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 1 34
A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk 0 0 0 0 0 3 7 32
Approximating Payoffs and Approximating Pricing Formulas 0 0 0 9 2 2 2 25
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 2 3 7 65
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 1 5 1 1 5 71
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 70 4 7 10 183
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 6 1 2 6 50
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 18 1 4 5 32
Compound Autoregressive Models 0 0 0 83 1 5 5 285
Contagion Analysis In The Banking Sector 0 0 0 5 0 0 1 27
Contagion in Emerging Markets 0 0 0 0 2 3 4 17
Contagion phenomena with applications in finance 0 0 0 0 2 2 3 13
Decomposing Volume for VWAP Strategies 0 0 0 68 0 0 1 178
Dynamiques tronquées et estimation de modèles de diffusion 0 0 0 2 0 1 2 26
Empirical Local Time for Processes Observed on a Grid 0 0 0 13 1 1 4 124
Evaluating UCITS Compliant Hedge Fund Performance 0 0 0 0 2 2 3 30
Factor ARMA Representation of a Markov Process 0 0 0 10 1 2 4 252
Factor Models and General Definition 0 0 0 0 0 1 1 27
Factor Selection 0 0 0 0 0 0 0 16
Financial Market Liquidity: Who Is Acting Strategically? 0 0 1 22 2 4 6 62
Forecasting Intra-daily Liquidity in Large Panels 0 0 0 0 0 2 7 56
Gauging Liquidity Risk in Emerging Market Bond Index Funds 0 0 0 1 1 2 4 26
Improving VWAP strategies: A dynamic volume approach 0 0 0 0 1 2 3 28
Improving VWAP strategies: A dynamical volume approach 0 0 2 90 4 8 18 376
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 2 3 3 31
Introduction to the special issue on recent developments in Financial Econometrics 0 0 0 0 1 1 1 92
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 2 3 4 369
Kernel Based Nonlinear Canonical Analysis 0 0 0 7 1 3 4 40
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 1 1 2 107
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 2 3 4 676
Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective 0 0 0 0 0 1 1 18
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 5 0 1 1 24
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 0 1 3 4 21
Liquidity contagion: A look at emerging markets 0 0 0 0 0 4 5 43
Liquidity risk and contagion for liquid funds 0 0 0 3 1 2 2 26
MLiq a meta liquidity measure 0 0 0 0 0 1 2 58
MLiq a meta liquidity measure 0 0 0 0 0 2 2 50
Measuring the Liquidity Part of Volume 0 0 0 0 1 2 4 27
Measuring the Liquidity Part of Volume 0 0 0 0 2 4 4 13
Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows 0 0 0 0 3 4 5 39
Multi-factor models and signal processing techniques: application to quantitative finance 0 0 0 0 0 1 2 76
Non Parametric Instrumental Regression 0 0 0 193 0 4 6 510
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 44 0 0 1 51
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 16 0 0 0 47
Nonparametric Estimation of a Diffusion Equation from Tick Observations 0 0 0 12 0 1 2 39
Nonparametric Instrumental Regression 0 0 2 210 4 6 11 552
Nonparametric Instrumental Regression 0 0 0 33 0 3 5 309
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 2 4 7 36
Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry? 0 0 0 0 0 0 1 16
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 0 0 2 87 1 2 6 227
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 0 0 1 2 21
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 1 4 4 133
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 4 6 156
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 0 0 1 47
Trading Volume and Arbitrage 0 0 0 0 0 1 4 37
Trading Volume and Arbitrage 1 1 3 137 3 8 12 411
Trading volume and Arbitrage 0 0 0 0 0 3 3 75
Trading volume and Arbitrage 1 1 1 5 1 2 3 36
Trends everywhere? The case of hedge fund styles 0 0 0 1 1 2 4 39
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 1 2 4 42
Total Working Papers 2 2 13 1,277 60 144 241 6,588

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 4 105
Asymptotics of Cholesky GARCH models and time-varying conditional betas 1 1 1 17 3 4 12 115
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 4 1 1 5 39
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 1 1 42 1 2 4 173
Edito 0 0 0 1 0 0 0 17
Evaluating UCITS Compliant Hedge Fund Performance 0 0 1 20 1 1 2 100
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 3 5 6 58
Improving VWAP strategies: A dynamic volume approach 0 0 2 249 2 4 8 694
Intraday Transaction Price Dynamics 0 0 0 6 1 2 3 22
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 0 2 4 54
Introduction 0 0 0 4 0 2 4 42
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 2 2 6 187
L-performance with an application to hedge funds 0 0 0 30 0 1 3 174
Measuring the liquidity part of volume 0 0 0 29 2 3 6 120
Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows 1 1 3 27 6 6 13 159
Nonparametric Instrumental Regression 0 0 0 91 2 9 12 336
Nouvelles techniques de gestion et leur impact sur la volatilité 0 0 0 3 0 1 1 39
Structural Laplace Transform and Compound Autoregressive Models 0 0 0 141 0 0 6 347
The alpha and omega of fund of hedge fund added value 0 0 0 41 0 1 1 152
The rise of fintechs and their regulation 0 5 37 1,675 1 15 104 3,423
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 2 4 115
Total Journal Articles 2 8 45 2,605 25 65 211 6,714

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 3 7
Total Chapters 0 0 0 0 0 2 3 7

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Statistics updated 2026-01-09