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 30
A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk 0 0 0 0 2 2 6 20
Approximating Payoffs and Approximating Pricing Formulas 0 0 0 9 0 0 1 23
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 3 0 5 8 54
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 1 1 4 0 2 7 66
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 1 2 69 0 2 5 164
Asymptotics of Cholesky GARCH models and time-varying conditional betas 1 1 1 5 1 3 5 44
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 1 18 0 1 4 24
Compound Autoregressive Models 0 0 1 81 0 0 1 278
Contagion Analysis In The Banking Sector 0 0 0 5 0 0 2 24
Contagion in Emerging Markets 0 0 0 0 1 1 1 13
Contagion phenomena with applications in finance 0 0 0 0 0 0 2 9
Decomposing Volume for VWAP Strategies 0 0 2 66 0 2 7 173
Dynamiques tronquées et estimation de modèles de diffusion 0 0 0 2 0 0 0 24
Empirical Local Time for Processes Observed on a Grid 0 0 0 13 0 0 0 120
Evaluating UCITS Compliant Hedge Fund Performance 0 0 0 0 0 0 0 26
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 1 1 25
Factor Selection 0 0 0 0 0 0 0 12
Financial Market Liquidity: Who Is Acting Strategically? 0 0 0 21 0 0 2 55
Forecasting Intra-daily Liquidity in Large Panels 0 0 0 0 2 7 29 34
Gauging Liquidity Risk in Emerging Market Bond Index Funds 0 0 0 0 0 0 1 19
Improving VWAP strategies: A dynamic volume approach 0 0 0 0 1 1 7 20
Improving VWAP strategies: A dynamical volume approach 0 0 3 84 0 0 6 336
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 0 0 1 26
Introduction to the special issue on recent developments in Financial Econometrics 0 0 0 0 1 2 2 91
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 0 1 1 365
Kernel Based Nonlinear Canonical Analysis 0 0 1 7 0 0 1 33
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 0 0 2 105
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 0 0 0 672
Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective 0 0 0 0 0 0 4 15
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 0 0 1 1 16
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 5 0 0 1 23
Liquidity contagion: A look at emerging markets 0 0 0 0 1 1 2 36
Liquidity risk and contagion for liquid funds 0 0 0 3 0 1 3 21
MLiq a meta liquidity measure 0 0 0 0 0 0 6 56
MLiq a meta liquidity measure 0 0 0 0 0 0 1 46
Measuring the Liquidity Part of Volume 0 0 0 0 2 2 4 21
Measuring the Liquidity Part of Volume 0 0 0 0 0 0 1 7
Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows 0 0 0 0 0 1 4 33
Multi-factor models and signal processing techniques: application to quantitative finance 0 0 0 0 0 0 9 66
Non Parametric Instrumental Regression 0 1 1 189 0 3 7 497
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 44 0 0 0 50
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 14 0 0 0 44
Nonparametric Estimation of a Diffusion Equation from Tick Observations 0 0 0 11 0 0 0 35
Nonparametric Instrumental Regression 2 2 2 31 2 3 4 299
Nonparametric Instrumental Regression 1 2 2 201 2 6 10 523
Performance fees and hedge fund return dynamics 0 0 0 2 0 0 0 25
Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume 0 1 3 5 0 1 5 27
Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry? 0 0 0 0 0 0 1 15
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 0 0 1 83 0 0 2 218
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 0 0 0 0 18
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 0 0 1 128
The Dynamics of Hedge Fund Performance 0 0 0 0 0 2 2 33
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme 0 0 0 4 3 13 37 139
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 0 0 0 46
Trading Volume and Arbitrage 0 1 1 129 1 6 13 387
Trading Volume and Arbitrage 0 0 0 0 0 0 5 31
Trading volume and Arbitrage 0 0 0 3 0 0 5 27
Trading volume and Arbitrage 0 0 0 0 0 2 15 69
Trends everywhere? The case of hedge fund styles 0 0 0 1 0 0 2 28
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 0 0 1 38
Total Working Papers 4 10 22 1,229 19 72 249 6,150


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 0 0 101
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 2 11 0 2 8 93
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 4 1 2 5 32
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 1 1 38 0 1 3 163
Edito 0 0 0 1 0 0 0 17
Evaluating UCITS Compliant Hedge Fund Performance 0 0 0 19 0 0 2 97
Factor ARMA representation of a Markov process 0 0 0 50 0 0 0 141
Gauging Liquidity Risk in Emerging Market Bond Index Funds 0 0 0 8 0 0 1 51
Improving VWAP strategies: A dynamic volume approach 0 0 6 242 1 3 19 673
Intraday Transaction Price Dynamics 0 1 2 6 0 2 3 15
Intrinsic Liquidity in Conditional Volatility Models 0 0 2 12 0 0 4 49
Introduction 0 0 0 4 0 0 0 38
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 0 0 1 180
L-performance with an application to hedge funds 0 0 0 30 0 0 1 166
Measuring the liquidity part of volume 0 0 0 29 0 0 5 107
Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows 0 0 2 22 2 4 8 138
Nonparametric Instrumental Regression 0 1 3 86 0 2 9 310
Nouvelles techniques de gestion et leur impact sur la volatilité 0 0 0 3 0 1 1 38
Structural Laplace Transform and Compound Autoregressive Models 0 0 0 136 0 0 4 333
The alpha and omega of fund of hedge fund added value 0 0 0 37 0 1 3 139
The rise of fintechs and their regulation 8 28 109 1,532 19 56 243 3,073
Trends everywhere? The case of hedge fund styles 0 0 1 15 3 4 8 96
Truncated dynamics and estimation of diffusion equations 0 0 0 27 1 1 2 111
Total Journal Articles 8 31 128 2,422 27 79 330 6,161


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 3
Total Chapters 0 0 0 0 0 0 1 3


Statistics updated 2023-05-07