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 8 41
A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk 0 0 0 0 2 2 5 34
Approximating Payoffs and Approximating Pricing Formulas 0 0 0 9 0 1 8 31
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 3 3 11 73
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 5 0 2 7 77
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 70 0 2 13 189
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 6 0 2 10 58
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 18 1 1 13 41
Compound Autoregressive Models 0 0 0 83 0 0 13 293
Contagion Analysis In The Banking Sector 0 0 0 5 0 1 1 28
Contagion in Emerging Markets 0 0 0 0 0 0 9 23
Contagion phenomena with applications in finance 0 0 0 0 0 1 6 17
Decomposing Volume for VWAP Strategies 0 0 0 68 1 3 11 189
Dynamiques tronquées et estimation de modèles de diffusion 0 0 0 2 1 1 2 27
Empirical Local Time for Processes Observed on a Grid 0 0 2 15 0 0 9 132
Evaluating UCITS Compliant Hedge Fund Performance 0 0 0 0 0 0 5 33
Factor ARMA Representation of a Markov Process 0 0 0 10 0 0 5 255
Factor Models and General Definition 0 0 0 0 0 0 2 28
Factor Selection 0 0 0 0 0 1 6 22
Financial Market Liquidity: Who Is Acting Strategically? 0 0 0 22 0 3 13 71
Forecasting Intra-daily Liquidity in Large Panels 0 0 0 0 0 0 4 58
Gauging Liquidity Risk in Emerging Market Bond Index Funds 0 0 0 1 1 1 10 34
Improving VWAP strategies: A dynamic volume approach 0 0 0 0 1 3 14 40
Improving VWAP strategies: A dynamical volume approach 0 1 5 95 2 12 51 419
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 0 0 7 35
Introduction to the special issue on recent developments in Financial Econometrics 1 1 1 1 1 1 3 94
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 1 2 10 376
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 0 1 9 115
Kernel Based Nonlinear Canonical Analysis 0 0 1 8 0 1 8 45
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 0 1 11 684
Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective 0 0 0 0 0 0 3 20
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 5 1 1 6 29
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 0 0 0 7 25
Liquidity contagion: A look at emerging markets 0 0 0 0 1 1 10 49
Liquidity risk and contagion for liquid funds 0 0 0 3 0 0 10 34
MLiq a meta liquidity measure 0 0 0 0 0 0 5 62
MLiq a meta liquidity measure 0 0 0 0 0 1 7 55
Measuring the Liquidity Part of Volume 0 0 0 0 0 1 13 38
Measuring the Liquidity Part of Volume 0 0 0 0 0 0 9 18
Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows 0 0 0 0 0 4 15 50
Multi-factor models and signal processing techniques: application to quantitative finance 0 0 0 0 0 0 8 83
Non Parametric Instrumental Regression 0 0 0 193 0 1 13 519
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 44 0 1 5 56
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 16 0 0 9 56
Nonparametric Estimation of a Diffusion Equation from Tick Observations 0 0 0 12 1 1 9 47
Nonparametric Instrumental Regression 0 0 0 33 0 3 16 322
Nonparametric Instrumental Regression 0 0 0 210 0 1 18 564
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 1 9 41
Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry? 0 0 0 0 1 1 2 18
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 0 0 0 87 0 2 9 234
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 0 0 0 5 25
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 0 1 11 140
The Dynamics of Hedge Fund Performance 0 0 0 0 1 1 2 35
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme 0 0 0 4 0 0 10 162
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 1 1 10 57
Trading Volume and Arbitrage 0 0 0 0 0 1 9 45
Trading Volume and Arbitrage 0 0 1 137 0 0 16 419
Trading volume and Arbitrage 0 0 0 0 0 0 9 81
Trading volume and Arbitrage 0 0 1 5 1 1 9 43
Trends everywhere? The case of hedge fund styles 0 0 0 1 0 0 6 43
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 0 0 10 50
Total Working Papers 1 2 11 1,286 22 69 564 7,008

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 15 118
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 17 1 1 15 126
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 4 0 0 9 47
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 0 1 42 0 0 5 176
Edito 0 0 0 1 0 0 9 26
Evaluating UCITS Compliant Hedge Fund Performance 0 0 0 20 1 1 8 107
Factor ARMA representation of a Markov process 0 0 0 50 1 2 7 150
Gauging Liquidity Risk in Emerging Market Bond Index Funds 0 0 0 8 0 1 17 70
Improving VWAP strategies: A dynamic volume approach 0 0 3 252 8 15 40 730
Intraday Transaction Price Dynamics 0 0 0 6 0 0 7 27
Intrinsic Liquidity in Conditional Volatility Models 0 0 1 14 0 0 5 57
Introduction 0 0 0 4 0 2 8 48
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 0 1 11 196
L-performance with an application to hedge funds 0 0 2 32 0 1 10 183
Measuring the liquidity part of volume 0 0 0 29 0 0 10 127
Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows 0 1 5 31 1 5 32 185
Nonparametric Instrumental Regression 0 0 0 91 1 2 21 348
Nouvelles techniques de gestion et leur impact sur la volatilité 0 0 0 3 0 1 7 45
Structural Laplace Transform and Compound Autoregressive Models 0 0 1 142 1 1 7 354
The alpha and omega of fund of hedge fund added value 0 0 0 41 2 2 11 162
The rise of fintechs and their regulation 0 1 15 1,685 2 5 54 3,462
Trends everywhere? The case of hedge fund styles 0 0 0 17 0 2 10 110
Truncated dynamics and estimation of diffusion equations 0 0 0 27 1 2 7 120
Total Journal Articles 0 2 29 2,626 19 45 325 6,974

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 0 11 16
Total Chapters 0 0 0 0 0 0 11 16

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Statistics updated 2026-10-11