serge darolles : Citation Profile


Are you serge darolles?

Université Paris-Dauphine (Paris IX)

7

H index

4

i10 index

255

Citations

RESEARCH PRODUCTION:

16

Articles

31

Papers

RESEARCH ACTIVITY:

   17 years (1999 - 2016). See details.
   Cites by year: 15
   Journals where serge darolles has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 6 (2.3 %)

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   Permalink: http://citec.repec.org/pda653
   Updated: 2017-11-18    RAS profile: 2017-09-06    
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Relations with other researchers


Works with:

Le Fol, Gaelle (5)

Authors registered in RePEc who have co-authored more than one work in the last five years with serge darolles.

Is cited by:

Monfort, Alain (13)

gourieroux, christian (11)

Schennach, Susanne (8)

Simoni, Anna (8)

Van Bellegem, Sebastien (7)

Kristensen, Dennis (7)

Lee, Sokbae (Simon) (6)

Florens, Jean-Pierre (6)

Newey, Whitney (6)

Heckman, James (5)

Chalak, Karim (5)

Cites to:

Le Fol, Gaelle (10)

Hansen, Lars (9)

Grossman, Sanford (9)

Miller, Merton (8)

Lo, Andrew (7)

gourieroux, christian (6)

Scheinkman, Jose (6)

Andersen, Torben (6)

Viswanathan, S (5)

Tauchen, George (5)

Renault, Eric (4)

Main data


Where serge darolles has published?


Journals with more than one article published# docs
Journal of Banking & Finance4
Bankers, Markets & Investors2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Post-Print / HAL22
IDEI Working Papers / Institut d'conomie Industrielle (IDEI), Toulouse3

Recent works citing serge darolles (2017 and 2016)


YearTitle of citing document
2017Generalized Random Forests. (2017). Athey, Susan ; Wager, Stefan ; Tibshirani, Julie . In: Papers. RePEc:arx:papers:1610.01271.

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2016Early exercise decision in American options with dividends, stochastic volatility and jumps. (2016). Scaillet, Olivier ; Galluccio, Stefano ; Cosma, Antonio ; Pederzoli, Paola . In: Papers. RePEc:arx:papers:1612.03031.

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2017Cross-Validation Selection of Regularization Parameter(s) for Semiparametric Transformation Models. (2017). Stouli, Sami ; Sokullu, Senay. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:16/672.

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2016Spline-DCS for Forecasting Trade Volume in High-Frequency Finance. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1606.

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2016The FinTech Opportunity. (2016). PHILIPPON, Thomas. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11409.

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2016Methods for Nonparametric and Semiparametric Regressions with Endogeneity: a Gentle Guide. (2016). Chen, Xiaohong ; Qiu, Yin Jia . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2032.

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2016Estimating production functions with control functions when capital is measured with error. (2016). Song, Suyong ; Kim, Kyoo il ; Il, Kyoo ; Petrin, Amil . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:2:p:267-279.

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2016Nonparametric instrumental variables estimation for efficiency frontier. (2016). Simar, Leopold ; FEVE, Frédérique ; FLORENS, Jean-Pierre ; Cazals, Catherine . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:2:p:349-359.

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2016On independence conditions in nonseparable models: Observable and unobservable instruments. (2016). Matzkin, Rosa L. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:2:p:302-311.

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2016A discontinuity test for identification in triangular nonseparable models. (2016). Rothe, Christoph ; Caetano, Carolina ; Yildiz, Nee . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:113-122.

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2016Efficient estimation of integrated volatility incorporating trading information. (2016). Li, Yingying ; Zheng, Xinghua ; Xie, Shangyu . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:33-50.

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2017Inference in semiparametric conditional moment models with partial identification. (2017). Hong, Shengjie . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:156-179.

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2017Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models. (2017). Yang, Yaxing ; Ling, Shiqing . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:368-381.

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2017Examples of L2-complete and boundedly-complete distributions. (2017). , Donald . In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:213-220.

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2017Injectivity of a class of integral operators with compactly supported kernels. (2017). Hu, Yingyao ; Shiu, Ji-Liang ; Schennach, Susanne M. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:48-58.

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2017Direct instrumental nonparametric estimation of inverse regression functions. (2017). Krief, Jerome M. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:95-107.

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2017Functional linear regression with functional response. (2017). FLORENS, Jean-Pierre ; Benatia, David ; Carrasco, Marine . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:269-291.

