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 2 3 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 3 7 30
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 1 5 0 2 6 75
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 0 2 9 69
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 70 0 2 13 187
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 6 0 3 11 56
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 18 1 3 13 40
Compound Autoregressive Models 0 0 0 83 0 5 13 293
Contagion Analysis In The Banking Sector 0 0 0 5 0 0 1 27
Contagion in Emerging Markets 0 0 0 0 0 2 9 23
Contagion phenomena with applications in finance 0 0 0 0 0 0 4 15
Decomposing Volume for VWAP Strategies 0 0 0 68 1 5 9 186
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 1 10 132
Evaluating UCITS Compliant Hedge Fund Performance 0 0 0 0 2 3 5 33
Factor ARMA Representation of a Markov Process 0 0 0 10 0 1 7 255
Factor Models and General Definition 0 0 0 0 0 0 2 28
Factor Selection 0 0 0 0 1 3 5 21
Financial Market Liquidity: Who Is Acting Strategically? 0 0 0 22 2 2 11 68
Forecasting Intra-daily Liquidity in Large Panels 0 0 0 0 0 2 4 58
Gauging Liquidity Risk in Emerging Market Bond Index Funds 0 0 0 1 0 2 8 31
Improving VWAP strategies: A dynamic volume approach 0 0 0 0 1 4 11 37
Improving VWAP strategies: A dynamical volume approach 1 1 4 93 3 18 41 402
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 0 2 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 1 8 0 2 7 44
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 0 3 7 113
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 0 2 8 374
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 0 2 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 0 0 2 8 25
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 5 0 0 4 27
Liquidity contagion: A look at emerging markets 0 0 0 0 1 3 8 47
Liquidity risk and contagion for liquid funds 0 0 0 3 0 0 10 34
MLiq a meta liquidity measure 0 0 0 0 0 1 5 62
MLiq a meta liquidity measure 0 0 0 0 0 1 6 54
Measuring the Liquidity Part of Volume 0 0 0 0 0 3 8 17
Measuring the Liquidity Part of Volume 0 0 0 0 1 4 12 36
Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows 0 0 0 0 0 2 10 45
Multi-factor models and signal processing techniques: application to quantitative finance 0 0 0 0 0 4 9 83
Non Parametric Instrumental Regression 0 0 0 193 0 4 12 518
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 16 1 3 8 55
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 44 1 2 5 55
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 3 13 319
Nonparametric Instrumental Regression 0 0 1 210 0 3 19 562
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 1 10 40
Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry? 0 0 0 0 0 1 2 17
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 0 0 1 87 1 3 8 232
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 0 1 3 5 25
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 0 2 9 138
The Dynamics of Hedge Fund Performance 0 0 0 0 0 1 1 34
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme 0 0 0 4 1 3 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 3 10 56
Trading Volume and Arbitrage 0 0 0 0 1 4 11 44
Trading Volume and Arbitrage 0 0 1 137 0 1 15 418
Trading volume and Arbitrage 0 0 1 5 0 2 9 42
Trading volume and Arbitrage 0 0 0 0 0 3 9 81
Trends everywhere? The case of hedge fund styles 0 0 0 1 0 2 7 43
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 0 3 11 49
Total Working Papers 1 1 13 1,283 22 144 518 6,919

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 0 2 16 117
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 17 0 2 16 124
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 4 1 2 12 47
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 0 1 42 1 3 7 176
Edito 0 0 0 1 0 4 9 26
Evaluating UCITS Compliant Hedge Fund Performance 0 0 1 20 1 4 8 106
Factor ARMA representation of a Markov process 0 0 0 50 0 2 5 148
Gauging Liquidity Risk in Emerging Market Bond Index Funds 0 0 0 8 0 3 16 68
Improving VWAP strategies: A dynamic volume approach 0 1 4 252 4 11 25 712
Intraday Transaction Price Dynamics 0 0 0 6 0 4 7 27
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 0 2 4 56
Introduction 0 0 0 4 0 1 6 46
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 0 3 12 195
L-performance with an application to hedge funds 1 1 2 32 1 3 9 182
Measuring the liquidity part of volume 0 0 0 29 0 3 11 125
Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows 0 0 3 28 0 7 27 177
Nonparametric Instrumental Regression 0 0 0 91 1 6 21 346
Nouvelles techniques de gestion et leur impact sur la volatilité 0 0 0 3 0 2 6 44
Structural Laplace Transform and Compound Autoregressive Models 0 0 1 142 0 3 9 353
The alpha and omega of fund of hedge fund added value 0 0 0 41 1 4 9 160
The rise of fintechs and their regulation 0 5 20 1,682 4 10 69 3,455
Trends everywhere? The case of hedge fund styles 0 0 0 17 1 3 7 107
Truncated dynamics and estimation of diffusion equations 0 0 0 27 0 2 6 118
Total Journal Articles 1 7 33 2,619 15 86 317 6,915

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 2 11 16
Total Chapters 0 0 0 0 0 2 11 16

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Statistics updated 2026-06-04