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Serge Darolles
Serge Darolles
Professor of Finance, Université Paris Dauphine - PSL
Adresse e-mail validée de dauphine.psl.eu
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Nonparametric instrumental regression
S Darolles, Y Fan, JP Florens, E Renault
Econometrica 79 (5), 1541-1565, 2011
5472011
Structural Laplace transform and compound autoregressive models
S Darolles, C Gourieroux, J Jasiak
Journal of Time Series Analysis 27 (4), 477-503, 2006
1362006
Improving VWAP strategies: A dynamic volume approach
J Białkowski, S Darolles, G Le Fol
Journal of Banking & Finance 32 (9), 1709-1722, 2008
1032008
L-performance with an application to hedge funds
S Darolles, C Gouriéroux, J Jasiak
Journal of Empirical Finance 16 (4), 671-685, 2009
100*2009
The rise of fintechs and their regulation
S Darolles
Financial Stability Review, 85-92, 2016
742016
Measuring the liquidity part of volume
S Darolles, G Le Fol, G Mero
Journal of Banking & Finance 50, 92-105, 2015
47*2015
Kernel-based nonlinear canonical analysis and time reversibility
S Darolles, JP Florens, C Gourieroux
Journal of Econometrics 119 (2), 323-353, 2004
45*2004
The Effects of Management and Provision Accounts on Hedge Fund Returns-Part I: The HighWater Mark Scheme
S Darolles, C Gourieroux
Modeling Dependence in Econometrics: Selected Papers of the Seventh …, 2014
39*2014
Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows
S Darolles, G Le Fol, G Mero
Journal of Econometrics 201 (2), 367-383, 2017
332017
Intraday transaction price dynamics
S Darolles, C Gouriéroux, G Le Fol
Annales d'Economie et de Statistique, 207-238, 2000
332000
Trading volume and arbitrage
S Darolles, G Le Fol
INSEE, 2003
27*2003
The alpha and omega of fund of hedge fund added value
S Darolles, M Vaissié
Journal of Banking & Finance 36 (4), 1067-1078, 2012
26*2012
Asymptotics of Cholesky GARCH models and time-varying conditional betas
S Darolles, C Francq, S Laurent
Journal of Econometrics 204 (2), 223-247, 2018
252018
Hedge fund returns and factor models: a cross-sectional approach
S Darolles, G Mero
Bankers, Markets & Investors, June, 2011
24*2011
Robust portfolio allocation with systematic risk contribution restrictions
S Darolles, C Gouriéroux, E Jay
Risk-based and factor investing, 123-146, 2015
23*2015
Truncated dynamics and estimation of diffusion equations
S Darolles, C Gourieroux
Journal of Econometrics 102 (1), 1-22, 2001
232001
Multi-factor models and signal processing techniques: Survey and example
E Jay, P Duvaut, S Darolles, A Chretien
IEEE Signal Processing Magazine 28 (5), 61-71, 2011
18*2011
Evaluating ucits compliant hedge fund performance
S Darolles
Available at SSRN 1945798, 2014
16*2014
Bivariate integer-autoregressive process with an application to mutual fund flows
S Darolles, G Le Fol, Y Lu, R Sun
Journal of Multivariate Analysis 173, 181-203, 2019
152019
Contagion phenomena with applications in finance
S Darolles, C Gourieroux
Elsevier, 2015
152015
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