serge darolles : Citation Profile


Are you serge darolles?

Université Paris-Dauphine (Paris IX)

9

H index

9

i10 index

433

Citations

RESEARCH PRODUCTION:

20

Articles

73

Papers

RESEARCH ACTIVITY:

   22 years (1997 - 2019). See details.
   Cites by year: 19
   Journals where serge darolles has often published
   Relations with other researchers
   Recent citing documents: 70.    Total self citations: 12 (2.7 %)

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   Permalink: http://citec.repec.org/pda653
   Updated: 2020-02-16    RAS profile: 2020-02-05    
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Relations with other researchers


Works with:

Le Fol, Gaelle (12)

Francq, Christian (6)

Laurent, Sébastien (6)

gourieroux, christian (6)

Lu, Yang (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 (31)

gourieroux, christian (25)

Monfort, Alain (16)

Simoni, Anna (15)

Schennach, Susanne (10)

Caporin, Massimiliano (8)

Renne, Jean-Paul (8)

Kristensen, Dennis (8)

Gagliardini, Patrick (7)

Van Bellegem, Sebastien (7)

LINTON, OLIVER (7)

Cites to:

Le Fol, Gaelle (21)

gourieroux, christian (17)

Lo, Andrew (16)

Jasiak, Joann (12)

Grossman, Sanford (11)

Engle, Robert (10)

Tauchen, George (9)

Andersen, Torben (9)

Miller, Merton (8)

Trzcinka, Charles (8)

Trzcinka, Charles (8)

Main data


Where serge darolles has published?


Journals with more than one article published# docs
Journal of Banking & Finance4
Journal of Econometrics4
Bankers, Markets & Investors2

Working Papers Series with more than one paper published# docs
Post-Print / HAL45
Working Papers / Center for Research in Economics and Statistics16
IDEI Working Papers / Institut d'conomie Industrielle (IDEI), Toulouse3
Working Papers / HAL2

Recent works citing serge darolles (2019 and 2018)


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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2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

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2019Towards a General Large Sample Theory for Regularized Estimators. (2019). Jansson, Michael ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1712.07248.

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2018Ill-posed Estimation in High-Dimensional Models with Instrumental Variables. (2018). Simoni, Anna ; Mammen, Enno ; Breunig, Christoph. In: Papers. RePEc:arx:papers:1806.00666.

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2018Incremental Sharpe and other performance ratios. (2018). Guez, Beatrice ; Benhamou, Eric. In: Papers. RePEc:arx:papers:1807.09864.

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2018Stochastic Revealed Preferences with Measurement Error. (2018). Kashaev, Nail ; Aguiar, Victor. In: Papers. RePEc:arx:papers:1810.05287.

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2018Reverse Quantum Annealing Approach to Portfolio Optimization Problems. (2018). Kondratyev, Alexei ; Venturelli, Davide. In: Papers. RePEc:arx:papers:1810.08584.

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2018Endogeneous Dynamics of Intraday Liquidity. (2018). Lehalle, Charles-Albert ; Bi, Mikolaj . In: Papers. RePEc:arx:papers:1811.03766.

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2018Identification of semiparametric discrete outcome models with bounded covariates. (2018). Kashaev, Nail. In: Papers. RePEc:arx:papers:1811.05555.

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2019A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2019Penalized Sieve GEL for Weighted Average Derivatives of Nonparametric Quantile IV Regressions. (2019). Chen, Xiaohong ; Powell, James L ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1902.10100.

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2019Discerning Solution Concepts. (2019). Salcedo, Bruno ; Kashaev, Nail. In: Papers. RePEc:arx:papers:1909.09320.

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2019Goodness-of-Fit Tests based on Series Estimators in Nonparametric Instrumental Regression. (2019). Breunig, Christoph. In: Papers. RePEc:arx:papers:1909.10133.

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2019A General Framework for Inference on Shape Restrictions. (2019). Seo, Juwon ; Fang, Zheng. In: Papers. RePEc:arx:papers:1910.07689.

