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 4 5 38
A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk 0 0 0 0 0 0 5 32
Approximating Payoffs and Approximating Pricing Formulas 0 0 0 9 0 2 4 27
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 0 2 8 67
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 1 5 0 2 6 73
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 70 0 2 12 185
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 6 0 3 9 53
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 18 1 6 11 38
Compound Autoregressive Models 0 0 0 83 0 3 8 288
Contagion Analysis In The Banking Sector 0 0 0 5 0 0 1 27
Contagion in Emerging Markets 0 0 0 0 1 5 8 22
Contagion phenomena with applications in finance 0 0 0 0 0 2 4 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 0 7 10 131
Evaluating UCITS Compliant Hedge Fund Performance 0 0 0 0 0 0 2 30
Factor ARMA Representation of a Markov Process 0 0 0 10 0 2 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 0 4 9 66
Forecasting Intra-daily Liquidity in Large Panels 0 0 0 0 0 0 4 56
Gauging Liquidity Risk in Emerging Market Bond Index Funds 0 0 0 1 0 3 6 29
Improving VWAP strategies: A dynamic volume approach 0 0 0 0 0 5 8 33
Improving VWAP strategies: A dynamical volume approach 0 2 4 92 3 11 29 387
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 1 3 6 34
Introduction to the special issue on recent developments in Financial Econometrics 0 0 0 0 0 1 2 93
Kernel Based Nonlinear Canonical Analysis 0 1 1 8 0 2 5 42
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 0 3 4 110
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 0 3 6 372
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 0 5 8 681
Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective 0 0 0 0 0 2 3 20
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 0 0 2 6 23
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 5 0 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 0 8 10 34
MLiq a meta liquidity measure 0 0 0 0 0 3 5 53
MLiq a meta liquidity measure 0 0 0 0 0 3 4 61
Measuring the Liquidity Part of Volume 0 0 0 0 0 5 8 32
Measuring the Liquidity Part of Volume 0 0 0 0 0 1 5 14
Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows 0 0 0 0 1 5 9 44
Multi-factor models and signal processing techniques: application to quantitative finance 0 0 0 0 1 4 6 80
Non Parametric Instrumental Regression 0 0 0 193 2 6 10 516
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 44 0 2 3 53
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 16 0 5 5 52
Nonparametric Estimation of a Diffusion Equation from Tick Observations 0 0 0 12 0 7 9 46
Nonparametric Instrumental Regression 0 0 0 33 1 8 13 317
Nonparametric Instrumental Regression 0 0 2 210 1 8 19 560
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 0 3 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 1 3 7 230
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 0 0 1 2 22
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 2 5 9 138
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 4 9 160
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 0 6 7 53
Trading Volume and Arbitrage 0 0 2 137 0 6 16 417
Trading Volume and Arbitrage 0 0 0 0 0 3 7 40
Trading volume and Arbitrage 0 0 1 5 0 4 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 1 3 6 42
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 1 5 9 47
Total Working Papers 0 5 15 1,282 18 205 414 6,793

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 10 14 115
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 17 0 7 16 122
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 4 1 7 11 46
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 0 1 42 0 0 4 173
Edito 0 0 0 1 1 6 6 23
Evaluating UCITS Compliant Hedge Fund Performance 0 0 1 20 2 4 6 104
Factor ARMA representation of a Markov process 0 0 0 50 0 3 3 146
Gauging Liquidity Risk in Emerging Market Bond Index Funds 0 0 0 8 2 9 15 67
Improving VWAP strategies: A dynamic volume approach 0 2 4 251 0 7 15 701
Intraday Transaction Price Dynamics 0 0 0 6 0 1 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 1 6 10 193
L-performance with an application to hedge funds 0 1 1 31 1 6 7 180
Measuring the liquidity part of volume 0 0 0 29 1 3 9 123
Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows 0 1 3 28 5 16 25 175
Nonparametric Instrumental Regression 0 0 0 91 1 5 17 341
Nouvelles techniques de gestion et leur impact sur la volatilité 0 0 0 3 1 4 5 43
Structural Laplace Transform and Compound Autoregressive Models 0 1 1 142 1 4 9 351
The alpha and omega of fund of hedge fund added value 0 0 0 41 0 4 5 156
The rise of fintechs and their regulation 2 4 27 1,679 2 24 89 3,447
Trends everywhere? The case of hedge fund styles 0 0 0 17 0 4 4 104
Truncated dynamics and estimation of diffusion equations 0 0 0 27 0 1 4 116
Total Journal Articles 2 9 39 2,614 19 134 287 6,848

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 1 8 11 15
Total Chapters 0 0 0 0 1 8 11 15

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Statistics updated 2026-04-09