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Serge Darolles

Personal Details

First Name:Serge
Middle Name:
Last Name:Darolles
Suffix:
RePEc Short-ID:pda653
[This author has chosen not to make the email address public]
Terminal Degree:1999 (from RePEc Genealogy)

Affiliation

Dauphine Recherches en Management (DRM)
Université Paris-Dauphine (Paris IX)

Paris, France
http://www.drm.dauphine.fr/
RePEc:edi:drmp9fr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Gaëlle Le Fol & Christian Brownless & Serge Darolles & Béatrice Sagna, 2021. "Forecasting Intra-daily Liquidity in Large Panels," Working Papers hal-03380670, HAL.
  2. Gaëlle Le Fol & Serge Darolles & Ran Sun & Yang Lu, 2021. "A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk," Working Papers hal-03380641, HAL.
  3. Charles Chevalier & Serge Darolles, 2019. "Trends everywhere? The case of hedge fund styles," Post-Print hal-02573075, HAL.
  4. Serge Darolles & Gaëlle Le Fol & Yang Lu & Ran Sun, 2019. "Bivariate integer-autoregressive process with an application to mutual fund flows," Post-Print halshs-02418967, HAL.
  5. Darolles, Serges & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," MPRA Paper 83988, University Library of Munich, Germany.
  6. Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2017. "Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows," Post-Print hal-01593402, HAL.
  7. Serge Darolles & Christian Gourieroux & Sébastien Laurent, 2016. "Introduction to the special issue on recent developments in Financial Econometrics," Post-Print hal-01448240, HAL.
  8. Serge Darolles & Christian Francq & Gaëlle Le Fol & Jean-Michel Zakoïan, 2016. "Intrinsic Liquidity in Conditional Volatility Models," Post-Print hal-01500747, HAL.
  9. Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2016. "Gauging Liquidity Risk in Emerging Market Bond Index Funds," Post-Print hal-01500712, HAL.
  10. Serge Darolles & Christian Gouriéroux, 2015. "Performance fees and hedge fund return dynamics," Post-Print hal-01632880, HAL.
  11. Serge Darolles & Christian Gourieroux, 2015. "Contagion phenomena with applications in finance," Post-Print hal-02571861, HAL.
  12. Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2015. "Measuring the Liquidity Part of Volume," Post-Print hal-01632766, HAL.
  13. Serge Darolles & Christian Gouriéroux & Jérôme Teiletche, 2015. "The Dynamics of Hedge Fund Performance," Post-Print hal-01632878, HAL.
  14. Gulten Mero & Serge Darolles & Gaëlle Le Fol, 2015. "Financial Market Liquidity: Who Is Acting Strategically?," THEMA Working Papers 2015-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  15. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2014. "Contagion in Emerging Markets," Post-Print hal-01632778, HAL.
  16. Gaëlle Le Fol & Serge Darolles, 2014. "Trading volume and Arbitrage," Post-Print halshs-01061280, HAL.
  17. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2014. "Liquidity risk and contagion for liquid funds," Post-Print hal-01632776, HAL.
  18. Serge Darolles & Simon Dubecq & Christian Gouriéroux, 2014. "Contagion Analysis In The Banking Sector," Post-Print hal-01632869, HAL.
  19. Serge Darolles, 2014. "Evaluating UCITS Compliant Hedge Fund Performance," Post-Print halshs-01074495, HAL.
  20. Serge Darolles & Patrick Duvaut & Emmanuelle Jay, 2013. "Factor Models and General Definition," Post-Print hal-01632876, HAL.
  21. Serge Darolles & Mathieu Vaissié, 2013. "Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry?," Post-Print hal-01632889, HAL.
  22. Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II : The Loss Carry Forward Scheme," Working Papers 2013-23, Center for Research in Economics and Statistics.
  23. Serge Darolles & Patrick Duvaut & Emmanuelle Jay, 2013. "A Regularized Kalman Filter (rgKF) for Spiky Data," Post-Print hal-01632887, HAL.