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2017Staying at zero with affine processes: An application to term structure modelling. (2017). Monfort, Alain ; Pegoraro, Fulvio ; Renne, Jean-Paul ; Roussellet, Guillaume. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:348-366.

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2017Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows. (2017). le Fol, Gaelle ; Mero, Gulten ; Darolles, Serge . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:367-383.

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2016A note on why doesnt the choice of performance measure matter?. (2016). guo, biao ; Xiao, Yugu . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:248-254.

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2017Forecasting intraday volume: Comparison of two early models. (2017). Szűcs, Balázs Árpád ; Szcs, Balazs Arpad . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:249-258.

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2016Reputation and prices on the e-market: Evidence from a major French platform. (2016). Postel-Vinay, Fabien ; Jullien, Bruno ; jolivet, gregory. In: International Journal of Industrial Organization. RePEc:eee:indorg:v:45:y:2016:i:c:p:59-75.

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2016Network of listed companies based on common shareholders and the prediction of market volatility. (2016). Ren, DA ; Zhang, Yongjie ; Li, Jie ; Feng, XU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:508-521.

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2017The influence function of semiparametric estimators. (2017). Ichimura, Hidehiko ; Newey, Whitney K. In: CeMMAP working papers. RePEc:ifs:cemmap:06/17.

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2017Nonparametric instrumental variable estimation under monotonicity. (2017). Wilhelm, Daniel ; Chetverikov, Denis. In: CeMMAP working papers. RePEc:ifs:cemmap:14/17.

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2016Bias-corrected confidence intervals in a class of linear inverse problems. (2016). Horowitz, Joel ; FLORENS, Jean-Pierre ; van Keilegom, Ingred . In: CeMMAP working papers. RePEc:ifs:cemmap:19/16.

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2016Nonparametric instrumental variable estimation under monotonicity. (2016). Wilhelm, Daniel ; Chetverikov, Denis. In: CeMMAP working papers. RePEc:ifs:cemmap:48/16.

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2016Intraday jumps and trading volume: a nonlinear Tobit specification. (2016). JAWADI, Fredj ; Cheffou, Abdoulkarim Idi ; Randrianarivony, Rivo ; Louhichi, Wael . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:47:y:2016:i:4:d:10.1007_s11156-015-0534-0.

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2016Algorithmic and High-Frequency Trading Strategies: A Literature Review. (2016). Mandes, Alexandru . In: MAGKS Papers on Economics. RePEc:mar:magkse:201625.

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2016Semiparametric Varying Coefficient Models with Endogenous Covariates. (2016). Racine, Jeffrey ; Centorrino, Samuele. In: Department of Economics Working Papers. RePEc:mcm:deptwp:2016-02.

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2016The FinTech Opportunity. (2016). PHILIPPON, Thomas. In: NBER Working Papers. RePEc:nbr:nberwo:22476.

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2017Additive Nonparametric Instrumental Regressions: A Guide to Implementation. (2017). Centorrino, Samuele ; Feve, Frederique ; FLORENS, Jean-Pierre. In: Department of Economics Working Papers. RePEc:nys:sunysb:17-06.

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2017Identifying Distributions in a Panel Model with Heteroskedasticity: An Application to Earnings Volatility. (2017). Botosaru, Irene. In: Discussion Papers. RePEc:sfu:sfudps:dp17-11.

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2016Intrinsically weighted means and non-ergodic marked point processes. (2016). Zhang, Zhengjun ; Malinowski, Alexander ; Schlather, Martin . In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:68:y:2016:i:1:d:10.1007_s10463-014-0485-6.

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2016Intrinsically weighted means and non-ergodic marked point processes. (2016). Zhang, Zhengjun ; Schlather, Martin ; Malinowski, Alexander . In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:68:y:2016:i:1:p:1-24.

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2017Distribution of residuals in the nonparametric IV model with application to separability testing. (2017). Babii, Andrii ; FLORENS, Jean-Pierre. In: TSE Working Papers. RePEc:tse:wpaper:31686.

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2017Honest confidence sets in nonparametric IV regression and other ill-posed models. (2017). Babii, Andrii . In: TSE Working Papers. RePEc:tse:wpaper:31687.

