serge darolles : Citation Profile


Are you serge darolles?

Université Paris-Dauphine (Paris IX)

7

H index

4

i10 index

248

Citations

RESEARCH PRODUCTION:

16

Articles

46

Papers

RESEARCH ACTIVITY:

   19 years (1997 - 2016). See details.
   Cites by year: 13
   Journals where serge darolles has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 8 (3.13 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pda653
   Updated: 2017-07-22    RAS profile: 2017-07-06    
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Relations with other researchers


Works with:

Le Fol, Gaelle (5)

gourieroux, 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:

Monfort, Alain (12)

gourieroux, christian (10)

Schennach, Susanne (8)

Simoni, Anna (8)

Kristensen, Dennis (7)

Van Bellegem, Sebastien (7)

Florens, Jean-Pierre (6)

Newey, Whitney (6)

Lee, Sokbae (Simon) (6)

Chalak, Karim (5)

LINTON, OLIVER (5)

Cites to:

Le Fol, Gaelle (12)

Lo, Andrew (11)

gourieroux, christian (10)

Grossman, Sanford (10)

Miller, Merton (8)

Andersen, Torben (7)

Jasiak, Joann (7)

Viswanathan, S (6)

Brown, Stephen (6)

Hansen, Lars (5)

Tauchen, George (5)

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 / HAL21
Working Papers / Centre de Recherche en Economie et Statistique16
IDEI Working Papers / Institut d'Économie Industrielle (IDEI), Toulouse3

Recent works citing serge darolles (2017 and 2016)


YearTitle of citing document
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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2016Cross-Validation Selection of Regularization Parameter(s) for Semiparametric Transformation Models. (2016). Sokullu, Senay ; Stouli, Sami . 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 ; Cazals, Catherine ; FLORENS, Jean-Pierre. 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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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). 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 ; FLORENS, Jean-Pierre ; Feve, Frederique . In: Department of Economics Working Papers. RePEc:nys:sunysb:17-06.

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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.
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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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article22
2006Structural Laplace Transform and Compound Autoregressive Models.(2006) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 22
paper
2000Nonparametric Instrumental Regression In: Working Papers.
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paper148
2011Nonparametric Instrumental Regression.(2011) In: Econometrica.
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This paper has another version. Agregated cites: 148
article
2011Nonparametric Instrumental Regression.(2011) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 148
paper
2010Non Parametric Instrumental Regression.(2010) In: IDEI Working Papers.
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This paper has another version. Agregated cites: 148
paper
2002Nonparametric Instrumental Regression.(2002) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 148
paper
2000Kernel Based Nonlinear Canonical Analysis and Time Reversibility In: Working Papers.
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paper8
2004Kernel-based nonlinear canonical analysis and time reversibility.(2004) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 8
article
2004Kernel-based nonlinear canonical analysis and time reversibility.(2004) In: Post-Print.
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This paper has another version. Agregated cites: 8
paper
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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This paper has another version. Agregated cites: 0
article
2001Factor ARMA representation of a Markov process.(2001) In: Post-Print.
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paper
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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This paper has another version. Agregated cites: 1
paper
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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paper1
2012Survival of Hedge Funds : Frailty vs Contagion In: Working Papers.
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paper0
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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paper9
2001Truncated dynamics and estimation of diffusion equations.(2001) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 9
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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article1
2000Approximating payoffs and pricing formulas.(2000) In: Post-Print.
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This paper has another version. Agregated cites: 1
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2009L-performance with an application to hedge funds In: Journal of Empirical Finance.
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article4
2009L-performance with an application to hedge funds.(2009) In: Post-Print.
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This paper has another version. Agregated cites: 4
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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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article14
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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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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2015Financial Market Liquidity: Who Is Acting Strategically? In: THEMA Working Papers.
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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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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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