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2019Embedded supervision: how to build regulation into blockchain finance. (2019). Auer, Raphael. In: BIS Working Papers. RePEc:bis:biswps:811.

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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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2019Embedded supervision: how to build regulation into blockchain finance. (2019). Auer, Raphael. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14095.

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2019Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems. (2019). Dubois, Florent ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-15.

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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 ; Carrasco, Marine ; FLORENS, Jean-Pierre. 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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2018Threshold regression with endogeneity. (2018). Phillips, Peter ; PEter, ; Yu, Ping . In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:50-68.

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2019Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects. (2019). Gagliardini, Patrick ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:613-637.

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2019A model-free consistent test for structural change in regression possibly with endogeneity. (2019). Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:1:p:206-242.

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2019Identification and wavelet estimation of weighted ATE under discontinuous and kink incentive assignment mechanisms. (2019). Chen, Heng ; Fan, Yanqin. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:476-502.

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2019Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions. (2019). Powell, James L ; Pouzo, Demian ; Chen, Xiaohong. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:30-53.

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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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2019Liquidity, surprise volume and return premia in the oil market. (2019). Wagner, Niklasf ; Szilagyi, Peter G ; Kinateder, Harald ; Batten, Jonathan A. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:93-104.

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2019A systematic review of sovereign connectedness on emerging economies. (2019). Gonzalez-Urteaga, Ana ; Diaz-Mendoza, Ana Carmen ; Ballester, Laura. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:157-163.

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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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2018Assessing the nonlinearity of the calorie-income relationship: An estimation strategy – With new insights on nutritional transition in Vietnam. (2018). THOMAS-AGNAN, Christine ; Simioni, Michel ; Thi, Huong Trinh. In: World Development. RePEc:eee:wdevel:v:110:y:2018:i:c:p:192-204.

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2018Nonparametric instrumental regression with errors in variables. (2018). Otsu, Taisuke ; Adusumilli, Karun. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85871.

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2017Mutual Funds Performance Assessment Techniques: Comparative Analysis. (2017). Olkova, Anna E. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:170307:p:85-95.

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2018Negative Binomial Autoregressive Process. (2018). gourieroux, christian ; Lu, Yang. In: CEPN Working Papers. RePEc:hal:cepnwp:hal-01730050.

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2019Improving portfolios global performance using a cleaned and robust covariance matrix estimate. (2019). de Peretti, Philippe ; Pascal, Frederic ; Ovarlez, Jean-Philippe ; Terreaux, Eugenie ; Soler, Thibault ; Jay, Emmanuelle ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-02354596.

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2018Incremental Sharpe and other performance ratios. (2018). Guez, Beatrice ; Benhamou, Eric. In: Post-Print. RePEc:hal:journl:hal-02012443.

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2018Dynamic Frailty Count Process in Insurance: A Unified Framework for Estimation, Pricing, and Forecasting. (2018). Lu, Yang. In: Post-Print. RePEc:hal:journl:halshs-02418950.

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2019Bivariate integer-autoregressive process with an application to mutual fund flows. (2019). Sun, Ran ; Lu, Yang ; le Fol, Gaelle ; Darolles, Serge. In: Post-Print. RePEc:hal:journl:halshs-02418967.

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2019New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies. (2019). SADEFO, Jules ; Moumouni, Zoulkiflou. In: Working Papers. RePEc:hal:wpaper:hal-02417459.

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2017The influence function of semiparametric estimators. (2017). Newey, Whitney K ; Ichimura, Hidehiko. 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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2019Towards a general large sample theory for regularized estimators. (2019). Jansson, Michael ; Pouzo, Demian. In: CeMMAP working papers. RePEc:ifs:cemmap:63/19.

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2019Testing Unconfoundedness Assumption Using Auxiliary Variables. (2019). Tang, Shengfang ; Lin, Ming ; Fang, Ying ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201905.

