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 3 33
A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk 0 0 0 0 0 2 3 26
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 0 4 0 1 1 67
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 1 1 4 0 1 1 58
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 1 1 70 0 1 4 173
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 5 0 0 0 44
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 18 0 0 1 27
Compound Autoregressive Models 0 0 2 83 0 0 2 280
Contagion Analysis In The Banking Sector 0 0 0 5 0 0 1 26
Contagion in Emerging Markets 0 0 0 0 1 1 1 14
Contagion phenomena with applications in finance 0 0 0 0 0 0 0 10
Decomposing Volume for VWAP Strategies 0 0 2 68 0 0 3 177
Dynamiques tronquées et estimation de modèles de diffusion 0 0 0 2 0 1 1 25
Empirical Local Time for Processes Observed on a Grid 0 0 0 13 1 1 1 121
Evaluating UCITS Compliant Hedge Fund Performance 0 0 0 0 1 1 1 28
Factor ARMA Representation of a Markov Process 0 0 0 10 0 0 0 248
Factor Models and General Definition 0 0 0 0 0 0 0 26
Factor Selection 0 0 0 0 0 0 0 16
Financial Market Liquidity: Who Is Acting Strategically? 0 1 1 22 0 1 1 57
Forecasting Intra-daily Liquidity in Large Panels 0 0 0 0 0 1 6 50
Gauging Liquidity Risk in Emerging Market Bond Index Funds 0 0 1 1 1 1 4 23
Improving VWAP strategies: A dynamic volume approach 0 0 0 0 0 1 4 25
Improving VWAP strategies: A dynamical volume approach 0 1 2 88 0 1 12 358
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 0 0 0 1 28
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 37 1 1 1 106
Kernel Based Nonlinear Canonical Analysis 0 0 0 7 0 1 2 37
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 0 1 1 366
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 1 1 1 673
Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective 0 0 0 0 0 0 1 17
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 0 0 0 0 17
Liquidity Contagion. The Emerging Sovereign Debt Markets example 0 0 0 5 0 0 0 23
Liquidity contagion: A look at emerging markets 0 0 0 0 1 1 1 39
Liquidity risk and contagion for liquid funds 0 0 0 3 0 0 0 24
MLiq a meta liquidity measure 0 0 0 0 0 0 0 48
MLiq a meta liquidity measure 0 0 0 0 1 1 1 57
Measuring the Liquidity Part of Volume 0 0 0 0 0 0 0 9
Measuring the Liquidity Part of Volume 0 0 0 0 1 1 1 24
Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows 0 0 0 0 0 1 1 35
Multi-factor models and signal processing techniques: application to quantitative finance 0 0 0 0 0 0 7 74
Non Parametric Instrumental Regression 0 0 1 193 1 2 4 506
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 16 0 0 1 47
Nonparametric Analysis of Hedge Funds Lifetimes 0 0 0 44 0 0 0 50
Nonparametric Estimation of a Diffusion Equation from Tick Observations 0 0 1 12 0 1 2 37
Nonparametric Instrumental Regression 0 0 5 208 0 0 8 541
Nonparametric Instrumental Regression 0 0 0 33 0 0 1 304
Performance fees and hedge fund return dynamics 0 0 0 2 0 0 1 26
Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume 0 0 0 5 1 1 2 30
Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry? 0 0 0 0 0 0 0 15
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 1 1 2 86 1 2 3 223
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 0 0 1 129
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 0 0 0 0 19
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 1 2 151
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 0 0 0 46
Trading Volume and Arbitrage 0 0 0 0 0 0 0 33
Trading Volume and Arbitrage 0 1 4 134 0 1 7 399
Trading volume and Arbitrage 0 0 0 4 0 0 3 33
Trading volume and Arbitrage 0 0 0 0 0 0 2 72
Trends everywhere? The case of hedge fund styles 0 0 0 1 1 1 8 36
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 0 0 0 38
Total Working Papers 1 6 23 1,266 13 31 113 6,371

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 0 0 101
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 1 2 16 1 3 7 105
Bivariate integer-autoregressive process with an application to mutual fund flows 0 0 0 4 0 1 1 35
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 0 2 41 0 0 3 169
Edito 0 0 0 1 0 0 0 17
Evaluating UCITS Compliant Hedge Fund Performance 0 0 0 19 0 0 1 98
Factor ARMA representation of a Markov process 0 0 0 50 1 2 2 143
Gauging Liquidity Risk in Emerging Market Bond Index Funds 0 0 0 8 0 0 0 52
Improving VWAP strategies: A dynamic volume approach 0 0 3 247 0 0 7 686
Intraday Transaction Price Dynamics 0 0 0 6 1 1 4 20
Intrinsic Liquidity in Conditional Volatility Models 0 0 0 13 0 0 0 50
Introduction 0 0 0 4 0 1 1 39
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 0 1 1 182
L-performance with an application to hedge funds 0 0 0 30 1 2 5 173
Measuring the liquidity part of volume 0 0 0 29 0 0 1 114
Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows 0 1 1 24 0 4 7 149
Nonparametric Instrumental Regression 0 0 1 91 0 0 3 324
Nouvelles techniques de gestion et leur impact sur la volatilité 0 0 0 3 0 0 0 38
Structural Laplace Transform and Compound Autoregressive Models 0 0 5 141 1 1 6 342
The alpha and omega of fund of hedge fund added value 0 0 1 41 0 0 3 151
The rise of fintechs and their regulation 7 14 66 1,648 16 33 156 3,343
Trends everywhere? The case of hedge fund styles 0 0 2 17 0 1 4 100
Truncated dynamics and estimation of diffusion equations 0 0 0 27 0 1 1 112
Total Journal Articles 7 16 83 2,570 21 51 213 6,543

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 1 4
Total Chapters 0 0 0 0 0 0 1 4

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Statistics updated 2025-03-03