serge darolles : Citation Profile


Are you serge darolles?

Université Paris-Dauphine (Paris IX)

11

H index

12

i10 index

504

Citations

RESEARCH PRODUCTION:

20

Articles

62

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (1997 - 2021). See details.
   Cites by year: 21
   Journals where serge darolles has often published
   Relations with other researchers
   Recent citing documents: 52.    Total self citations: 17 (3.26 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pda653
   Updated: 2023-11-04    RAS profile: 2021-12-07    
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Relations with other researchers


Works with:

Francq, Christian (5)

Laurent, Sébastien (5)

Le Fol, Gaelle (3)

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 (30)

gourieroux, christian (23)

Monfort, Alain (16)

Simoni, Anna (12)

Schennach, Susanne (9)

Renne, Jean-Paul (8)

Newey, Whitney (8)

Kristensen, Dennis (7)

Van Bellegem, Sebastien (7)

Chernozhukov, Victor (7)

Lee, Sokbae (Simon) (6)

Cites to:

Le Fol, Gaelle (33)

gourieroux, christian (17)

Lo, Andrew (16)

Jasiak, Joann (12)

Engle, Robert (9)

Tauchen, George (9)

Grossman, Sanford (8)

Andersen, Torben (7)

Goetzmann, William (7)

Trzcinka, Charles (6)

Trzcinka, Charles (6)

Main data


Where serge darolles has published?


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

Working Papers Series with more than one paper published# docs
Post-Print / HAL33
Working Papers / Center for Research in Economics and Statistics16
IDEI Working Papers / Institut d'conomie Industrielle (IDEI), Toulouse3
Working Papers / HAL3

Recent works citing serge darolles (2023 and 2022)


YearTitle of citing document
2022Identification and Estimation of Group-Level Partial Effects. (2018). Nagasawa, Kenichi. In: Papers. RePEc:arx:papers:1811.00667.

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2022Identification of semiparametric discrete outcome models with bounded covariates. (2018). Kashaev, Nail. In: Papers. RePEc:arx:papers:1811.05555.

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2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2022Kernel Methods for Policy Evaluation: Treatment Effects, Mediation Analysis, and Off-Policy Planning. (2020). Gretton, Arthur ; Xu, Liyuan ; Singh, Rahul. In: Papers. RePEc:arx:papers:2010.04855.

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2023Kernel Methods for Unobserved Confounding: Negative Controls, Proxies, and Instruments. (2020). Singh, Rahul. In: Papers. RePEc:arx:papers:2012.10315.

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2022Learning Causal Relationships from Conditional Moment Conditions by Importance Weighting. (2021). Yasui, Shota ; McAlinn, Kenichiro ; Kakehi, Haruo ; Kato, Masahiro. In: Papers. RePEc:arx:papers:2108.01312.

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2022On Well-posedness and Minimax Optimal Rates of Nonparametric Q-function Estimation in Off-policy Evaluation. (2022). Qi, Zhengling ; Chen, Xiaohong. In: Papers. RePEc:arx:papers:2201.06169.

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2022Fairness constraint in Structural Econometrics and Application to fair estimation using Instrumental Variables. (2022). Centorrino, Samuele ; Loubes, Jean-Michel ; FLORENS, Jean-Pierre. In: Papers. RePEc:arx:papers:2202.08977.

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2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2022Distributional Correlation--Aware Knowledge Distillation for Stock Trading Volume Prediction. (2022). Sun, XU ; Harimoto, Keiko ; Bao, Ruihan ; Zhang, Zhiyuan ; Li, Lei. In: Papers. RePEc:arx:papers:2208.07232.

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2023Debiased Inference on Identified Linear Functionals of Underidentified Nuisances via Penalized Minimax Estimation. (2022). Mao, Xiaojie ; Kallus, Nathan. In: Papers. RePEc:arx:papers:2208.08291.

