11
H index
12
i10 index
532
Citations
serge darolles : Citation Profile
Université Paris-Dauphine (Paris IX) | RESEARCH PRODUCTION: 20 Articles 62 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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24 years (1997 - 2021). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with serge darolles. | Is cited by:
| Cites to:
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Main data
Where serge darolles has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Banking & Finance | 4 |
| Journal of Econometrics | 4 |
| Bankers, Markets & Investors | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Post-Print / HAL | 33 |
| Working Papers / Center for Research in Economics and Statistics | 16 |
| IDEI Working Papers / Institut d'Économie Industrielle (IDEI), Toulouse | 3 |
| Working Papers / HAL | 3 |
Recent works citing serge darolles (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Is completeness necessary? Estimation in nonidentified linear models. (2020). Babii, Andrii ; FLORENS, Jean-Pierre. In: Papers. RePEc:arx:papers:1709.03473. Full description at Econpapers || Download paper |
| 2024 | Adversarial Estimation of Riesz Representers. (2020). Syrgkanis, Vasilis ; Singh, Rahul ; Newey, Whitney ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2101.00009. Full description at Econpapers || Download paper |
| 2025 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper |
| 2024 | One-step nonparametric instrumental regression using smoothing splines. (2023). Lavergne, Pascal ; Lapenta, Elia ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2307.14867. Full description at Econpapers || Download paper |
| 2024 | Uniform Inference for Nonlinear Endogenous Treatment Effects with High-Dimensional Covariates. (2023). Zhang, Cun-Hui ; Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2310.08063. Full description at Econpapers || Download paper |
| 2024 | Regularized DeepIV with Model Selection. (2024). Uehara, Masatoshi ; Wang, Mengdi ; Syrgkanis, Vasilis ; Lan, Hui ; Li, Zihao. In: Papers. RePEc:arx:papers:2403.04236. Full description at Econpapers || Download paper |
| 2024 | High-Dimensional Mean-Variance Spanning Tests. (2024). Sessinou, Rosnel ; Laurent, S'Ebastien ; Ardia, David. In: Papers. RePEc:arx:papers:2403.17127. Full description at Econpapers || Download paper |
| 2024 | Context-dependent Causality (the Non-Nonotonic Case). (2024). Kim, Moshe ; Billfeld, Nir. In: Papers. RePEc:arx:papers:2404.05021. Full description at Econpapers || Download paper |
| 2024 | Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469. Full description at Econpapers || Download paper |
| 2024 | Internet stock message boards and the price–volume relationship: Registered users vs non-registered users. (2024). Shen, Dehua ; Zhang, Zuochao. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000941. Full description at Econpapers || Download paper |
| 2024 | Not all the news fitting to reprint: Evidence from price-volume relationship. (2024). Shen, Dehua ; Zhang, Zuochao. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001582. Full description at Econpapers || Download paper |
| 2024 | Asymmetric effect of trading volume on realized volatility. (2024). Maki, Daiki. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003800. Full description at Econpapers || Download paper |
| 2025 | . Full description at Econpapers || Download paper |
| 2024 | Identifying the Volatility Risk Price Through the Leverage Effect. (2024). Sangrey, Paul ; Renault, Eric ; Cheng, XU. In: PIER Working Paper Archive. RePEc:pen:papers:24-013. Full description at Econpapers || Download paper |
| 2024 | Partly linear instrumental variables regressions without smoothing on the instruments. (2024). Lapenta, Elia ; Florens, Jean-Pierre. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:3:d:10.1007_s11749-024-00931-z. Full description at Econpapers || Download paper |
Works by serge darolles:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2000 | Intraday Transaction Price Dynamics In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 10 |
| 2018 | Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas In: AMSE Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2018 | Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2016 | The rise of fintechs and their regulation In: Financial Stability Review. [Full Text][Citation analysis] | article | 14 |
| 2006 | Structural Laplace Transform and Compound Autoregressive Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 45 |
| 2000 | Nonparametric Instrumental Regression In: Working Papers. [Full Text][Citation analysis] | paper | 249 |
| 2011 | Nonparametric Instrumental Regression.(2011) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 249 | article | |
| 2010 | Non Parametric Instrumental Regression.(2010) In: IDEI Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 249 | paper | |
| 2002 | Nonparametric Instrumental Regression.(2002) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 249 | paper | |
| 2000 | Kernel Based Nonlinear Canonical Analysis and Time Reversibility In: Working Papers. [Full Text][Citation analysis] | paper | 15 |
| 2004 | Kernel-based nonlinear canonical analysis and time reversibility.(2004) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
| 2000 | Factor ARMA Representation of a Markov Process In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Factor ARMA representation of a Markov process.(2001) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2000 | Empirical Local Time for Processes Observed on a Grid In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2001 | Compound Autoregressive Models In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 2003 | Trading Volume and Arbitrage In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2014 | Trading volume and Arbitrage.(2014) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2014 | Trading Volume and Arbitrage.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2014 | Trading volume and Arbitrage.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2005 | Decomposing Volume for VWAP Strategies In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Robust Portfolio Allocation with Systematic Risk Contribution Restrictions In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 2012 | Survival of Hedge Funds : Frailty vs Contagion In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2013 | Survival of Hedge Funds: Frailty vs Contagion.