  24. Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I : The High Water Mark Scheme," Working Papers 2013-22, Center for Research in Economics and Statistics.
  25. Serge Darolles & Patrick Duvaut & Emmanuelle Jay, 2013. "Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective," Post-Print hal-01632883, HAL.
  26. Serge Darolles & Patrick Duvaut & Emmanuelle Jay, 2013. "Multi-factor models and signal processing techniques: application to quantitative finance," Post-Print hal-01632892, HAL.
  27. Serge Darolles & Patrick Duvaut & Emmanuelle Jay, 2013. "Factor Selection," Post-Print hal-01632873, HAL.
  28. Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012. "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers 2012-35, Center for Research in Economics and Statistics.
  29. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2012. "Liquidity Contagion. The Emerging Sovereign Debt Markets example," Post-Print hal-01632803, HAL.
  30. Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2012. "MLiq a meta liquidity measure," Post-Print halshs-00877026, HAL.
  31. Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2012. "Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume," Post-Print hal-01632822, HAL.
  32. Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2012. "Liquidity contagion: A look at emerging markets," Post-Print halshs-00877035, HAL.
  33. Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012. "Survival of Hedge Funds : Frailty vs Contagion," Working Papers 2012-36, Center for Research in Economics and Statistics.
  34. Darolles, Serge & Florens, Jean-Pierre & Simon, Guillaume, 2010. "Nonparametric Analysis of Hedge Funds Lifetimes," TSE Working Papers 10-174, Toulouse School of Economics (TSE).
  35. Jedrzej Białkowski & Serge Darolles & Gaëlle Le Fol, 2006. "Improving VWAP strategies: A dynamical volume approach," Documents de recherche 06-08, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  36. Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2005. "Decomposing Volume for VWAP Strategies," Working Papers 2005-16, Center for Research in Economics and Statistics.
  37. DAROLLES, Serge & FLORENS, Jean-Pierre & RENAULT, Éric, 2002. "Nonparametric Instrumental Regression," Cahiers de recherche 2002-05, Universite de Montreal, Departement de sciences economiques.
  38. Serge Darolles & Christian Gourieroux & Joanna Jasiak, 2001. "Compound Autoregressive Models," Working Papers 2001-21, Center for Research in Economics and Statistics.
  39. Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2000. "Factor ARMA Representation of a Markov Process," Working Papers 2000-26, Center for Research in Economics and Statistics.
  40. Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2000. "Kernel Based Nonlinear Canonical Analysis and Time Reversibility," Working Papers 2000-18, Center for Research in Economics and Statistics.
  41. Serge Darolles & Isabelle Serot, 2000. "Empirical Local Time for Processes Observed on a Grid," Working Papers 2000-40, Center for Research in Economics and Statistics.
  42. Darolles, Serge & Florens, Jean-Pierre & Gouriéroux, Christian, 1999. "Kernel Based Nonlinear Canonical Analysis," IDEI Working Papers 83, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2001.
  43. Serge Darolles & Christian Gourieroux, 1997. "Dynamiques tronquées et estimation de modèles de diffusion," Working Papers 97-04, Center for Research in Economics and Statistics.
  44. Serge Darolles & Christian Gourieroux, 1997. "Truncated Dynamics and Estimation of DiffusionEquations," Working Papers 97-36, Center for Research in Economics and Statistics.
  45. Serge Darolles & Jean-Paul Laurent, 1997. "Approximating Payoffs and Approximating Pricing Formulas," Working Papers 97-54, Center for Research in Economics and Statistics.
  46. E, Burgayran & Serge Darolles, 1997. "Nonparametric Estimation of a Diffusion Equation from Tick Observations," Working Papers 97-56, Center for Research in Economics and Statistics.