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2022Hierarchical Deep Reinforcement Learning for VWAP Strategy Optimization. (2022). Li, Qing ; Zou, Chenxin ; Wu, Pangjing. In: Papers. RePEc:arx:papers:2212.14670.

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2023Minimax Instrumental Variable Regression and $L_2$ Convergence Guarantees without Identification or Closedness. (2023). Newey, Whitney ; Mao, Xiaojie ; Kallus, Nathan ; Bennett, Andrew ; Uehara, Masatoshi ; Syrgkanis, Vasilis. In: Papers. RePEc:arx:papers:2302.05404.

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2023An Adaptive Dual-level Reinforcement Learning Approach for Optimal Trade Execution. (2023). Hong, Youngjoon ; Sul, Hong Kee ; Kim, Jimyeong. In: Papers. RePEc:arx:papers:2307.10649.

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2023Source Condition Double Robust Inference on Functionals of Inverse Problems. (2023). Uehara, Masatoshi ; Syrgkanis, Vasilis ; Newey, Whitney ; Mao, Xiaojie ; Kallus, Nathan ; Bennett, Andrew. In: Papers. RePEc:arx:papers:2307.13793.

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2023One-step nonparametric instrumental regression using smoothing splines. (2023). Lavergne, Pascal ; Lapenta, Elia ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2307.14867.

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2023The role of the U.S. exchange?rate equity market volatility on agricultural exports and forecasts. (2023). Nganje, William ; Addey, Kwame Asiam. In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie. RePEc:bla:canjag:v:71:y:2023:i:1:p:25-47.

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2023Flexible bivariate INGARCH process with a broad range of contemporaneous correlation. (2023). Ombao, Hernando ; Barretosouza, Wagner. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:206-222.

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2023Noncausal affine processes with applications to derivative pricing. (2023). Lu, Yang ; Gourieroux, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:766-796.

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2022Time-Varying Linear Transformation Models with Fixed Effects and Endogeneity for Short Panels. (2022). Muris, Chris ; Botosaru, Irene ; Sokullu, Senay. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:22/756.

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2022Embedded Supervision: How to Build Regulation into Decentralised Finance. (2022). Auer, Raphael A. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9771.

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2023Modeling and inference for multivariate time series of counts based on the INGARCH scheme. (2023). Kim, Byungsoo ; Lee, Sangyeol. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:177:y:2023:i:c:s0167947322001591.

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2022Required Capital for Long-Run Risks. (2022). Renne, J.-P., ; Monfort, A ; Gourieroux, C. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002068.

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2023Does FinTech reduce corporate excess leverage? Evidence from China. (2023). Zhang, Xinhe ; Guo, Chong ; Yue, Shujing ; Lai, Xiaobing. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:281-299.

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2022Does systematic risk change when markets close? An analysis using stocks’ beta. (2022). Insana, Alessandra. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000281.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares. (2023). Botosaru, Irene ; Pendakur, Krishna ; Muris, Chris. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:576-597.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2023More Is Better, Or Not? An Empirical Analysis of Buyer Preferences for Variety on the E-Market. (2023). Sokullu, Senay. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:209:y:2023:i:c:p:450-470.

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2022Liquidity in the global currency market. (2022). de Magistris, Paolo Santucci ; Ranaldo, Angelo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:146:y:2022:i:3:p:859-883.

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2022Estimation of multivariate asymmetric power GARCH models. (2022). Saussereau, B ; Kadmiri, O ; Mainassara, Boubacar Y. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:192:y:2022:i:c:s0047259x2200077x.

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2022Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy. (2022). van De, Ignace ; Ren, Tiantian ; Mazza, Paolo ; Kerstens, Kristiaan. In: Omega. RePEc:eee:jomega:v:113:y:2022:i:c:s0305048322001256.

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2023The Effects of Volatility on Liquidity in the Treasury Market. (2023). Sokolinskiy, Oleg ; Meldrum, Andrew C. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-28.