(2013) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2013 | The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I : The High Water Mark Scheme In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II : The Loss Carry Forward Scheme In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Dynamiques tronquées et estimation de modèles de diffusion In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Truncated Dynamics and Estimation of DiffusionEquations In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2001 | Truncated dynamics and estimation of diffusion equations.(2001) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 1997 | Approximating Payoffs and Approximating Pricing Formulas In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Nonparametric Estimation of a Diffusion Equation from Tick Observations In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 1998 | Kernel Based Nonlinear Canonical Analysis In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 1999 | Kernel Based Nonlinear Canonical Analysis..(1999) In: Toulouse - GREMAQ. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2001 | Kernel Based Nonlinear Canonical Analysis.(2001) In: IDEI Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2000 | Approximating payoffs and pricing formulas In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 5 |
| 2017 | Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows In: Journal of Econometrics. [Full Text][Citation analysis] | article | 22 |
| 2017 | Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
| 2009 | L-performance with an application to hedge funds In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 15 |
| 2008 | Improving VWAP strategies: A dynamic volume approach In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 37 |
| 2006 | Improving VWAP strategies: A dynamical volume approach.(2006) In: Documents de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
| 2008 | Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
| 2010 | Conditionally fitted Sharpe performance with an application to hedge fund rating In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 19 |
| 2012 | The alpha and omega of fund of hedge fund added value In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
| 2015 | Measuring the liquidity part of volume In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 14 |
| 2015 | Measuring the Liquidity Part of Volume.(2015) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2015 | Measuring the Liquidity Part of Volume.(2015) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2019 | Bivariate integer-autoregressive process with an application to mutual fund flows In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 6 |
| 2019 | Bivariate integer-autoregressive process with an application to mutual fund flows.(2019) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2015 | Financial Market Liquidity: Who Is Acting Strategically? In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Introduction to the special issue on recent developments in Financial Econometrics In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Gauging Liquidity Risk in Emerging Market Bond Index Funds In: Post-Print. [Citation analysis] | paper | 0 |
| 2016 | Intrinsic Liquidity in Conditional Volatility Models In: Post-Print. [Citation analysis] | paper | 0 |
| 2014 | Liquidity risk and contagion for liquid funds In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Contagion in Emerging Markets In: Post-Print. [Citation analysis] | paper | 1 |
| 2015 | Contagion in Emerging Markets.(2015) In: Palgrave Macmillan Books. [Citation analysis] This paper has nother version. Agregated cites: 1 | chapter | |
| 2013 | Liquidity Contagion. The Emerging Sovereign Debt Markets example In: Post-Print. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Liquidity Contagion. The Emerging Sovereign Debt Markets example.(2012) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2012 | Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Contagion Analysis In The Banking Sector In: Post-Print. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Factor Selection In: Post-Print. [Citation analysis] | paper | 0 |
| 2013 | Factor Models and General Definition In: Post-Print. [Citation analysis] | paper | 0 |
| 2015 | The Dynamics of Hedge Fund Performance In: Post-Print. [Citation analysis] | paper | 0 |
| 2015 | Performance fees and hedge fund return dynamics In: Post-Print. [Citation analysis] | paper | 0 |
| 2013 | Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective In: Post-Print. [Citation analysis] | paper | 0 |
| 2013 | A Regularized Kalman Filter (rgKF) for Spiky Data In: Post-Print. [Citation analysis] | paper | 0 |
| 2013 | Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry? In: Post-Print. [Citation analysis] | paper | 0 |
| 2013 | Multi-factor models and signal processing techniques: application to quantitative finance In: Post-Print. [Citation analysis] | paper | 3 |
| 2015 | Contagion phenomena with applications in finance In: Post-Print. [Citation analysis] | paper | 5 |
| 2019 | Trends everywhere? The case of hedge fund styles In: Post-Print. [Citation analysis] | paper | 2 |
| 2019 | Trends everywhere? The case of hedge fund styles.(2019) In: Journal of Asset Management. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2012 | MLiq a meta liquidity measure In: Post-Print. [Citation analysis] | paper | 0 |
| 2013 | MLiq a meta liquidity measure.(2013) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2012 | Liquidity contagion: A look at emerging markets In: Post-Print. [Citation analysis] | paper | 1 |
| 2014 | Evaluating UCITS Compliant Hedge Fund Performance In: Post-Print. [Citation analysis] | paper | 1 |
| 2014 | Evaluating UCITS Compliant Hedge Fund Performance.(2014) In: Bankers, Markets & Investors. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2021 | A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk In: Working Papers. [Citation analysis] | paper | 0 |
| 2021 | Forecasting Intra-daily Liquidity in Large Panels In: Working Papers. [Citation analysis] | paper | 0 |
| 2010 | Nonparametric Analysis of Hedge Funds Lifetimes In: IDEI Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Nonparametric Analysis of Hedge Funds Lifetimes.(2010) In: TSE Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2004 | Nouvelles techniques de gestion et leur impact sur la volatilité In: Revue d'Économie Financière. [Full Text][Citation analysis] | article | 1 |
| 2014 | Edito In: Bankers, Markets & Investors. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team