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 1 1 7 14
Approximating Payoffs and Approximating Pricing Formulas 0 0 0 9 0 0 0 22
Approximating payoffs and pricing formulas 0 0 0 0 0 1 3 10
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 1 2 5 18 28
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 1 1 4 14 20
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 4 12 64 1 6 36 121
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 1 2 4 1 3 17 21
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 0 0 1 12 16
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 17 17 0 1 7 7
Compound Autoregressive Models 2 2 2 78 3 3 9 271
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 0 0 0 1 1 7 22
Contagion Analysis In The Banking Sector 0 0 3 4 1 2 14 20
Contagion in Emerging Markets 0 0 0 0 0 0 7 10
Contagion phenomena with applications in finance 0 0 0 0 0 0 0 0
Decomposing Volume for VWAP Strategies 1 2 2 60 2 5 9 153
Dynamiques tronquées et estimation de modèles de diffusion 0 0 0 2 0 0 0 22
Empirical Local Time for Processes Observed on a Grid 0 0 0 13 0 0 1 119
Evaluating UCITS Compliant Hedge Fund Performance 0 0 0 0 0 0 5 25
Factor ARMA Representation of a Markov Process 0 0 0 10 0 0 1 245
Factor ARMA representation of a Markov process 0 0 0 0 0 0 3 14
Factor Models and General Definition 0 0 0 0 1 1 12 20
Factor Selection 0 0 0 0 1 1 5 9
Financial Market Liquidity: Who Is Acting Strategically? 0 0 0 21 0 0 6 47
Gauging Liquidity Risk in Emerging Market Bond Index Funds 0 0 0 0 0 0 7 14
Hedge Fund Returns and Factor Models: A Cross-Sectional Approach 0 0 0 0 0 1 11 19
Improving VWAP strategies: A dynamic volume approach 0 0 0 0 1 2 15 76
Improving VWAP strategies: A dynamic volume approach 0 0 0 0 0 0 0 0
Improving VWAP strategies: A dynamical volume approach 0 1 5 74 1 5 23 304
Intraday Transaction Price Dynamics 0 0 0 0 0 0 2 9
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 0 0 6 19
Introduction to the special issue on recent developments in Financial Econometrics 0 0 0 0 0 1 13 86
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 2 2 4 99
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 0 1 2 361
Kernel Based Nonlinear Canonical Analysis 0 0 0 6 0 0 1 29
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 0 0 6 667
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 0 0 0 6 13
L-performance with an application to hedge funds 0 0 0 0 1 1 4 46
Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective 0 0 0 0 1 1 7 9
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 2 3 1 1 11 16
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 0 0 0 5 7
Liquidity contagion: A look at emerging markets 0 0 0 0 0 1 11 30
Liquidity risk and contagion for liquid funds 0 0 1 3 0 0 9 16
MLiq a meta liquidity measure 0 0 0 0 2 3 17 33
MLiq a meta liquidity measure 0 0 0 0 0 0 7 39
Measuring the Liquidity Part of Volume 0 0 0 0 0 0 4 13
Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows 0 0 0 0 0 0 8 23
Multi-factor models and signal processing techniques: application to quantitative finance 0 0 0 0 1 1 8 10
Multifactor Models: Examining the potential of signal processing techniques 0 0 0 0 0 1 12 42
Non Parametric Instrumental Regression 0 0 0 185 2 4 12 475
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 44 0 0 3 49
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 14 0 0 1 44
Nonparametric Estimation of a Diffusion Equation from Tick Observations 0 0 0 10 0 0 0 32
Nonparametric Instrumental Regression 0 0 1 25 1 4 10 289
Nonparametric Instrumental Regression 0 0 0 0 2 4 20 51
Nonparametric Instrumental Regression 0 0 0 195 1 1 2 501
Nouvelles techniques de gestion et leur impact sur la volatilité 0 0 0 0 0 0 4 13
Nouvelles techniques de gestion et leur impact sur la volatilité 0 0 0 0 0 0 4 11
Performance fees and hedge fund return dynamics 0 0 0 0 1 1 6 22
Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume 0 0 0 2 1 2 10 16
Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry? 0 0 0 0 1 1 8 11
Returns and Volume: Between Information andLiquidity 0 0 0 0 0 0 5 17
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 0 1 1 80 0 2 9 203
Structural Laplace Transform and Compound Autoregressive Models 0 0 0 0 1 1 3 14
Survival of Hedge Funds: Frailty vs Contagion 0 1 1 40 0 2 7 115
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 0 1 1 9 15
The Dynamics of Hedge Fund Performance 0 0 0 0 1 1 9 23
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme 0 0 0 4 0 4 16 53
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 1 2 8 39
The alpha and omega of fund of hedge fund added value 0 0 0 0 0 1 11 26
Trading Volume and Arbitrage 0 0 0 0 0 1 12 23
Trading Volume and Arbitrage 0 0 6 127 0 1 16 352
Trading volume and Arbitrage 0 0 2 3 0 1 10 20
Trading volume and Arbitrage 0 0 0 0 0 2 12 44
Trends everywhere? The case of hedge fund styles 0 0 0 0 0 2 2 2
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 3 0 0 8 31
Truncated dynamics and estimation of diffusion equations 0 0 0 0 0 0 5 14
Total Working Papers 3 12 57 1,164 38 94 614 5,721


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 1 4 98
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 2 6 1 5 25 61
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 3 3 0 1 11 11
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 0 1 37 0 0 7 150
Edito 0 0 0 1 1 1 3 15
Evaluating UCITS Compliant Hedge Fund Performance 0 0 3 13 3 5 13 70
Factor ARMA representation of a Markov process 0 0 0 49 0 0 2 138
Gauging Liquidity Risk in Emerging Market Bond Index Funds 1 1 1 7 2 3 7 39
Improving VWAP strategies: A dynamic volume approach 1 1 10 225 3 12 42 598
Intraday Transaction Price Dynamics 0 0 0 3 0 0 0 10
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 10 0 1 7 38
Introduction 0 0 0 3 0 2 7 32
Kernel-based nonlinear canonical analysis and time reversibility 0 0 1 70 1 1 6 174
L-performance with an application to hedge funds 0 0 0 30 1 2 20 154
Measuring the liquidity part of volume 0 0 2 24 0 1 16 86
Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows 0 1 5 11 1 4 49 102
Nonparametric Instrumental Regression 0 0 2 81 1 2 13 283
Nouvelles techniques de gestion et leur impact sur la volatilité 0 0 0 2 0 0 4 30
Structural Laplace Transform and Compound Autoregressive Models 0 0 0 134 1 1 9 315
The alpha and omega of fund of hedge fund added value 1 1 3 36 1 1 13 128
The rise of fintechs and their regulation 11 35 200 1,179 20 68 438 2,212
Trends everywhere? The case of hedge fund styles 0 0 4 4 9 20 45 45
Truncated dynamics and estimation of diffusion equations 0 0 0 27 0 0 7 105
Total Journal Articles 14 39 237 1,992 45 131 748 4,894


Statistics updated 2020-09-04