Articles

  1. Darolles, Serge & Fol, Gaëlle Le & Lu, Yang & Sun, Ran, 2019. "Bivariate integer-autoregressive process with an application to mutual fund flows," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 181-203.
  2. Charles Chevalier & Serge Darolles, 2019. "Trends everywhere? The case of hedge fund styles," Journal of Asset Management, Palgrave Macmillan, vol. 20(6), pages 442-468, October.
  3. Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Journal of Econometrics, Elsevier, vol. 204(2), pages 223-247.
  4. Darolles, Serge & Le Fol, Gaëlle & Mero, Gulten, 2017. "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Journal of Econometrics, Elsevier, vol. 201(2), pages 367-383.
  5. Darolles, S., 2016. "The rise of fintechs and their regulation," Financial Stability Review, Banque de France, issue 20, pages 85-92, April.
  6. Serge Darolles & Christian Gouriéroux & Sébastien Laurent, 2016. "Introduction," Annals of Economics and Statistics, GENES, issue 123-124, pages 7-8.
  7. Serge Darolles & Gaëlle Le Fol & Christian Francq & Jean-Michel Zakoïan, 2016. "Intrinsic Liquidity in Conditional Volatility Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 225-245.
  8. Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2016. "Gauging Liquidity Risk in Emerging Market Bond Index Funds," Annals of Economics and Statistics, GENES, issue 123-124, pages 247-269.
  9. Darolles, Serge & Fol, Gaëlle Le & Mero, Gulten, 2015. "Measuring the liquidity part of volume," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 92-105.
  10. Serges Darolles, 2014. "Evaluating UCITS Compliant Hedge Fund Performance," Bankers, Markets & Investors, ESKA Publishing, issue 133, pages 11-22, December.
  11. Serges Darolles, 2014. "Edito," Bankers, Markets & Investors, ESKA Publishing, issue 129, pages 1-3, March-Apr.
  12. Darolles, Serge & Vaissié, Mathieu, 2012. "The alpha and omega of fund of hedge fund added value," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1067-1078.
  13. S. Darolles & Y. Fan & J. P. Florens & E. Renault, 2011. "Nonparametric Instrumental Regression," Econometrica, Econometric Society, vol. 79(5), pages 1541-1565, September.
  14. Darolles, Serge & Gourieroux, Christian, 2010. "Conditionally fitted Sharpe performance with an application to hedge fund rating," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 578-593, March.
  15. Darolles, Serge & Gourieroux, Christian & Jasiak, Joann, 2009. "L-performance with an application to hedge funds," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 671-685, September.
  16. Bialkowski, Jedrzej & Darolles, Serge & Le Fol, Gaëlle, 2008. "Improving VWAP strategies: A dynamic volume approach," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1709-1722, September.
  17. Serge Darolles & Christian Gourieroux & Joann Jasiak, 2006. "Structural Laplace Transform and Compound Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(4), pages 477-503, July.
  18. Darolles, Serge & Florens, Jean-Pierre & Gourieroux, Christian, 2004. "Kernel-based nonlinear canonical analysis and time reversibility," Journal of Econometrics, Elsevier, vol. 119(2), pages 323-353, April.
  19. Serge Darolles & Gaëlle Le Fol, 2004. "Nouvelles techniques de gestion et leur impact sur la volatilité," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 231-243.
  20. Darolles, Serge & Florens, Jean-Pierre & Gourieroux, Christian, 2001. "Factor ARMA representation of a Markov process," Economics Letters, Elsevier, vol. 71(2), pages 165-171, May.
  21. Darolles, Serge & Gourieroux, Christian, 2001. "Truncated dynamics and estimation of diffusion equations," Journal of Econometrics, Elsevier, vol. 102(1), pages 1-22, May.
  22. Serge Darolles & Christian Gouriéroux & Gaëlle Le Fol, 2000. "Intraday Transaction Price Dynamics," Annals of Economics and Statistics, GENES, issue 60, pages 207-238.
  23. Darolles, Serge & Laurent, Jean-Paul, 2000. "Approximating payoffs and pricing formulas," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1721-1746, October.

Chapters

  1. Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2015. "Contagion in Emerging Markets," Palgrave Macmillan Books, in: Nigel Finch (ed.), Emerging Markets and Sovereign Risk, chapter 3, pages 45-58, Palgrave Macmillan.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (4) 2010-07-31 2013-06-04 2013-06-04 2019-05-20
  2. NEP-ECM: Econometrics (2) 2003-06-09 2018-02-19
  3. NEP-ETS: Econometric Time Series (2) 2018-02-19 2020-01-13
  4. NEP-FMK: Financial Markets (2) 2010-07-31 2013-06-04
  5. NEP-BAN: Banking (1) 2013-06-04
  6. NEP-BEC: Business Economics (1) 2019-05-20
  7. NEP-MST: Market Microstructure (1) 2015-12-08
  8. NEP-ORE: Operations Research (1) 2020-01-13

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