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 0 33
A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk 0 0 0 0 1 4 8 32
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 0 1 5 0 0 4 70
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 1 4 1 1 6 63
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 6 1 1 5 49
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 70 1 5 7 179
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 18 3 3 4 31
Compound Autoregressive Models 0 0 0 83 2 4 4 284
Contagion Analysis In The Banking Sector 0 0 0 5 0 0 1 27
Contagion in Emerging Markets 0 0 0 0 0 1 2 15
Contagion phenomena with applications in finance 0 0 0 0 0 0 1 11
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 0 0 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 2 3 251
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 1 2 4 60
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 0 1 3 25
Improving VWAP strategies: A dynamic volume approach 0 0 0 0 1 1 3 27
Improving VWAP strategies: A dynamical volume approach 0 0 3 90 3 7 15 372
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 1 1 1 29
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 7 1 2 3 39
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 0 0 1 106
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 0 1 2 367
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 0 1 2 674
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 0 2 3 3 20
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 5 0 1 1 24
Liquidity contagion: A look at emerging markets 0 0 0 0 4 4 5 43
Liquidity risk and contagion for liquid funds 0 0 0 3 1 1 1 25
MLiq a meta liquidity measure 0 0 0 0 0 1 2 58
MLiq a meta liquidity measure 0 0 0 0 2 2 2 50
Measuring the Liquidity Part of Volume 0 0 0 0 1 1 3 26
Measuring the Liquidity Part of Volume 0 0 0 0 2 2 2 11
Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows 0 0 0 0 0 1 2 36
Multi-factor models and signal processing techniques: application to quantitative finance 0 0 0 0 0 2 2 76
Non Parametric Instrumental Regression 0 0 0 193 1 4 6 510
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 16 0 0 0 47
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 44 0 1 1 51
Nonparametric Estimation of a Diffusion Equation from Tick Observations 0 0 0 12 1 1 3 39
Nonparametric Instrumental Regression 0 0 2 210 1 2 7 548
Nonparametric Instrumental Regression 0 0 0 33 1 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 1 3 5 34
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 1 5 226
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 1 3 3 132
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 0 0 1 2 21
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 3 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 1 1 4 37
Trading Volume and Arbitrage 0 0 3 136 5 5 10 408
Trading volume and Arbitrage 0 0 0 0 3 3 3 75
Trading volume and Arbitrage 0 0 0 4 0 2 2 35
Trends everywhere? The case of hedge fund styles 0 0 0 1 1 1 3 38
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 1 1 3 41
Total Working Papers 0 0 15 1,275 49 96 188 6,528

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 3 4 105
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 16 1 2 10 112
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 4 0 0 4 38
Conditionally fitted Sharpe performance with an application to hedge fund rating 1 1 1 42 1 1 3 172
Edito 0 0 0 1 0 0 0 17
Evaluating UCITS Compliant Hedge Fund Performance 0 1 1 20 0 1 1 99
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 2 3 55
Improving VWAP strategies: A dynamic volume approach 0 0 2 249 2 2 6 692
Intraday Transaction Price Dynamics 0 0 0 6 1 1 2 21
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 2 2 4 54
Introduction 0 0 0 4 1 2 4 42
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 0 0 4 185
L-performance with an application to hedge funds 0 0 0 30 1 1 3 174
Measuring the liquidity part of volume 0 0 0 29 0 1 4 118
Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows 0 1 3 26 0 1 8 153
Nonparametric Instrumental Regression 0 0 0 91 3 7 10 334
Nouvelles techniques de gestion et leur impact sur la volatilité 0 0 0 3 1 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 1 1 1 152
The rise of fintechs and their regulation 4 9 41 1,675 12 20 112 3,422
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 2 2 4 115
Total Journal Articles 5 12 49 2,603 30 50 197 6,689

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 2025-12-06