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 5 5 38
A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk 0 0 0 0 0 0 6 32
Approximating Payoffs and Approximating Pricing Formulas 0 0 0 9 0 4 4 27
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 1 4 9 67
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 1 5 0 3 6 73
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 6 1 4 9 53
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 70 0 6 12 185
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 18 2 6 10 37
Compound Autoregressive Models 0 0 0 83 1 4 8 288
Contagion Analysis In The Banking Sector 0 0 0 5 0 0 1 27
Contagion in Emerging Markets 0 0 0 0 0 6 7 21
Contagion phenomena with applications in finance 0 0 0 0 0 4 5 15
Decomposing Volume for VWAP Strategies 0 0 0 68 0 3 4 181
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 2 2 15 1 8 10 131
Evaluating UCITS Compliant Hedge Fund Performance 0 0 0 0 0 2 2 30
Factor ARMA Representation of a Markov Process 0 0 0 10 0 3 6 254
Factor Models and General Definition 0 0 0 0 0 1 2 28
Factor Selection 0 0 0 0 0 2 2 18
Financial Market Liquidity: Who Is Acting Strategically? 0 0 0 22 2 6 9 66
Forecasting Intra-daily Liquidity in Large Panels 0 0 0 0 0 0 6 56
Gauging Liquidity Risk in Emerging Market Bond Index Funds 0 0 0 1 1 4 6 29
Improving VWAP strategies: A dynamic volume approach 0 0 0 0 1 6 8 33
Improving VWAP strategies: A dynamical volume approach 1 2 4 92 5 12 26 384
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 0 4 5 33
Introduction to the special issue on recent developments in Financial Econometrics 0 0 0 0 0 2 2 93
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 1 5 6 372
Kernel Based Nonlinear Canonical Analysis 0 1 1 8 0 3 5 42
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 0 4 4 110
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 1 7 8 681
Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective 0 0 0 0 2 2 3 20
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 0 0 3 6 23
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 5 1 3 4 27
Liquidity contagion: A look at emerging markets 0 0 0 0 0 1 5 44
Liquidity risk and contagion for liquid funds 0 0 0 3 3 9 10 34
MLiq a meta liquidity measure 0 0 0 0 0 3 4 61
MLiq a meta liquidity measure 0 0 0 0 0 3 5 53
Measuring the Liquidity Part of Volume 0 0 0 0 0 3 5 14
Measuring the Liquidity Part of Volume 0 0 0 0 2 6 8 32
Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows 0 0 0 0 2 7 8 43
Multi-factor models and signal processing techniques: application to quantitative finance 0 0 0 0 1 3 5 79
Non Parametric Instrumental Regression 0 0 0 193 0 4 8 514
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 16 1 5 5 52
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 44 0 2 3 53
Nonparametric Estimation of a Diffusion Equation from Tick Observations 0 0 0 12 0 7 9 46
Nonparametric Instrumental Regression 0 0 2 210 2 11 18 559
Nonparametric Instrumental Regression 0 0 0 33 2 7 12 316
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 5 9 39
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 1 87 0 3 6 229
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 0 4 7 136
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 0 0 1 3 22
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 1 3 8 159
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 2 6 7 53
Trading Volume and Arbitrage 0 0 0 0 0 3 7 40
Trading Volume and Arbitrage 0 1 3 137 1 9 18 417
Trading volume and Arbitrage 0 1 1 5 1 5 7 40
Trading volume and Arbitrage 0 0 0 0 0 3 6 78
Trends everywhere? The case of hedge fund styles 0 0 0 1 0 3 5 41
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 0 5 8 46
Total Working Papers 1 7 16 1,282 41 247 404 6,775

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 10 14 115
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 1 1 17 0 10 17 122
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 4 3 7 10 45
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 0 1 42 0 1 4 173
Edito 0 0 0 1 0 5 5 22
Evaluating UCITS Compliant Hedge Fund Performance 0 0 1 20 0 3 4 102
Factor ARMA representation of a Markov process 0 0 0 50 1 3 3 146
Gauging Liquidity Risk in Emerging Market Bond Index Funds 0 0 0 8 2 10 13 65
Improving VWAP strategies: A dynamic volume approach 1 2 4 251 3 9 15 701
Intraday Transaction Price Dynamics 0 0 0 6 0 2 3 23
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 0 0 4 54
Introduction 0 0 0 4 0 3 6 45
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 2 7 10 192
L-performance with an application to hedge funds 1 1 1 31 1 5 6 179
Measuring the liquidity part of volume 0 0 0 29 0 4 8 122
Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows 1 2 4 28 6 17 21 170
Nonparametric Instrumental Regression 0 0 0 91 0 6 16 340
Nouvelles techniques de gestion et leur impact sur la volatilité 0 0 0 3 0 3 4 42
Structural Laplace Transform and Compound Autoregressive Models 1 1 1 142 2 3 8 350
The alpha and omega of fund of hedge fund added value 0 0 0 41 1 4 5 156
The rise of fintechs and their regulation 1 2 29 1,677 7 23 102 3,445
Trends everywhere? The case of hedge fund styles 0 0 0 17 1 4 4 104
Truncated dynamics and estimation of diffusion equations 0 0 0 27 0 1 4 116
Total Journal Articles 5 9 42 2,612 30 140 286 6,829

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 2 7 10 14
Total Chapters 0 0 0 0 2 7 10 14

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Statistics updated 2026-03-04