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2022Comparing the Situation of FinTech Start-Ups in Russia and Germany through Equity Investments. (2022). Wild, Friedrich ; Fendel, Ralf ; Kostin, Konstantin B. In: Economies. RePEc:gam:jecomi:v:10:y:2022:i:2:p:33-:d:735728.

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2022The COVID-19 Era—Influencers of Uneven Sector Performance: A Canadian Perspective. (2022). Singh, Vik ; Shirazi, Homayoun ; Turetken, Jessica. In: Economies. RePEc:gam:jecomi:v:10:y:2022:i:2:p:40-:d:740645.

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2022Business Models and Sustainability Plans in the FinTech, InsurTech, and PropTech Industry: Evidence from Spain. (2022). Moro-Visconti, Roberto ; Pascual, Joaquin Lopez ; Rambaud, Salvador Cruz ; Bittini, Javier Sada. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:19:p:12088-:d:924049.

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2023Omega Compatibility: A Meta-analysis. (2023). Zhang, Xiang ; Maillet, Bertrand ; Caporin, Massimiliano ; Bernard, Carole. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10306-x.

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2022Income, Policy, and Pollution. (2022). Paudel, Krishna ; Tan, Ying ; Hu, Hongtao. In: Environmental & Resource Economics. RePEc:kap:enreec:v:81:y:2022:i:1:d:10.1007_s10640-021-00621-6.

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2022Time-Varying Linear Transformation Models with Fixed Effects and Endogeneity for Short Panels. (2022). Sokullu, Senay ; Muris, Chris ; Botosaru, Irene. In: Department of Economics Working Papers. RePEc:mcm:deptwp:2022-01.

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2023A copula spectral test for pairwise time reversibility. (2023). Zhang, Shibin. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:75:y:2023:i:5:d:10.1007_s10463-022-00859-x.

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2022A financial fraud detection indicator for investors: an IDeA. (2022). Maillet, Bertrand B ; el Mekkaoui, Najat ; Bernard, Philippe. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-019-03360-6.

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2022A meta-measure of performance related to both investors and investments characteristics. (2022). Billio, Monica ; Pelizzon, Loriana ; Maillet, Bertrand. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03771-w.

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2023Heterogeneous tail generalized common factor modeling. (2023). Polak, Pawe ; Paolella, Marc S ; Naf, Jeffrey ; Hediger, Simon. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-023-00083-z.

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2022Contagion or interdependence? Comparing spillover indices. (2022). Volkov, Vladimir ; Islam, Raisul. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:3:d:10.1007_s00181-021-02169-2.

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2023On bivariate threshold Poisson integer-valued autoregressive processes. (2023). Wang, Dehui ; Li, Han ; Zhao, Yiwei ; Yang, Kai. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:8:d:10.1007_s00184-023-00899-0.

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2022Dynamic Partial Correlation Models. (2022). Lange, Rutger-Jan ; Lucas, Andre ; D'Innocenzo, Enzo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220070.

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2023One-step nonparametric instrumental regression using smoothing splines. (2023). Lavergne, Pascal ; Lapenta, Elia ; Beyhum, Jad. In: TSE Working Papers. RePEc:tse:wpaper:128467.

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2022Identification and Estimation of Multinomial Choice Models with Latent Special Covariates. (2022). Kashaev, Nail. In: University of Western Ontario, Departmental Research Report Series. RePEc:uwo:uwowop:20224.

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2022A Markov regime?switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio. (2022). Lee, Hsiangtai. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:3:p:389-412.

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2022The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets. (2022). Williams, Julian ; Malagon, Juliana ; Nie, Jing. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:8:p:1434-1465.

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2022The influence function of semiparametric estimators. (2022). Newey, Whitney K ; Ichimura, Hidehiko. In: Quantitative Economics. RePEc:wly:quante:v:13:y:2022:i:1:p:29-61.

