serge darolles : Citation Profile

Université Paris-Dauphine (Paris IX)

11

H index

12

i10 index

555

Citations

RESEARCH PRODUCTION:

20

Articles

62

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (1997 - 2021). See details.
   Cites by year: 23
   Journals where serge darolles has often published
   Relations with other researchers
   Recent citing documents: 34.    Total self citations: 17 (2.97 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pda653
   Updated: 2025-12-27    RAS profile: 2021-12-07    
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Relations with other researchers

Works with:

Le Fol, Gaelle (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 (17)

Simoni, Anna (13)

Schennach, Susanne (9)

Newey, Whitney (8)

Renne, Jean-Paul (8)

Van Bellegem, Sebastien (7)

Chernozhukov, Victor (7)

Kristensen, Dennis (7)

LINTON, OLIVER (7)

Cites to:

Le Fol, Gaelle (33)

gourieroux, christian (17)

Lo, Andrew (16)

Jasiak, Joann (12)

Grossman, Sanford (10)

Engle, Robert (9)

Tauchen, George (9)

Goetzmann, William (7)

Andersen, Torben (7)

Trzcinka, Charles (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 Econometrics4
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
Working Papers / HAL3
IDEI Working Papers / Institut d'Économie Industrielle (IDEI), Toulouse3

Recent works citing serge darolles (2025 and 2024)

YearTitle of citing document
2025Is completeness necessary? Estimation in nonidentified linear models. (2025). Babii, Andrii ; Florens, Jean-Pierre. In: Papers. RePEc:arx:papers:1709.03473.

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2024Adversarial Estimation of Riesz Representers. (2024). Newey, Whitney ; Chernozhukov, Victor ; Syrgkanis, Vasilis ; Singh, Rahul. In: Papers. RePEc:arx:papers:2101.00009.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024One-step smoothing splines instrumental regression. (2024). Lavergne, Pascal ; Beyhum, Jad ; Lapenta, Elia. In: Papers. RePEc:arx:papers:2307.14867.

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2024Inference for Nonlinear Endogenous Treatment Effects Accounting for High-Dimensional Covariate Complexity. (2024). Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang ; Zhang, Cun-Hui. In: Papers. RePEc:arx:papers:2310.08063.

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2024Regularized DeepIV with Model Selection. (2024). Li, Zihao ; Syrgkanis, Vasilis ; Wang, Mengdi ; Uehara, Masatoshi ; Lan, Hui. In: Papers. RePEc:arx:papers:2403.04236.

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2024High-Dimensional Mean-Variance Spanning Tests. (2024). Ardia, David ; Laurent, S'Ebastien ; Sessinou, Rosnel. In: Papers. RePEc:arx:papers:2403.17127.

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2024Context-dependent Causality (the Non-Nonotonic Case). (2024). Kim, Moshe ; Billfeld, Nir. In: Papers. RePEc:arx:papers:2404.05021.

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2025Deep Learning for VWAP Execution in Crypto Markets: Beyond the Volume Curve. (2025). Genet, Remi. In: Papers. RePEc:arx:papers:2502.13722.

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2025Dynamic Factor Correlation Model. (2025). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2503.01080.

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2025Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method. (2025). Wang, Yanlong ; Xu, Jian ; Huang, Shao-Lun ; Sun, Danny Dongning ; Zhang, Xiao-Ping. In: Papers. RePEc:arx:papers:2503.06929.

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2025Forecasting Intraday Volume in Equity Markets with Machine Learning. (2025). Cucuringu, Mihai ; Zhang, Chao ; Li, Kang. In: Papers. RePEc:arx:papers:2505.08180.

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2025Debiased Ill-Posed Regression. (2025). Rotnitzky, Andrea ; Robins, James M ; Ghassami, Amiremad. In: Papers. RePEc:arx:papers:2505.20787.

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2025LEMs: A Primer On Large Execution Models. (2025). Inzirillo, Hugo ; Genet, Remi. In: Papers. RePEc:arx:papers:2509.25211.

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2025Identification and Debiased Learning of Causal Effects with General Instrumental Variables. (2025). Zhang, Peng ; Chen, Shuyuan ; Cui, Yifan. In: Papers. RePEc:arx:papers:2510.20404.

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2025Tests of exogeneity in duration models with censored data. (2025). Florens, Jean-Pierre ; Crommen, Gilles ; van Keilegom, Ingrid. In: Papers. RePEc:arx:papers:2510.26613.

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2024Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469.

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2024Dynamic partial correlation models. (2024). Lucas, Andre ; Dinnocenzo, Enzo. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000939.

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2025Iterative estimation of nonparametric regressions with continuous endogenous variables and discrete instruments. (2025). Centorrino, Samuele ; Fve, Frdrique ; Florens, Jean-Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407625000041.

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2025Functional ecological inference. (2025). Meddahi, Nour ; Florens, Jean-Pierre ; Bontemps, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002690.

