serge darolles : Citation Profile


Are you serge darolles?

Université Paris-Dauphine (Paris IX)

7

H index

6

i10 index

291

Citations

RESEARCH PRODUCTION:

17

Articles

69

Papers

RESEARCH ACTIVITY:

   21 years (1997 - 2018). See details.
   Cites by year: 13
   Journals where serge darolles has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 11 (3.64 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pda653
   Updated: 2018-06-16    RAS profile: 2018-05-04    
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Relations with other researchers


Works with:

Le Fol, Gaelle (13)

Laurent, Sébastien (2)

Francq, Christian (2)

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

Is cited by:

Chen, Xiaohong (29)

Monfort, Alain (13)

gourieroux, christian (12)

Schennach, Susanne (9)

Simoni, Anna (8)

Van Bellegem, Sebastien (7)

Kristensen, Dennis (7)

Newey, Whitney (6)

Florens, Jean-Pierre (6)

Lee, Sokbae (Simon) (6)

Diebold, Francis (5)

Cites to:

Le Fol, Gaelle (19)

Lo, Andrew (13)

gourieroux, christian (12)

Grossman, Sanford (10)

Engle, Robert (9)

Miller, Merton (8)

Jasiak, Joann (8)

Andersen, Torben (8)

Tauchen, George (6)

Viswanathan, S (6)

Trzcinka, Charles (6)

Main data


Where serge darolles has published?


Journals with more than one article published# docs
Journal of Banking & Finance4
Journal of Econometrics3
Bankers, Markets & Investors2

Working Papers Series with more than one paper published# docs
Post-Print / HAL43
Working Papers / Center for Research in Economics and Statistics16
IDEI Working Papers / Institut d'conomie Industrielle (IDEI), Toulouse3

Recent works citing serge darolles (2018 and 2017)


YearTitle of citing document
2018Generalized Random Forests. (2018). Athey, Susan ; Wager, Stefan ; Tibshirani, Julie . In: Papers. RePEc:arx:papers:1610.01271.

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2017Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas. (2017). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

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2017Some Large Sample Results for the Method of Regularized Estimators. (2017). Jansson, Michael ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1712.07248.

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2017Semi-parametric Estimation in a Single-index Model with Endogenous Variables. (2017). Birke, Melanie ; van Keilegom, Ingrid ; VanKeilegom, Ingrid ; VanBellegem, Sebastien ; Van Bellegem, Sebastien . In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:1:p:168-191.

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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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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). Schennach, Susanne ; Shiu, Ji-Liang ; Hu, Yingyao. 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). Benatia, David ; FLORENS, Jean-Pierre ; 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). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain ; Pegoraro, Fulvio. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:348-366.

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2018Exponentially tilted likelihood inference on growing dimensional unconditional moment models. (2018). Tang, Niansheng ; Zhao, Puying ; Yan, Xiaodong. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:57-74.

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2018Nonparametric estimation in case of endogenous selection. (2018). Breunig, Christoph ; Simoni, Anna ; Mammen, Enno. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:268-285.

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2018“On the (Ab)use of Omega?”. (2018). Caporin, Massimiliano ; Maillet, Bertrand ; Jannin, Gregory ; Costola, Michele. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:11-33.

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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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2018Equivalent volume and comovement. (2018). Staer, Arsenio ; Sottile, Pedro . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:143-157.

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2017Nonparametric instrumental regression with errors in variables. (2017). Otsu, Taisuke ; Adusumilli, Karun. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85871.

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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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2017Nonparametric instrumental variable estimation. (2017). Wilhelm, Daniel ; Kim, Dongwoo ; Chetverikov, Denis. In: CeMMAP working papers. RePEc:ifs:cemmap:47/17.

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2018Semiparametric Bayes Instrumental Variable Estimation with Many Weak Instruments. (2018). Kato, Ryo ; Hoshino, Takahiro . In: Discussion Paper Series. RePEc:kob:dpaper:dp2018-14.

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

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2017Nonparametric Estimation in Case of Endogenous Selection. (2017). Breunig, Christoph ; Simoni, Anna ; Mammen, Enno. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:58.

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2017Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas. (2017). Yang, Xiye ; Liao, Yuan. In: Departmental Working Papers. RePEc:rut:rutres:201711.

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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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2017Nonparametric estimation of a scalar diffusion model from discrete time data: a survey. (2017). Gourieroux, Christian ; Sriboonchitta, Songsak ; Nguyen, Hung T. In: Annals of Operations Research. RePEc:spr:annopr:v:256:y:2017:i:2:d:10.1007_s10479-016-2273-6.

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2018Measurement errors in stock markets. (2018). JAWADI, Fredj ; Louhichi, Wael ; Cheffou, Abdoulkarim Idi ; ben Ameur, Hachmi. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2138-z.

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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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2017Term Premium Dynamics and the Taylor Rule. (2017). Gallmeyer, Michael ; Zin, Stanley ; Palomino, Francisco ; Hollifield, Burton. In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:07:y:2017:i:04:n:s2010139217500112.