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Works by serge darolles:


YearTitleTypeCited
2000Intraday Transaction Price Dynamics In: Annals of Economics and Statistics.
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article10
2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas In: AMSE Working Papers.
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paper11
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 11
article
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print.
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This paper has another version. Agregated cites: 11
paper
2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas.(2018) In: Working Papers.
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This paper has another version. Agregated cites: 11
paper
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: MPRA Paper.
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This paper has another version. Agregated cites: 11
paper
2016The rise of fintechs and their regulation In: Financial Stability Review.
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article13
2006Structural Laplace Transform and Compound Autoregressive Models In: Journal of Time Series Analysis.
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article43
2000Nonparametric Instrumental Regression In: Working Papers.
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paper244
2011Nonparametric Instrumental Regression.(2011) In: Econometrica.
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This paper has another version. Agregated cites: 244
article
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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paper15
2004Kernel-based nonlinear canonical analysis and time reversibility.(2004) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 15
article
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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article
2000Empirical Local Time for Processes Observed on a Grid In: Working Papers.
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paper1
2001Compound Autoregressive Models In: Working Papers.
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paper8
2003Trading Volume and Arbitrage In: Working Papers.
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paper4
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
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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paper7
2012Survival of Hedge Funds : Frailty vs Contagion In: Working Papers.
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paper5
2013Survival of Hedge Funds: Frailty vs Contagion.(2013) In: Post-Print.
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paper
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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paper0
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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paper12
2001Truncated dynamics and estimation of diffusion equations.(2001) In: Journal of Econometrics.
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article
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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paper3
1999Kernel Based Nonlinear Canonical Analysis..(1999) In: Toulouse - GREMAQ.
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paper
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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article5
2017Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows In: Journal of Econometrics.
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article14
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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article14
2008Improving VWAP strategies: A dynamic volume approach In: Journal of Banking & Finance.
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article36
2006Improving VWAP strategies: A dynamical volume approach.(2006) In: Documents de recherche.
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paper
2008Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print.
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paper
2010Conditionally fitted Sharpe performance with an application to hedge fund rating In: Journal of Banking & Finance.
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article18
2012The alpha and omega of fund of hedge fund added value In: Journal of Banking & Finance.
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article5
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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2015Measuring the Liquidity Part of Volume.(2015) In: Post-Print.
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2019Bivariate integer-autoregressive process with an application to mutual fund flows In: Journal of Multivariate Analysis.
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2019Bivariate integer-autoregressive process with an application to mutual fund flows.(2019) 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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paper0
2016Gauging Liquidity Risk in Emerging Market Bond Index Funds In: Post-Print.
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paper0
2016Intrinsic Liquidity in Conditional Volatility Models In: Post-Print.
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paper0
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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2015Contagion in Emerging Markets.(2015) In: Palgrave Macmillan Books.
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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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paper1
2013Factor Selection In: Post-Print.
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paper0
2013Factor Models and General Definition In: Post-Print.
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paper0
2015The Dynamics of Hedge Fund Performance In: Post-Print.
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paper0
2015Performance fees and hedge fund return dynamics In: Post-Print.
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paper0
2013Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective In: Post-Print.
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paper0
2013A Regularized Kalman Filter (rgKF) for Spiky Data In: Post-Print.
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paper0
2013Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry? In: Post-Print.
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paper0
2013Multi-factor models and signal processing techniques: application to quantitative finance In: Post-Print.
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paper3
2015Contagion phenomena with applications in finance In: Post-Print.
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paper4
2019Trends everywhere? The case of hedge fund styles In: Post-Print.
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paper2
2019Trends everywhere? The case of hedge fund styles.(2019) In: Journal of Asset Management.
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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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paper1
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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2021A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk In: Working Papers.
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paper0
2021Forecasting Intra-daily Liquidity in Large Panels 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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2004Nouvelles techniques de gestion et leur impact sur la volatilité In: Revue d'Économie Financière.
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2014Edito In: Bankers, Markets & Investors.
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