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2025Identifying the volatility risk price through the leverage effect. (2025). Renault, Eric ; Sangrey, Paul ; Cheng, XU. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400294x.

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2024Multivariate Count Time Series Modelling. (2024). Fokianos, Konstantinos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:31:y:2024:i:c:p:100-116.

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2025Diversifying Trends. (2025). Darolles, Serge ; Chevalier, Charles. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:56-79.

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2024Internet 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.

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2024Not 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.

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2025A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

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2024Asymmetric 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.

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2025The Relationship between Market Depth and Liquidity Fragility in the Treasury Market. (2025). Meldrum, Andrew ; Sokolinskiy, Oleg. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-14.

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2025Contribution to Modern Economic Region Theory: Factor of Intangible Digital Resources. (2025). Cernisevs, Olegs ; Popovs, Sergejs ; Popova, Yelena. In: Geographies. RePEc:gam:jgeogr:v:5:y:2025:i:1:p:8-:d:1598141.

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2024Autoregressive conditional betas. (2024). Francq, Christian ; Blasques, F ; Laurent, Sebastien. In: Post-Print. RePEc:hal:journl:hal-04676069.

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2024Identifying the Volatility Risk Price Through the Leverage Effect. (2024). Cheng, XU ; Sangrey, Paul ; Renault, Eric. In: PIER Working Paper Archive. RePEc:pen:papers:24-013.

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2024Partly 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.

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2025Mixed causal-noncausal count process. (2025). Lu, Yang ; Pei, Jian ; Zhu, Fukang. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:34:y:2025:i:2:d:10.1007_s11749-024-00960-8.

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2024Option pricing with dynamic conditional skewness. (2024). Du, Lingshan ; Liang, Fang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1154-1188.

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Works by serge darolles:

YearTitleTypeCited
2000Intraday Transaction Price Dynamics In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article10
2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas In: AMSE Working Papers.
[Full Text][Citation analysis]		paper16
2018Asymptotics 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: 16		article
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2016The rise of fintechs and their regulation In: Financial Stability Review.
[Full Text][Citation analysis]		article15
2006Structural Laplace Transform and Compound Autoregressive Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article47
2000Nonparametric Instrumental Regression In: Working Papers.
[Full Text][Citation analysis]		paper255
2011Nonparametric Instrumental Regression.(2011) In: Econometrica.
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This paper has nother version. Agregated cites: 255		article
2010Non Parametric Instrumental Regression.(2010) In: IDEI Working Papers.
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This paper has nother version. Agregated cites: 255		paper
2002Nonparametric Instrumental Regression.(2002) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 255		paper
2000Kernel Based Nonlinear Canonical Analysis and Time Reversibility In: Working Papers.
[Full Text][Citation analysis]		paper15
2004Kernel-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
2000Factor ARMA Representation of a Markov Process In: Working Papers.
[Full Text][Citation analysis]		paper0
2001Factor ARMA representation of a Markov process.(2001) In: Economics Letters.
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This paper has nother version. Agregated cites: 0		article
2000Empirical Local Time for Processes Observed on a Grid In: Working Papers.
[Full Text][Citation analysis]		paper1
2001Compound Autoregressive Models In: Working Papers.
[Full Text][Citation analysis]		paper8
2003Trading Volume and Arbitrage In: Working Papers.
[Full Text][Citation analysis]		paper4
2014Trading volume and Arbitrage.(2014) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2014Trading Volume and Arbitrage.(2014) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2014Trading volume and Arbitrage.(2014) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2005Decomposing Volume for VWAP Strategies In: Working Papers.
[Full Text][Citation analysis]		paper0
2012Robust Portfolio Allocation with Systematic Risk Contribution Restrictions In: Working Papers.
[Full Text][Citation analysis]		paper8
2012Survival of Hedge Funds : Frailty vs Contagion In: Working Papers.
[Full Text][Citation analysis]		paper5
2013Survival of Hedge Funds: Frailty vs Contagion.(2013) In: Post-Print.
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This paper has nother version. Agregated cites: 5		paper
2013The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I : The High Water Mark Scheme In: Working Papers.
[Full Text][Citation analysis]		paper0
2013The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II : The Loss Carry Forward Scheme In: Working Papers.
[Full Text][Citation analysis]		paper0
1997Dynamiques tronquées et estimation de modèles de diffusion In: Working Papers.
[Full Text][Citation analysis]		paper0
1997Truncated Dynamics and Estimation of DiffusionEquations In: Working Papers.
[Full Text][Citation analysis]		paper13
2001Truncated dynamics and estimation of diffusion equations.(2001) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
1997Approximating Payoffs and Approximating Pricing Formulas In: Working Papers.
[Full Text][Citation analysis]		paper0
1997Nonparametric Estimation of a Diffusion Equation from Tick Observations In: Working Papers.
[Full Text][Citation analysis]		paper3
1998Kernel Based Nonlinear Canonical Analysis In: Working Papers.
[Full Text][Citation analysis]		paper3
1999Kernel Based Nonlinear Canonical Analysis..(1999) In: Toulouse - GREMAQ.
[Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2001Kernel Based Nonlinear Canonical Analysis.(2001) In: IDEI Working Papers.
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This paper has nother version. Agregated cites: 3		paper
2000Approximating payoffs and pricing formulas In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article5
2017Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows In: Journal of Econometrics.
[Full Text][Citation analysis]		article23
2017Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 23		paper
2009L-performance with an application to hedge funds In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article15
2008Improving VWAP strategies: A dynamic volume approach In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article41
2006Improving VWAP strategies: A dynamical volume approach.(2006) In: Documents de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 41		paper
2008Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 41		paper
2010Conditionally fitted Sharpe performance with an application to hedge fund rating In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article19
2012The alpha and omega of fund of hedge fund added value In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2015Measuring the liquidity part of volume In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article15
2015Measuring the Liquidity Part of Volume.(2015) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2015Measuring the Liquidity Part of Volume.(2015) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2019Bivariate integer-autoregressive process with an application to mutual fund flows In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article7
2019Bivariate integer-autoregressive process with an application to mutual fund flows.(2019) In: Post-Print.
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This paper has nother version. Agregated cites: 7		paper
2015Financial Market Liquidity: Who Is Acting Strategically? In: THEMA Working Papers.
[Full Text][Citation analysis]		paper0
2016Introduction to the special issue on recent developments in Financial Econometrics In: Post-Print.
[Full Text][Citation analysis]		paper0
2016Gauging Liquidity Risk in Emerging Market Bond Index Funds In: Post-Print.
[Citation analysis]		paper0
2016Intrinsic Liquidity in Conditional Volatility Models In: Post-Print.
[Citation analysis]		paper0
2014Liquidity risk and contagion for liquid funds In: Post-Print.
[Full Text][Citation analysis]		paper0
2014Contagion in Emerging Markets In: Post-Print.
[Citation analysis]		paper1
2015Contagion in Emerging Markets.(2015) In: Palgrave Macmillan Books.
[Citation analysis]
This paper has nother version. Agregated cites: 1		chapter
2013Liquidity Contagion. The Emerging Sovereign Debt Markets example In: Post-Print.
[Full Text][Citation analysis]		paper1
2012Liquidity Contagion. The Emerging Sovereign Debt Markets example.(2012) In: Post-Print.
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This paper has nother version. Agregated cites: 1		paper
2012Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume In: Post-Print.
[Full Text][Citation analysis]		paper2
2014Contagion Analysis In The Banking Sector In: Post-Print.
[Full Text][Citation analysis]		paper1
2013Factor Selection In: Post-Print.
[Citation analysis]		paper0
2013Factor Models and General Definition In: Post-Print.
[Citation analysis]		paper0
2015The Dynamics of Hedge Fund Performance In: Post-Print.
[Citation analysis]		paper0
2015Performance fees and hedge fund return dynamics In: Post-Print.
[Citation analysis]		paper0
2013Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective In: Post-Print.
[Citation analysis]		paper0
2013A Regularized Kalman Filter (rgKF) for Spiky Data In: Post-Print.
[Citation analysis]		paper0
2013Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry? In: Post-Print.
[Citation analysis]		paper0
2013Multi-factor models and signal processing techniques: application to quantitative finance In: Post-Print.
[Citation analysis]		paper5
2015Contagion phenomena with applications in finance In: Post-Print.
[Citation analysis]		paper5
2019Trends everywhere? The case of hedge fund styles In: Post-Print.
[Citation analysis]		paper3
2019Trends everywhere? The case of hedge fund styles.(2019) In: Journal of Asset Management.
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This paper has nother version. Agregated cites: 3		article
2012MLiq a meta liquidity measure In: Post-Print.
[Citation analysis]		paper0
2013MLiq a meta liquidity measure.(2013) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2012Liquidity contagion: A look at emerging markets In: Post-Print.
[Citation analysis]		paper1
2014Evaluating UCITS Compliant Hedge Fund Performance In: Post-Print.
[Citation analysis]		paper1
2014Evaluating UCITS Compliant Hedge Fund Performance.(2014) In: Bankers, Markets & Investors.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2021A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk In: Working Papers.
[Citation analysis]		paper0
2021Forecasting Intra-daily Liquidity in Large Panels In: Working Papers.
[Citation analysis]		paper0
2010Nonparametric Analysis of Hedge Funds Lifetimes In: IDEI Working Papers.
[Full Text][Citation analysis]		paper1
2010Nonparametric Analysis of Hedge Funds Lifetimes.(2010) In: TSE Working Papers.
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This paper has nother version. Agregated cites: 1		paper
2004Nouvelles techniques de gestion et leur impact sur la volatilité In: Revue d'Économie Financière.
[Full Text][Citation analysis]		article1
2014Edito In: Bankers, Markets & Investors.
[Full Text][Citation analysis]		article0

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