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Works by serge darolles:


YearTitleTypeCited
2000Intraday Transaction Price Dynamics In: Annals of Economics and Statistics.
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article7
1999Intraday Transaction Price Dynamics.(1999) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 7
paper
2016The rise of fintechs and their regulation In: Financial Stability Review.
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article2
2006Structural Laplace Transform and Compound Autoregressive Models In: Journal of Time Series Analysis.
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article24
2006Structural Laplace Transform and Compound Autoregressive Models.(2006) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 24
paper
2011Nonparametric Instrumental Regression In: Econometrica.
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article154
2011Nonparametric Instrumental Regression.(2011) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 154
paper
2010Non Parametric Instrumental Regression.(2010) In: IDEI Working Papers.
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This paper has another version. Agregated cites: 154
paper
2002Nonparametric Instrumental Regression.(2002) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 154
paper
2000Approximating payoffs and pricing formulas In: Journal of Economic Dynamics and Control.
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article2
2000Approximating payoffs and pricing formulas.(2000) In: Post-Print.
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This paper has another version. Agregated cites: 2
paper
2001Factor ARMA representation of a Markov process In: Economics Letters.
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article0
2001Factor ARMA representation of a Markov process.(2001) In: Post-Print.
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This paper has another version. Agregated cites: 0
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2001Truncated dynamics and estimation of diffusion equations In: Journal of Econometrics.
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article9
2000Truncated dynamics and estimation of diffusion equations.(2000) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 9
paper
2004Kernel-based nonlinear canonical analysis and time reversibility In: Journal of Econometrics.
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article8
2004Kernel-based nonlinear canonical analysis and time reversibility.(2004) In: Post-Print.
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This paper has another version. Agregated cites: 8
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2009L-performance with an application to hedge funds In: Journal of Empirical Finance.
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article5
2009L-performance with an application to hedge funds.(2009) In: Post-Print.
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This paper has another version. Agregated cites: 5
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2008Improving VWAP strategies: A dynamic volume approach In: Journal of Banking & Finance.
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article19
2006Improving VWAP strategies: A dynamical volume approach.(2006) In: Documents de recherche.
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This paper has another version. Agregated cites: 19
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2008Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print.
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This paper has another version. Agregated cites: 19
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2010Conditionally fitted Sharpe performance with an application to hedge fund rating In: Journal of Banking & Finance.
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article14
2010Conditionally fitted Sharpe performance with an application to hedge fund rating.(2010) In: Post-Print.
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This paper has another version. Agregated cites: 14
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2012The alpha and omega of fund of hedge fund added value In: Journal of Banking & Finance.
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article1
2012The alpha and omega of fund of hedge fund added value.(2012) In: Post-Print.
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This paper has another version. Agregated cites: 1
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2015Measuring the liquidity part of volume In: Journal of Banking & Finance.
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article3
2015Financial Market Liquidity: Who Is Acting Strategically? In: THEMA Working Papers.
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1999Kernel Based Nonlinear Canonical Analysis. In: Toulouse - GREMAQ.
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paper1
2001Kernel Based Nonlinear Canonical Analysis.(2001) In: IDEI Working Papers.
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This paper has another version. Agregated cites: 1
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2016Introduction to the special issue on recent developments in Financial Econometrics In: Post-Print.
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2009Returns and Volume: Between Information andLiquidity In: Post-Print.
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2004Nouvelles techniques de gestion et leur impact sur la volatilité In: Post-Print.
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paper1
2004Nouvelles techniques de gestion et leur impact sur la volatilité.(2004) In: Post-Print.
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This paper has another version. Agregated cites: 1
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2004Nouvelles techniques de gestion et leur impact sur la volatilité.(2004) In: Revue d'Économie Financière.
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2011Hedge Fund Returns and Factor Models: A Cross-Sectional Approach In: Post-Print.
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2011Multifactor Models: Examining the potential of signal processing techniques In: Post-Print.
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2012MLiq a meta liquidity measure In: Post-Print.
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2013MLiq a meta liquidity measure.(2013) In: Post-Print.
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2012Liquidity contagion: A look at emerging markets In: Post-Print.
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2014Trading volume and Arbitrage In: Post-Print.
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2014Evaluating UCITS Compliant Hedge Fund Performance In: Post-Print.
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2014Evaluating UCITS Compliant Hedge Fund Performance.(2014) In: Bankers, Markets & Investors.
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2010When Market Illiquidity Generates Volumes In: Working Papers.
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2010Nonparametric Analysis of Hedge Funds Lifetimes In: IDEI Working Papers.
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2010Nonparametric Analysis of Hedge Funds Lifetimes.(2010) In: TSE Working Papers.
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This paper has another version. Agregated cites: 1
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2014Edito In: Bankers, Markets & Investors.
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