IDEAS home Printed from https://ideas.repec.org/f/pda653.html
   My authors  Follow this author

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/

01 44 05 49 30
01 44 05 40 23
Place du Maréchal de Lattre de Tassigny, 75775 Paris cédex 16
RePEc:edi:drmp9fr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Charles Chevalier & Serge Darolles, 2019. "Trends everywhere? The case of hedge fund styles," Post-Print hal-02573075, HAL.
  2. Serge Darolles & Gaëlle Le Fol & Yang Lu & Ran Sun, 2019. "Bivariate integer-autoregressive process with an application to mutual fund flows," Post-Print hal-02105203, HAL.
  3. 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.
  4. Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2017. "Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows," Post-Print hal-01593402, HAL.
  5. Serge Darolles & Christian Gourieroux & Sébastien Laurent, 2016. "Introduction to the special issue on recent developments in Financial Econometrics," Post-Print hal-01448240, HAL.
  6. Serge Darolles & Christian Francq & Gaëlle Le Fol & Jean-Michel Zakoïan, 2016. "Intrinsic Liquidity in Conditional Volatility Models," Post-Print hal-01500747, HAL.
  7. Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2016. "Gauging Liquidity Risk in Emerging Market Bond Index Funds," Post-Print hal-01500712, HAL.
  8. Serge Darolles & Christian Gouriéroux & Jérôme Teiletche, 2015. "The Dynamics of Hedge Fund Performance," Post-Print hal-01632878, HAL.
  9. Serge Darolles & Christian Gouriéroux, 2015. "Performance fees and hedge fund return dynamics," Post-Print hal-01632880, HAL.
  10. Serge Darolles & Christian Gourieroux, 2015. "Contagion phenomena with applications in finance," Post-Print hal-02571861, HAL.
  11. 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.
  12. Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2015. "Measuring the Liquidity Part of Volume," Post-Print hal-01632766, HAL.
  13. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2014. "Contagion in Emerging Markets," Post-Print hal-01632778, HAL.
  14. Gaëlle Le Fol & Serge Darolles, 2014. "Trading volume and Arbitrage," Post-Print halshs-01061280, HAL.
  15. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2014. "Liquidity risk and contagion for liquid funds," Post-Print hal-01632776, HAL.
  16. Serge Darolles & Simon Dubecq & Christian Gouriéroux, 2014. "Contagion Analysis In The Banking Sector," Post-Print hal-01632869, HAL.
  17. Serge Darolles, 2014. "Evaluating UCITS Compliant Hedge Fund Performance," Post-Print halshs-01074495, HAL.
  18. Serge Darolles & Patrick Duvaut & Emmanuelle Jay, 2013. "Factor Models and General Definition," Post-Print hal-01632876, HAL.
  19. 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.
  20. Serge Darolles & Mathieu Vaissié, 2013. "Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry?," Post-Print hal-01632889, HAL.
  21. Serge Darolles & Patrick Duvaut & Emmanuelle Jay, 2013. "Multi-factor models and signal processing techniques: application to quantitative finance," Post-Print hal-01632892, 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 & Patrick Duvaut & Emmanuelle Jay, 2013. "Factor Selection," Post-Print hal-01632873, HAL.
  25. 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.
  26. 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.
  27. 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.
  28. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2012. "Liquidity Contagion. The Emerging Sovereign Debt Markets example," Post-Print hal-01632803, HAL.
  29. Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2012. "MLiq a meta liquidity measure," Post-Print halshs-00877026, HAL.
  30. Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2012. "Liquidity contagion: A look at emerging markets," Post-Print halshs-00877035, HAL.
  31. 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.
  32. Serge Darolles & Mathieu Vaissié, 2012. "The alpha and omega of fund of hedge fund added value," Post-Print halshs-00677718, HAL.
  33. Serge Darolles & Gulten Mero, 2011. "Hedge Fund Returns and Factor Models: A Cross-Sectional Approach," Post-Print halshs-00677723, HAL.
  34. Emmanuelle Jay & Patrick Duvaut & Serge Darolles & Arnaud Chretien, 2011. "Multifactor Models: Examining the potential of signal processing techniques," Post-Print halshs-00677733, HAL.
  35. Darolles, Serge & Florens, Jean-Pierre & Simon, Guillaume, 2010. "Nonparametric Analysis of Hedge Funds Lifetimes," TSE Working Papers 10-174, Toulouse School of Economics (TSE).
  36. Serge Darolles & Christian Gourieroux, 2010. "Conditionally fitted Sharpe performance with an application to hedge fund rating," Post-Print halshs-00677727, HAL.
  37. Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2009. "Returns and Volume: Between Information andLiquidity," Post-Print halshs-00391286, HAL.
  38. Serge Darolles & Christian Gourieroux & Joann Jasiak, 2009. "L-performance with an application to hedge funds," Post-Print halshs-00677730, HAL.
  39. 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.
  40. Serge Darolles & Christian Gourieroux & Joann Jasiak, 2006. "Structural Laplace Transform and Compound Autoregressive Models," Post-Print halshs-00678240, HAL.
  41. Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2005. "Decomposing Volume for VWAP Strategies," Working Papers 2005-16, Center for Research in Economics and Statistics.
  42. Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2004. "Kernel-based nonlinear canonical analysis and time reversibility," Post-Print halshs-00678062, HAL.
  43. Gaëlle Le Fol & Serge Darolles, 2004. "Nouvelles techniques de gestion et leur impact sur la volatilité," Post-Print halshs-00586095, HAL.
  44. DAROLLES, Serge & FLORENS, Jean-Pierre & RENAULT, Éric, 2002. "Nonparametric Instrumental Regression," Cahiers de recherche 2002-05, Universite de Montreal, Departement de sciences economiques.
  45. Serge Darolles & Christian Gourieroux & Joanna Jasiak, 2001. "Compound Autoregressive Models," Working Papers 2001-21, Center for Research in Economics and Statistics.
  46. Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2001. "Factor ARMA representation of a Markov process," Post-Print halshs-00678224, HAL.
  47. Serge Darolles & Jean-Paul Laurent, 2000. "Approximating payoffs and pricing formulas," Post-Print halshs-00678228, HAL.
  48. Serge Darolles & Christian Gourieroux, 2000. "Truncated dynamics and estimation of diffusion equations," Post-Print halshs-00678232, HAL.
  49. 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.
  50. Gaëlle Le Fol & Serge Darolles & Christian Gourieroux, 1999. "Intraday Transaction Price Dynamics," Post-Print halshs-00536272, HAL.
  51. 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.
  52. 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.
  53. Serge Darolles & Christian Gourieroux, 1997. "Dynamiques tronquées et estimation de modèles de diffusion," Working Papers 97-04, Center for Research in Economics and Statistics.
  54. Serge Darolles & Jean-Paul Laurent, 1997. "Approximating Payoffs and Approximating Pricing Formulas," Working Papers 97-54, 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. 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.
  19. 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.
  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.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors

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

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Serge Darolles should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.