 19 0 0 0 98
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 1 1 1 53
Improving VWAP strategies: A dynamic volume approach 1 2 3 249 1 3 7 689
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 1 2 40
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 2 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 1 1 1 115
Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows 0 0 2 25 1 1 8 151
Nonparametric Instrumental Regression 0 0 0 91 0 2 2 326
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 1 141 0 4 6 346
The alpha and omega of fund of hedge fund added value 0 0 1 41 0 0 1 151
The rise of fintechs and their regulation 1 7 47 1,666 6 25 142 3,399
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 1 1 2 113
Total Journal Articles 2 9 57 2,591 15 47 206 6,628

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

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Statistics updated 2025-08-05