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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.
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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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article27
2006Structural Laplace Transform and Compound Autoregressive Models.(2006) In: Post-Print.
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This paper has another version. Agregated cites: 27
paper
2000Nonparametric Instrumental Regression In: Working Papers.
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2011Nonparametric Instrumental Regression.(2011) In: Econometrica.
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This paper has another version. Agregated cites: 168
article
2011Nonparametric Instrumental Regression.(2011) In: Post-Print.
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paper
2010Non Parametric Instrumental Regression.(2010) In: IDEI Working Papers.
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paper
2002Nonparametric Instrumental Regression.(2002) In: Cahiers de recherche.
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paper
2000Kernel Based Nonlinear Canonical Analysis and Time Reversibility In: Working Papers.
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paper10
2004Kernel-based nonlinear canonical analysis and time reversibility.(2004) In: Journal of Econometrics.
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2004Kernel-based nonlinear canonical analysis and time reversibility.(2004) In: Post-Print.
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2000Factor ARMA Representation of a Markov Process In: Working Papers.
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2001Factor ARMA representation of a Markov process.(2001) In: Economics Letters.
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2001Factor ARMA representation of a Markov process.(2001) In: Post-Print.
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2000Empirical Local Time for Processes Observed on a Grid In: Working Papers.
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2001Compound Autoregressive Models In: Working Papers.
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2003Trading Volume and Arbitrage In: Working Papers.
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2014Trading volume and Arbitrage.(2014) In: Post-Print.
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2014Trading Volume and Arbitrage.(2014) In: Post-Print.
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2014Trading volume and Arbitrage.(2014) In: Post-Print.
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2005Decomposing Volume for VWAP Strategies In: Working Papers.
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2012Robust Portfolio Allocation with Systematic Risk Contribution Restrictions In: Working Papers.
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2012Survival of Hedge Funds : Frailty vs Contagion In: Working Papers.
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2013Survival of Hedge Funds: Frailty vs Contagion.(2013) In: Post-Print.
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2013The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I : The High Water Mark Scheme In: Working Papers.
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2013The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II : The Loss Carry Forward Scheme In: Working Papers.
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1997Dynamiques tronquées et estimation de modèles de diffusion In: Working Papers.
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1997Truncated Dynamics and Estimation of DiffusionEquations In: Working Papers.
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2001Truncated dynamics and estimation of diffusion equations.(2001) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 10
article
2000Truncated dynamics and estimation of diffusion equations.(2000) In: Post-Print.
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1997Approximating Payoffs and Approximating Pricing Formulas In: Working Papers.
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1997Nonparametric Estimation of a Diffusion Equation from Tick Observations In: Working Papers.
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paper3
1998Kernel Based Nonlinear Canonical Analysis In: Working Papers.
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paper1
1999Kernel Based Nonlinear Canonical Analysis..(1999) In: Toulouse - GREMAQ.
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This paper has another version. Agregated cites: 1
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2001Kernel Based Nonlinear Canonical Analysis.(2001) In: IDEI Working Papers.
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2000Approximating payoffs and pricing formulas In: Journal of Economic Dynamics and Control.
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2000Approximating payoffs and pricing formulas.(2000) In: Post-Print.
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2017Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows In: Journal of Econometrics.
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2017Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows.(2017) In: Post-Print.
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2009L-performance with an application to hedge funds In: Journal of Empirical Finance.
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2009L-performance with an application to hedge funds.(2009) In: Post-Print.
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2008Improving VWAP strategies: A dynamic volume approach In: Journal of Banking & Finance.
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article18
2006Improving VWAP strategies: A dynamical volume approach.(2006) In: Documents de recherche.
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2008Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print.
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2010Conditionally fitted Sharpe performance with an application to hedge fund rating In: Journal of Banking & Finance.
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article15
2010Conditionally fitted Sharpe performance with an application to hedge fund rating.(2010) In: Post-Print.
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2012The alpha and omega of fund of hedge fund added value In: Journal of Banking & Finance.
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2012The alpha and omega of fund of hedge fund added value.(2012) In: Post-Print.
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2015Measuring the liquidity part of volume In: Journal of Banking & Finance.
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2015Measuring the Liquidity Part of Volume.(2015) In: Post-Print.
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2015Financial Market Liquidity: Who Is Acting Strategically? In: THEMA Working Papers.
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2016Introduction to the special issue on recent developments in Financial Econometrics In: Post-Print.
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2016Gauging Liquidity Risk in Emerging Market Bond Index Funds In: Post-Print.
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2016Intrinsic Liquidity in Conditional Volatility Models In: Post-Print.
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2014Liquidity risk and contagion for liquid funds In: Post-Print.
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2014Contagion in Emerging Markets In: Post-Print.
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2013Liquidity Contagion. The Emerging Sovereign Debt Markets example In: Post-Print.
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2012Liquidity Contagion. The Emerging Sovereign Debt Markets example.(2012) In: Post-Print.
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2012Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume In: Post-Print.
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2014Contagion Analysis In The Banking Sector In: Post-Print.
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2013Factor Selection In: Post-Print.
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2013Factor Models and General Definition In: Post-Print.
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2015The Dynamics of Hedge Fund Performance In: Post-Print.
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2015Performance fees and hedge fund return dynamics In: Post-Print.
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2013Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective In: Post-Print.
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2013A Regularized Kalman Filter (rgKF) for Spiky Data In: Post-Print.
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2013Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry? In: Post-Print.
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2013Multi-factor models and signal processing techniques: application to quantitative finance 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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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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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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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas In: MPRA Paper.
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2014Edito In: Bankers, Markets & Investors.
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