serge darolles : Citation Profile


Are you serge darolles?

Université Paris-Dauphine (Paris IX)

7

H index

6

i10 index

285

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: 28.    Total self citations: 11 (3.72 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pda653
   Updated: 2018-04-21    RAS profile: 2018-04-05    
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Relations with other researchers


Works with:

Le Fol, Gaelle (13)

Francq, Christian (2)

Laurent, Sébastien (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 (13)

gourieroux, christian (12)

Schennach, Susanne (9)

Simoni, Anna (8)

Van Bellegem, Sebastien (7)

Kristensen, Dennis (7)

Lee, Sokbae (Simon) (6)

Newey, Whitney (6)

Florens, Jean-Pierre (6)

Renne, Jean-Paul (5)

Wilhelm, Daniel (5)

Cites to:

Le Fol, Gaelle (19)

Lo, Andrew (13)

gourieroux, christian (12)

Grossman, Sanford (10)

Engle, Robert (9)

Andersen, Torben (8)

Miller, Merton (8)

Jasiak, Joann (8)

Trzcinka, Charles (6)

Brown, Stephen (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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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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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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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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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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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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paper167
2011Nonparametric Instrumental Regression.(2011) In: Econometrica.
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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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This paper has another version. Agregated cites: 167
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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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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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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2014Trading Volume and Arbitrage.(2014) In: Post-Print.
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2014Trading volume and Arbitrage.(2014) In: Post-Print.
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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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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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paper10
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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article2
2000Approximating payoffs and pricing formulas.(2000) In: Post-Print.
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This paper has another version. Agregated cites: 2
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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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article6
2009L-performance with an application to hedge funds.(2009) In: Post-Print.
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This paper has another version. Agregated cites: 6
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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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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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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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