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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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2019Robust measures of skewness and kurtosis for macroeconomic and financial time series. (2019). Bastianin, Andrea ; Andrea, Bastianin. In: Working Papers. RePEc:mib:wpaper:408.

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2019Improving portfolios global performance using a cleaned and robust covariance matrix estimate. (2019). de Peretti, Philippe ; Pascal, Frederic ; Ovarlez, Jean-Philippe ; Terreaux, Eugenie ; Soler, Thibault ; Jay, Emmanuelle ; Chorro, Christophe. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:19022.

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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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2017Price Discovery and Volatility:A theoretical Approach. (2017). Muchochoma, Drayton ; Mpofu, Olipha ; Kambeu, Edson. In: International Journal of Finance & Banking Studies. RePEc:rbs:ijfbss:v:6:y:2017:i:2:p:37-43.

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2017Nonparametric Estimation in Case of Endogenous Selection. (2017). Simoni, Anna ; Mammen, Enno ; Breunig, Christoph. 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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2019A realized volatility approach to option pricing with continuous and jump variance components. (2019). Corsi, Fulvio ; Bormetti, Giacomo ; Alitab, Dario ; Majewski, Adam A. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00241-2.

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2018Incremental Sharpe and other performance ratios. (2018). Benhamou, Eric ; Guez, Beatrice. In: Journal of Statistical and Econometric Methods. RePEc:spt:stecon:v:7:y:2018:i:4:f:7_4_2.

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2017Modelling the relationship between future energy intraday volatility and trading volume with wavelet. (2017). Ftiti, Zied ; JAWADI, Fredj ; Louhichi, Wal. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:20:p:1981-1993.

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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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2018Negative Binomial Autoregressive Process. (2018). gourieroux, christian. In: CEPN Working Papers. RePEc:upn:wpaper:2018-01.

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2019Trading Volume, Illiquidity and Commonalities in FX Markets. (2018). Santucci de Magistris, Paolo ; Ranaldo, Angelo. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:23.

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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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article6
2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas In: AMSE Working Papers.
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paper0
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Journal of Econometrics.
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article
2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas.(2018) In: Working Papers.
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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: MPRA Paper.
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2016The rise of fintechs and their regulation In: Financial Stability Review.
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article4
2006Structural Laplace Transform and Compound Autoregressive Models In: Journal of Time Series Analysis.
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article30
2000Nonparametric Instrumental Regression In: Working Papers.
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paper183
2011Nonparametric Instrumental Regression.(2011) In: Econometrica.
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2010Non Parametric Instrumental Regression.(2010) In: IDEI Working Papers.
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2002Nonparametric Instrumental Regression.(2002) In: Cahiers de recherche.
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2000Kernel Based Nonlinear Canonical Analysis and Time Reversibility In: Working Papers.
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2004Kernel-based nonlinear canonical analysis and time reversibility.(2004) In: Journal of Econometrics.
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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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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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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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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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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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1998Kernel Based Nonlinear Canonical Analysis In: Working Papers.
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1999Kernel Based Nonlinear Canonical Analysis..(1999) In: Toulouse - GREMAQ.
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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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2017Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows In: Journal of Econometrics.
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2009L-performance with an application to hedge funds In: Journal of Empirical Finance.
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2008Improving VWAP strategies: A dynamic volume approach In: Journal of Banking & Finance.
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2006Improving VWAP strategies: A dynamical volume approach.(2006) In: Documents de recherche.
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2010Conditionally fitted Sharpe performance with an application to hedge fund rating In: Journal of Banking & Finance.
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2012The alpha and omega of fund of hedge fund added value In: Journal of Banking & Finance.
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2015Measuring the liquidity part of volume In: Journal of Banking & Finance.
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2019Bivariate integer-autoregressive process with an application to mutual fund flows In: Journal of Multivariate Analysis.
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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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2017Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows In: Post-Print.
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paper3
2015Measuring the Liquidity Part of Volume 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 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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2014Trading volume and Arbitrage In: Post-Print.
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2014Trading Volume and Arbitrage 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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